TLB-Kalman Hybrid Cycle Trader

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Crypto, FX · Timeframes: 1H, 4H, 1D

Thesis

Market trends are best identified by filtering out sub-threshold noise (TLB) and confirming with cumulative range relationships (ASI). However, even in a trend, assets move in cycles (DSP) and are subject to relative-value constraints (Pair Trading spread). By entering on a cycle reset within a noise-filtered trend and exiting when the asset is overextended relative to its primary benchmark, we capture the most efficient portion of the trend while using volume-profile nodes for objective risk placement.

Components

• Three-Line Break (TLB) with MA (regime) — Acts as the primary trend filter by removing noise and only acknowledging reversals that exceed the previous 3-line range. The MA provides a secondary structural trend filter.
• Accumulation Swing Index (ASI) (direction) — Verifies that the 'true' price action, accounting for gap and range relationships, supports the TLB trend.
• Ehlers Detrended Synthetic Price (DSP) (entry) — Used to time entries on the cyclical component of the price after the trend has been established by TLB and ASI.
• AI Pair Trading System v1.0 (exit) — Provides a relative-value exit signal; when the asset becomes significantly overvalued compared to a benchmark/pair, the trade is closed regardless of trend strength.
• Dynamic Supply and Demand Zones [AlgoAlpha] (risk) — Determines the stop-loss level based on volume-weighted support/resistance zones and calculates position size based on the distance to these zones.
• Local non-scalar UDT typed-na history diagnostic (confirmation) — Ensures the data integrity of complex User Defined Types (UDTs) before signal execution; if the diagnostic detects 'na' in the history of custom objects (which could signify calculation errors), the signal is discarded.

Known failure conditions

• The asset becomes decoupled from the 'pairSymbol' benchmark in the AI Pair Trading system for extended periods.
• TLB fails to trend, resulting in 'sawtooth' patterns that trigger late entries and immediate stop-outs.
• The UDT diagnostic constantly returns 'na' due to high volatility or data gaps, preventing any trade execution.

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).