Laguerre-Kalman Predictive Envelope Strategy
Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Crypto · Timeframes: H1, H4, D1
Thesis
Market momentum is most tradeable when (1) a long-term linear projection of volatility channels suggests a clear trend path, (2) short-term noise is removed via Laguerre smoothing, and (3) the asset is not statistically overextended according to a Kalman-filtered z-score. The strategy bets that smoothed momentum will follow the projected linear path until statistical exhaustion (RSX) is reached.
Components
- GOM BB Prediction (300 bars) (regime) — Used as the regime filter to identify the expected future trend slope; only trades in the direction of the 300-bar linear projection.
- Array sort unsupported order (direction) — Acts as a 'Market Structure' logic gate. Because 'sideways' is an invalid sort parameter, this component represents the failure of linear ordering; the strategy only executes when the regime slope is non-zero (i.e., 'ordered' market vs 'sideways' failure).
- Laguerre RSI (entry) — Provides the primary entry trigger by identifying momentum breakouts from smoothed oversold/overbought levels with minimal lag.
- Relative Strength Quality Index (RSX) (exit) — Used for exhaustion-based exits, identifying when the quality of the trend has reached a peak and is likely to mean-revert.
- Price Line and Visible Range High-Low (risk) — Provides dynamic SL/TP levels based on the current chart's visible structural boundaries.
- AI Pair Trading System v1.0 (volatility_filter) — Filters out trades where the asset is statistically overextended relative to its Kalman-filtered mean, preventing entry at local exhaustion points.
Known failure conditions
- Regime slope remains near zero (flat) for extended periods while Laguerre RSI whipsaws.
- The 'Visible Range' levels fluctuate rapidly due to UI scaling, causing inconsistent stop-loss placement in backtests.
- High correlation between the primary asset and the Kalman pair asset breaks down permanently.
Explore the full interactive blueprint with parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine (free download).