Lorentzian Darvas Volatility Breakout

Family: breakout · Regime: trending · Complexity: high · Asset classes: EUR/USD, Major Forex Pairs · Timeframes: H1, H4

Thesis

Market breakouts are most reliable when traditional consolidation patterns (Darvas) coincide with cyclic lows (DSP), momentum variance expansion (Trendilo), and historical similarity to winning trades (Lorentzian ML), especially when priced against market-implied fear (EVZ). Edge exists because the strategy requires multi-domain alignment often ignored by single-indicator systems.

Components

• Darvas Boxes MetaTrader 5 (regime) — Defines the 'Box' regime; price must be breaking out of or holding above/below established consolidations to confirm market structure.
• Connect MACD (Azullian) (direction) — Provides the broad momentum direction using multi-symbol/timeframe aware smoothing to filter out noise.
• Lorentzian Classification (entry) — Acts as the final trigger by classifying current price action similarities to historical win-states in a multi-dimensional feature space.
• Restu Kaioh Scalping Indicator (exit) — Uses stochastic overbought/oversold levels to identify momentum exhaustion for exits.
• Euro FX VIX (EVZ) Data Loader (risk) — Uses external 30-day implied volatility data to scale position sizes and set stops based on market fear levels.
• Ehlers Detrended Synthetic Price (DSP) (confirmation) — Ensures the entry occurs within a favorable cyclic phase, avoiding entries at the end of a dominant cycle.
• Trendilo MT5 (volatility_filter) — Filters out low-volatility 'noise' by requiring the momentum variance to exceed a normalized threshold.

Known failure conditions

• EVZ data file becomes unavailable or desynchronized from price action.
• Lorentzian Classification K-NN clusters collapse into a single label due to extreme regime shift.
• Market enters a 'drift' state where price moves without a dominant cycle or significant volatility variance.

Explore the full interactive blueprint, parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine.