Fractal Imbalance Trend (FIT) Strategy

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

Thesis

Market breakouts are often false unless accompanied by a 'displacement' (Fair Value Gap) signifying institutional participation. By timing these breakouts with the start of a fresh Aroon trend (Direction) and using Heiken Ashi smoothing for risk (Risk/Exit), the strategy seeks to capture high-velocity moves while filtering out noise and late-stage trend exhaustion.

Components

• Indicator Sample Diagnostic (regime) — Used strictly for developer logging and audit trailing of bar counts to ensure execution environment consistency across timeframes.
• Aroon (direction) — Determines the primary trend bias and identifies the exhaustion of the counter-trend before entry.
• Trend Break Fractal (entry) — Provides the structural trigger; a breakout of a trendline formed by two consecutive local price extremes (fractals).
• Heiken Ashi (exit) — Acts as a trend-smoothing filter for the exit, preventing premature liquidation during minor retracements.
• Chandelier Exit Heiken Ashi Variant (risk) — Provides dynamic, volatility-adjusted stop levels and determines position sizing based on Heiken Ashi smoothed extremes.
• FVG Crosscheck (Python Definition) (confirmation) — Validates the breakout by ensuring there is institutional displacement (imbalance) accompanying the move.

Known failure conditions

• Price repeatedly fills FVGs immediately (lack of displacement).
• Aroon values oscillate between 30 and 70 without sustained crossovers (choppy regime).
• Fractal trendlines are broken on low volume with immediate reversion back inside the fractal range.

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