Stat-Arb Momentum Confluence Hybrid
Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Major Forex Pairs · Timeframes: 15m, 1H
Thesis
Alpha can be captured by identifying assets that are statistically 'locked' to a benchmark (SPY) and then using high-confluence momentum filters to trade the impulses that occur within that cointegrated relationship. The cointegration ensures the asset isn't moving on 'junk' noise, while the PVT and IAE filters ensure that the entry is backed by genuine capital flow and technical agreement. Meaningful risk is defined by structural engulfing patterns (Roshaneforde) rather than arbitrary percentages.
Components
- Cointegration (COINTEGRATION) (regime) — Acts as the primary regime filter; only trades when the asset is statistically locked into a mean-reverting relationship with the benchmark, increasing the reliability of technical signals.
- Price and Volume Trend (PVT) (direction) — Provides the directional bias by confirming that price movement is supported by cumulative money flow rather than low-liquidity noise.
- Frankenstein Ultimate Pro - ATM Logic (entry) — Acts as the final execution trigger by combining a fast TEMA crossover with a volatility expansion filter (ATR).
- Bollinger Bands (Standard) (exit) — Provides dynamic volatility-based targets to capture mean-reversion exhaustion points.
- Roshaneforde Pivot Levels (risk) — Uses structural reversal points (engulfing patterns) to define hard stop-loss levels and calculate position size based on market structure.
- IAE — Technical Confluence Score (confirmation) — Filters out low-probability entries by requiring a high aggregate agreement across 10 different technical layers.
- Session Range (High/Low/Mid) (volatility_filter) — Restricts trading to active liquid hours and uses the session midpoint to filter intraday sentiment.
Known failure conditions
- Asset decouples from SPY (ADF Statistic remains > -2.0 for extended periods).
- PVT shows sustained divergence from price during the trade entry window.
- The distance to the Roshaneforde Pivot Level exceeds 3% of the asset price, making the R:R unfavorable.
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