Fractal Donchian Momentum Breakout

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

Thesis

Markets transition from low-volatility compression to high-volatility expansion; by entering only when a fractal level is breached during a Donchian expansion with MACD momentum, we capture the high-velocity phase of a new trend while using TSI_CD's double-smoothing to filter out minor noise during the exit.

Components

• Donchian Channels (DC) (regime) — Defines the volatility regime; expansion of the channel signifies a transition from range to trend.
• Mn Fractal Store (direction) — Provides the 'Direction' by identifying structural horizontal resistance (peaks) and support (troughs) that must be breached.
• MACD (entry) — Confirms that the breakout is backed by short-term momentum to filter out 'trap' breakouts.
• TSI Convergence Divergence (TSI_CD) (exit) — Uses double-smoothed momentum to identify exhaustion; the histogram flip serves as a sensitive trend-end signal.
• SuperTrend (risk) — Provides a volatility-adjusted trailing stop and defines the risk-per-trade based on ATR distance.

Known failure conditions

• Consecutive fractal breakouts occurring within the DC Basis midline, indicating a choppy sideways regime.
• TSI_CD failure to update due to missing external 'TSIs' dependency.
• Price consistently hitting SuperTrend stops before MACD momentum can materialize.

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