Daily Liquidity ADR Breakout

Family: breakout · Regime: trending · Complexity: medium · Asset classes: FX (Majors), Equities (Large Cap), Metals · Timeframes: M5, M15, H1

Thesis

Market participants often cluster orders around daily price extremes. A breakout of these levels accompanied by significant relative volume (RVOL) and a consistent internal bar direction (ADR_B) indicates a high-probability institutional momentum shift rather than a retail exhaustion spike. By using a volatility-based trailing stop (TopTrend) and a structural risk anchor (CRC), the strategy captures the 'meat' of the resulting trend while managing idiosyncratic risk.

Components

• Advance/Decline Ratio (Bars) (regime) — Determines if the internal 'composition' of recent price action is healthy; prevents entries on single-bar anomalies by requiring a majority of bars to match the intended direction.
• HiLo_04 (Gann HiLo Activator) (direction) — Acts as a trend filter to ensure the breakout aligns with the short-to-medium term moving average bias.
• Daily High Low MTF (entry) — Provides the horizontal trigger levels based on the previous day's extreme liquidity zones.
• TopTrend (BBands Stop) (exit) — Uses volatility-adjusted trailing stops to capture trend extensions while exiting early on volatility reversals.
• Constant Range Channel (risk) — Provides a non-lagging, fixed-distance structural boundary for initial stop-loss placement and position sizing.
• Relative Volume (RVOL) (confirmation) — Validates the breakout by ensuring unusual market participation, distinguishing true breaks from low-liquidity noise.

Known failure conditions

• Price spends >3 days in a range smaller than the CRC StepTicks value (compression).
• RVOL consistently stays below 1.0 during new daily highs/lows (liquidity exhaustion).
• ADR_B stays at 1.0 (parity) despite price making higher highs/lower lows (divergence).

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