Adaptive Jurik-Decay Momentum Breakout
Family: breakout · Regime: trending · Complexity: high · Asset classes: Forex, Equities, Crypto · Timeframes: H1, H4, D1
Thesis
Market breakouts are most tradable when momentum (ROC) aligns with a volatility expansion (JAEB) that exceeds a time-decaying trend anchor (UDF-EMA). The UDF-EMA's use of bar_index creates a 'memory' effect: as a session or chart progresses, the filter becomes harder to 'convince' of a trend change, effectively filtering out end-of-day noise. We capture the core of the move and exit when price hits standard deviation extremes (BB) or reverses trend (SuperTrend).
Components
- Jurik Adaptive Envelope Bands (regime) — Used as a volatility-regime filter to ensure trades are only taken when price breaks out of a dynamically adjusted noise floor.
- Unsupported UDF Final Switch Const Reassignment Qualifier (direction) — Provides the primary trend direction. Its unique use of bar_index as an EMA length creates a 'decaying sensitivity' filter that is hyper-sensitive at the start of a series and acts as a long-term anchor as time progresses.
- Rate of Change (ROC) (entry) — Acts as the momentum trigger to confirm that the price move has sufficient velocity to overcome transaction costs.
- Bollinger Bands (Standard) (exit) — Provides a mean-reversion exit target. Since momentum often exhausts at the second standard deviation, the outer bands serve as a logical take-profit zone.
- SuperTrend MT5 (FxGeek) (risk) — Defines the hard stop-loss and trailing mechanism based on ATR, ensuring risk is adjusted for current market volatility.
Known failure conditions
- Prolonged sideways consolidation where price oscillates within the JAEB bands.
- The UDF-EMA 'freezes' in sensitivity after a high bar_index is reached (e.g., bar 5000+), rendering the directional filter unresponsive to new trends.
- Volatility collapse where Bollinger Bands contract inside the JAEB envelope.
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