Fractal Delta Liquidity Breakout

Family: breakout · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Crypto · Timeframes: H1, H4, D1

Thesis

Price breakouts of Bill Williams fractals represent shifts in market structure that offer a high-probability entry when aligned with medium-term trend (SMA) and immediate momentum (UDT Delta). By further filtering for execution costs (Spread Monitor), the strategy captures only high-liquidity moves where the edge exceeds the cost of trading.

Components

• Imported UDT typed UDF params Test (regime) — Acts as a momentum-delta regime filter, ensuring the immediate price change (1-bar delta) aligns with the desired direction.
• Simple Moving Average (SimpleMA) (direction) — Provides the medium-term trend bias to ensure entries are only taken in the direction of the established flow.
• Trend Break Fractal (entry) — Generates the core entry signal based on the violation of structural price points (Bill Williams fractals).
• Moving Averages (Multi-Method) (exit) — Uses a 13-period EMA (Method 1) as a dynamic trailing exit to capture trend extensions while limiting drawdowns.
• Price Line and Visible Range High-Low (risk) — Determines hard stop-loss levels based on the visible chart high/low, anchoring risk to recent market volatility.
• Spread Monitor (Tick-Level) (volatility_filter) — Filters out entries during periods of low liquidity or news-driven spread spikes that would erode the edge.

Known failure conditions

• Spread consistently exceeds 50% of the average candle range, rendering breakouts unprofitable.
• Market enters a low-volatility 'sawtooth' pattern where fractals are triggered but lack follow-through.
• The 'Visible High/Low' levels are excessively wide due to chart scaling, leading to unacceptably small position sizes.

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