Kalman-SilverTrend Relative Momentum

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Crypto (Altcoin/BTC pairs), Forex (Major/Crosses) · Timeframes: 1H, 4H

Thesis

Breakouts in high-volatility environments (ADX > 25) represent significant momentum shifts, but these moves often lead to temporary statistical decoupling from benchmark assets. By entering the breakout and exiting when the asset's Z-score relative to a benchmark (e.g., BTC) returns to its mean, we capture the meat of the 'excess' move while avoiding the unpredictability of trend exhaustion. Risk is anchored in Daily High/Low ranges to account for institutional liquidity zones.

Components

Average Directional Index (regime) — Filters for high-volatility environments; entries are only permitted when ADX > 25, ensuring the breakout has sufficient momentum strength.
Unsupported table.new modes (direction) — Acts as a basic price-action direction filter. Since it plots 'close', we define trend direction by comparing the current close to the previous bar's close.
SilverTrend Sv2 (entry) — Provides the execution trigger based on price breaching a dynamic level derived from the highest high and lowest low over the SSP period.
AI Pair Trading System v1.0 (exit) — Uses statistical mean reversion (Kalman Filter) of the asset relative to a benchmark to identify profit-taking zones when the 'excess' momentum of the entry has been exhausted.
Daily High Low MTF (risk) — Provides structural hard-stops based on the previous day's extreme volatility range (H/L).

Known failure conditions

ADX remains below 20 for extended periods (persistent low volatility).
Statistical decoupling where the asset and its pair benchmark (AI component) lose correlation permanently.
SilverTrend SSP levels produce constant 'whipsaws' during narrow ranging periods.

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