London-NYSE Fractal Darvas Momentum

Family: breakout · Regime: high_vol · Complexity: medium · Asset classes: FX (Major Pairs), Equity Indices (SPX, NASDAQ) · Timeframes: 5m, 15m

Thesis

Market breakouts are most reliable when micro-structure (Mn Fractals) and macro-structure (Darvas Boxes) align during high-liquidity sessions. By using Heiken-Ashi volatility stops, we filter out noise while exiting positions when volume-weighted momentum (MFI) signals a exhaustion of the impulsive move. This approach assumes that price discovery during the London/NYSE overlap follows a 'break-and-run' pattern rather than a mean-reverting one.

Components

• Market Sessions (DarthBuddha) (regime) — Filters for the London/NYSE overlap where volatility and institutional participation are highest.
• Darvas Boxes Modern/Classic (direction) — Establishes the macro-trend direction via high/low consolidation breakouts.
• Mn Fractal Store (entry) — Identifies micro-breakout levels based on asymmetric pivot peaks/troughs.
• Money Flow Index (MFI) (exit) — Identifies volume-weighted exhaustion points to signal an early exit before trend reversal.
• Chandelier Exit (Heiken Ashi) (risk) — Provides a volatility-adjusted trailing stop and determines position sizing based on HA price action.
• Imported UDT Typed UDF Params Test (confirmation) — Ensures momentum persistence by comparing current price against historical UDT-stored points (Close vs Close[10]).
• Calendar Session Utility (volatility_filter) — Hard volatility filter to prevent trading during illiquid market opens or holiday gaps.

Known failure conditions

• Consistently hitting Chandelier stops before MFI reaches exhaustion levels during trending periods.
• High frequency of Darvas Box breakouts that immediately reverse within the Mn Fractal Store look-ahead window.
• Loss of liquidity during the London/NYSE overlap due to unexpected bank holidays or geopolitical events.

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