CMF Structure Breakout System

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

Thesis

Price breakouts (UTBot) represent sustainable trends only when accompanied by institutional volume accumulation (CMF) and the exhaustion of opposing forces (Bears Power). By anchoring risk to structural support/resistance zones (Boxline) rather than arbitrary distances, the strategy captures high-probability expansion phases while filtering for overextension (Bollinger Bands). The core edge lies in the convergence of volume support and market structure validation.

Components

• Chaikin Money Flow (CMF) (regime) — Filters for institutional accumulation/distribution; entries are only valid when volume flow supports the price direction.
• Unsupported matrix remove_col (direction) — Acts as a diagnostic price filter; trend direction is defined by price location relative to the Boxline-derived median.
• UTBot Alerts (entry) — Provides the primary entry signal based on price breaching an ATR-based trailing stop, capturing immediate momentum shifts.
• Average True Range (NNFX Version) (exit) — Used as a volatility-adjusted profit target to ensure exits are scaled to current market expansion.
• Boxline (Dynamic Range Breakout) (risk) — Defines the structural 'floor' or 'ceiling' for stop-loss placement and determines position size based on the width of the current range box.
• Bears Power (confirmation) — Confirms entries by measuring if selling pressure is diminishing (rising indicator) during long setups or dominating during short setups.
• Bollinger Bands (volatility_filter) — Acts as a volatility gate; prevents entering when price is overextended or when volatility is too low to sustain a breakout.

Known failure conditions

• Extended periods of tight consolidation where Boxline repaints frequently without price expansion.
• Volume-less price trends where CMF remains near zero despite UTBot signals.
• Frequent whipsaws of the UTBot trailing stop in low-volatility regimes.

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