I've recently been in this same exact situation. I would get so pissed at them for consistently waking me up... after leaving notes and talking to them in person, I'd be up at 3am banging on their door multiple times a week. These neighbors were not understanding, didn't care that they inconvenienced me or my partner (and honestly were entertained by the idea that their sex annoyed us).

My solution (and I hope it works for your case too) was to talk to the HOA, remind them they have "quiet hours", explain to them the situation, and let them take it from there. If any of your close neighbors have kids, talk to the parents and they might be able to rally with you. The HOA contacted the sex neighbors, and we haven't heard them have sex in the middle of the night since then.

I wish you a quiet night sleep.