Daily Expansion Order Block Breakout

Family: hybrid · Regime: trending · Complexity: medium · Asset classes: Forex, Equity Indices, Gold · Timeframes: M15, H1

Thesis

Institutional momentum, identified via Order Blocks (high ROC moves), provides a tradable edge when it occurs outside of 'fair value' (previous day's range) and is backed by efficient volatility (ROC/HV Ratio). This hypothesis assumes that breakouts from daily structure are more likely to persist if they demonstrate superior risk-adjusted momentum at the point of entry.

Components

• Daily High Low MTF (regime) — Establishes the daily regime; trades are only taken outside the previous day's range to focus on expansion phases.
• EMA with Switch-Based Length Reassignment (direction) — Functions as a micro-trend filter, ensuring immediate price momentum is aligned with the entry direction.
• Sonarlab - Order Blocks (entry) — Identifies high-momentum institutional supply/demand zones that act as the primary entry catalyst.
• Average True Range (Standard MQ4) (exit) — Provides a volatility-adjusted exit mechanism (Take Profit) based on standard price ranges.
• ATR Heiken Ashi (risk) — Sets the initial stop loss based on smoothed Heiken Ashi volatility to avoid noise-induced premature exits.
• TradeBreakOut (TBO) (confirmation) — Confirms the Order Block entry by ensuring the price has actually broken out of a multi-period (50-bar) high/low.
• Annualized ROC / HV Ratios (volatility_filter) — Filters for high-quality momentum where the rate of return is significantly higher than the underlying volatility (Sharpe-like ratio).

Known failure conditions

• Extended low-volatility periods where price oscillates around the previous day's High/Low levels.
• Failure of the ROC/HV ratio to maintain stability during high-impact news events, causing erratic filter signals.
• Order blocks forming and being instantly invalidated in 'choppy' market regimes.

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