Log-ASI Contango Breakout System

Family: breakout · Regime: trending · Complexity: medium · Asset classes: US Equities, Index Futures · Timeframes: M15, H1

Thesis

Breakout efficiency is highly dependent on the stability of price variance and the structural state of market volatility. By normalizing price action into logarithmic space and filtering for VIX Contango, we can isolate breakout signals where the 'true' momentum (ASI) reflects institutional accumulation rather than retail noise. The McGinley Dynamic ensures we capture the meat of the trend while remaining responsive to volatility-induced shifts in price speed.

Components

• Logarithmic Transformation (LOG) (regime) — Stabilizes price variance before it is fed into the ASI, ensuring the 'Swing Index' calculation reacts to percentage moves rather than absolute point moves.
• Accumulation Swing Index (ASI) (direction) — Provides the 'true' direction of the market by filtering noise between the open, high, low, and close, effectively acting as a momentum filter for the breakout.
• Pivot Points (Classic) (entry) — Defines objective horizontal breakout levels (R1/S1) that represent liquidity clusters for entry triggers.
• McGinley Dynamic (exit) — Acts as a dynamic trailing exit that adjusts its sensitivity based on price speed, reducing the lag found in traditional moving averages.
• VIX Curve Regime (Simple) (risk) — Determines position sizing and trade viability based on the term structure of volatility (Contango vs. Backwardation).
• ProfitRobots Dashboard Template (confirmation) — Used to confirm that the breakout is not idiosyncratic but reflects broad market index alignment.

Known failure conditions

• VIX/VIX3M ratio remains significantly above 1.0 for extended periods while price trends upward (decoupling of vol and price).
• ASI oscillates around zero during high-volatility ranging markets, causing frequent whipsaws at Pivot levels.

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