Fractal-Darvas Structural Breakout System

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Crypto · Timeframes: H1, H4, D1

Thesis

Market prices oscillate between periods of 'chaos' (noise) and 'structure' (trends). By using Fractal Chaos Bands to define the noise floor and Darvas Boxes to identify the transition into a structured trend, we can enter trades with a high probability of momentum. The edge is refined by CCC volume filters, which hypothesize that price breakouts on institutional distribution (D-Days) or climax candles are likely to fail or mean-revert.

Components

Fractal Chaos Bands (FCB) (regime) — Establishes the volatility regime; price must clear the 'chaos' of the upper/lower bands to indicate a non-random trend initiation.
Darvas Boxes Modern/Classic (direction) — Provides the primary trend structure signal; identifies confirmed breakouts from established price boxes.
Qualitative Quantitative Estimation (QQE) with Alerts (entry) — Confirms the momentum of the breakout via smoothed RSI to ensure the move has sufficient velocity.
Average True Range (NNFX) (exit) — Provides a volatility-adjusted trailing exit to capture the meat of the trend without being shaken out by noise.
Supply & Demand Zones (NNFX) (risk) — Uses recent market structure (pivot highs/lows) to set logical, non-arbitrary stop-loss levels.
Combined Candle Counter (CCC) Dev (volatility_filter) — Acts as a secondary filter to prevent entering during distributive volume (D-Days) or late-stage exhaustion (Climaxes).

Known failure conditions

Price repeatedly enters and exits Fractal Chaos Bands without Darvas box expansion (choppy noise).
QQE remains flat around the 50 level despite price breakouts, suggesting low-momentum fakeouts.
Supply/Demand zones are too wide (>3x ATR), making the R:R profile unattractive.

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