Efficient Daily Breakout Composite

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: FX Majors, Equity Indices (DAX, S&P 500), Gold · Timeframes: M15, H1

Thesis

Market participants tend to cluster orders around previous daily extremes (DHL). A breakout from these levels that displays high 'efficiency' (Kaufman ER) and is supported by volume accumulation (A/D) indicates a transition from balance to imbalance. The MACD provides a momentum-based confirmation that the imbalance is persistent, while the double-smoothed TSI identifies the decay of this momentum for a timely exit. This multi-layered filter seeks to isolate high-conviction intraday trends.

Components

• Daily High Low (regime) — Defines the structural regime; breakouts beyond yesterday's range indicate potential expansion phases.
• Accumulation/Distribution (A/D) (direction) — Confirms price action with volume-based intent; identifies if the breakout is backed by real buying/selling pressure via divergence.
• MACD Classic (entry) — Provides the specific momentum-based entry trigger once the regime and volume conditions are met.
• TSI Convergence Divergence (TSI_CD) (exit) — Detects momentum exhaustion through double-smoothed EMA crossovers to exit before significant mean reversion occurs.
• Session Range (High/Low/Mid) (risk) — Uses the current session's volatility bounds to define logical stop levels and trade sizing.
• Efficiency Ratio (Kaufman) (volatility_filter) — Filters out choppy 'mean-reverting' price action; ensures the strategy only operates when price displacement is 'efficient'.

Known failure conditions

• Consistently low Efficiency Ratio readings (<0.20) during session transitions, indicating a structural lack of trend.
• Frequent 'look-above-and-fail' patterns where price breaches the DHL level but immediately reverts into the session range.
• External indicator dependency failure (missing TSIs.mq5) leading to non-execution.

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