Linear USF Keltner Breakout

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

Thesis

Breakout efficiency is maximized when price exhibits low linear dispersion (STDERR) and momentum alignment (Bulls Power). By filtering for 'clean' trends using Ehlers USF, we avoid high-volatility noise and trade only the structural shifts in market consensus.

Components

• Indicator Sample Bar Counter (regime) — Used to ensure data maturity and sufficient history for IIR filter (USF) and ATR calculations to stabilize before trading begins.
• Bulls Power (direction) — Determines if the buyers have sufficient strength relative to the EMA consensus to support a breakout.
• Keltner Channels (entry) — Identifies volatility-based breakout points where price escapes standard deviation-like boundaries.
• Average True Range (NNFX) (exit) — Used for dynamic profit taking based on recent volatility.
• Daily High Low MTF (risk) — Provides objective market-structure-based stop-loss levels and informs position sizing.
• Ehlers Ultimate Smoother Filter (USF) (confirmation) — Provides a zero-lag trend confirmation to filter out noise and ensure the price action has structural support.
• Standard Error of Regression (STDERR) (volatility_filter) — Filters out 'sloppy' breakouts; entries only allowed when price dispersion around its regression line is low, indicating a clean trend.

Known failure conditions

• Price repeatedly touches Daily High/Low without trend continuation (range-bound D1)
• ATR reaches historical lows, causing the Keltner bands to contract so tightly that noise triggers entries.
• USF and Bulls Power provide conflicting signals for more than 5 consecutive bars.

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