Lorentzian-Azullian Session Breakout

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

Thesis

Market participants exhibit repeatable behavioral patterns during high-volume sessions that can be classified using Lorentzian Distance; when these patterns align with strong directional momentum (ADX), the probability of a sustained extension to session-based targets increases.

Components

• Indicator Sample Logging Diagnostic (regime) — Acts as a state-machine guard to ensure the EA is synchronized with server time and that 'prev_calculated' matches expectations before execution.
• ADX / Connectable [Azullian] (direction) — Filters for trending environments; prevents entry in low-volatility 'sawtooth' markets where KNN classifiers often fail.
• Lorentzian Classification (entry) — Uses multi-dimensional distance metrics to find historical analogues; provides the high-probability trigger based on pattern recognition.
• Trepidity Opening Range with Extensions (exit) — Provides mathematically derived profit targets based on the volatility of the session open.
• Boxline (Dynamic Range Breakout) (risk) — Used for dynamic stop-loss placement at the 'Box Bottom' (Long) or 'Box Top' (Short) to respect local market structure.
• Average Volume (AV) (confirmation) — Validates the ML-triggered move by requiring participation above the 60-period EMA, reducing false breakouts.

Known failure conditions

• ADX falls below 20 for more than 50 bars, indicating a deep consolidation regime.
• Lorentzian Classification 'Neighbors Count' provides conflicting votes (near 50/50 split).
• Extension levels are reached before the volume EMA confirms the move.

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