Drift-Adjusted Structural Breakout (DASB)

Family: breakout · Regime: trending · Complexity: medium · Asset classes: Equities, FX Majors极, Commodities · Timeframes: H1, M15

Thesis

Market breakouts are more likely to be valid rather than 'bull traps' when the underlying asset is in a statistically verifiable drift regime (ADM) and volume accumulation (A/D) precedes the breach of structural daily highs/lows. By filtering for session liquidity, we target the participation of institutional actors.

Components

• Asset Drift Model (ADM) (regime) — Identifies non-random walk regimes where price exhibits statistically significant drift and positive variance ratios.
• Accumulation/Distribution (A/D) (direction) — Used to detect bullish/bearish divergence, suggesting institutional positioning prior to structural breakouts.
• Daily High Low (entry) — Provides a structural threshold (Previous Day High/Low) for entry execution.
• Chandelier Exit (exit) — Acts as a trend-following trailing stop to capture extended moves while protecting against mean-reversion.
• ATR Stop Loss Finder (risk) — Sets the initial hard stop-loss and provides the volatility distance for position sizing.
• Calendar Session Utility (volatility_filter) — Limits trading to high-liquidity sessions where breakouts are more likely to have sufficient follow-through.

Known failure conditions

• ADM t-stat falls within [-1.64, 1.64] for extended periods, indicating a return to Brownian motion.
• ATR volatility exceeds 3x the 100-period average, making the stop-loss distances economically unfeasible.
• Price frequently oscillates across the Daily High/Low without ADM confirming a drift regime.

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