Float-Fractal Volatility Expansion Strategy

Family: breakout · Regime: trending · Complexity: high · Asset classes: FX, Equities, Indices · Timeframes: M30, H1, H4

Thesis

Market structure breaks (Fractals) are most reliable when they coincide with a new volume-weighted expansion cycle (Float Trader) and occur at major daily psychological/liquidity levels (Pivots). By filtering breakouts with a volatility ratio (VR), the strategy avoids 'fake' expansions and captures high-probability trend legs, using smoothed momentum (Laguerre RSI) to exit before mean reversion occurs.

Components

• Float Trader Indicator (regime) — Defines the market regime by determining if price has exhausted its volume-weighted expansion from the last major swing extreme.
• Trend Break Fractal (direction) — Provides the directional breakout trigger based on local market structure (fractals) rather than simple moving averages.
• Pivot Points (Classic) (entry) — Acts as a volatility filter and entry confirmation; ensures trades are taken only when price breaks through established daily liquidity levels (R1/S1).
• Laguerre RSI (exit) — Used to exit when momentum exhausts; the Laguerre smoothing reduces the noise found in standard RSI while maintaining sensitivity.
• Volatility Ratio (VR) (risk) — Dynamically scales position size and stop loss distance based on the ratio of current True Range to ATR.

Known failure conditions

• Successive failures of Pivot R1/S1 levels to act as support/resistance in high-volume environments.
• Laguerre RSI remaining pinned at extremes for extended periods while price moves against the trend (momentum divergence).
• Volume resets occurring too frequently due to the Float parameter being smaller than the current cycle's volatility.

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