Leptokurtic Keltner Breakout System

Family: breakout · Regime: trending · Complexity: high · Asset classes: FX, Equities, Crypto · Timeframes: M15, H1

Thesis

Market breakouts are most reliable when they occur during a shift from statistical normality (low JB values) to non-normal distributions (high JB values), provided they are confirmed by multi-timeframe trend alignment and positive money flow (A/D). By using statistical 'fat-tail' detection to scale risk, we can participate in high-momentum moves while reducing exposure to outlier-driven volatility traps.

Components

• Ichimoku Kinko Hyo (regime) — Establishes the macro trend regime; ensures entries only occur when price is on the correct side of the Kumo cloud and momentum is aligned.
• TF Bias Detector (SMC) (direction) — Filters for multi-timeframe alignment; ensures the H1 trend and RSI momentum are synchronized with the lower timeframe entry.
• Keltner Channels (entry) — Provides the execution trigger via an Upper/Lower band breakout, capturing momentum bursts.
• HiLo Activator (Pandini Version) (exit) — Acts as a dynamic trailing stop that flips based on price action, preserving gains during trend exhaustion.
• Jarque-Bera Test (JB) (risk) — Measures the 'normality' of returns; used to scale risk down when the market exhibits extreme kurtosis (fat-tailed risk).
• Accumulation/Distribution (A/D) (confirmation) — Confirms price movement with volume flow; seeks divergences to ensure the breakout has institutional backing.
• Andean Oscillator (volatility_filter) — Filters for bullish/bearish acceleration to ensure the breakout is not a low-velocity trap.

Known failure conditions

• Consecutive whipsaws in the HiLo Activator during a low-volatility 'tight' range.
• Andean Oscillator Signal stays above Bull/Bear lines for extended periods without price movement (decay failure).
• JB values remain below 5.991 during large price moves, indicating a breakdown in the statistical assumption of the breakout's significance.

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