Adaptive Fractal Momentum Breakout

Family: trend_following · Regime: trending · Complexity: high · Asset classes: FX, Equities, Crypto · Timeframes: H1, H4, D1

Thesis

The strategy assumes that price breakouts of recent structural fractals are more likely to result in sustained trends when 'validated' by an adaptive trend regime (McGinley) and high-quality momentum (Andean). By using Heiken Ashi-derived volatility for both filtering and risk, the system seeks to stay in moves until a genuine volatility-adjusted reversal occurs, ignoring minor noise.

Components

• McGinley Dynamic (regime) — Acts as the primary trend filter; its adaptive nature avoids the whipsaws common in standard EMAs during volatility spikes.
• Andean Oscillator (direction) — Confirms that the breakout is backed by genuine momentum rather than low-volume drift.
• Support and Resistance (Fractal-based) (entry) — Defines the structural trigger for entry based on the most recent price ceiling or floor.
• Bollinger Bands (exit) — Used for dynamic profit taking when price reaches a statistical volatility extreme (outer bands).
• Chandelier Exit (Heiken Ashi) (risk) — Provides a volatility-adjusted trailing stop and determines the risk distance for position sizing.
• SSL Channel (confirmation) — Provides a secondary confirmation of trend momentum using a high/low price channel to ensure short-term sentiment aligns with the regime.
• ATR Heiken Ashi (volatility_filter) — Ensures the market has sufficient volatility to overcome spread costs; filters out flat, low-liquidity regimes.

Known failure conditions

• Consecutive failure of fractal breakouts within a high-volatility sideways range.
• Price consistently mean-reverting to the McGinley Dynamic without reaching Bollinger Band extremes.
• Chandelier Exit gap-throughs during news events due to the aggressive 1-period ATR default (though adjusted in ranges).

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