Lorentzian Neural Squeeze Breakout
Family: breakout · Regime: trending · Complexity: high · Asset classes: Equities, FX, Crypto · Timeframes: H1, H4
Thesis
The strategy hypothesizes that market breakouts from low-volatility zones (Squeezes) are higher probability when the current price-action feature-set aligns with historical profitable analogs (Lorentzian) and internal candle strength (NNind) coincides with high-volume institutional participation (Hybrid Scanner). This edge relies on the structural reality that volatility is cyclical and moves from periods of compression to expansion.
Components
- Lorentzian Classification (regime) — Defines the regime by finding historical price-action analogs in a multi-dimensional feature space. It ensures the current market 'looks like' past profitable regimes.
- Neural Network Indicator (NNind) (direction) — Acts as a non-linear momentum filter. It processes the Close Location Value (CLV) to confirm that price discovery is currently favoring one side of the candle range.
- Bollinger Squeeze Advanced (entry) — The execution trigger. It identifies the transition from low-volatility compression (squeeze) to high-volatility expansion (breakout) using the histogram.
- MACD Classic (3-Line) (exit) — Provides a trailing trend exit logic. When momentum (histogram) or the trend (signal line) reverses, the position is liquidated.
- Boxline (Range Breakout) (risk) — Determines trade invalidation levels based on local market structure (consolidation boundaries) rather than arbitrary pips.
- Custom 006 Hybrid Table Scanner (volatility_filter) — A binary filter requiring both trend alignment (EMAs) and volume participation (spike) before any signal is considered valid.
Known failure conditions
- Prolonged sideways markets where Boxline ranges are extremely narrow, leading to high-frequency stop-outs on noise.
- Market regime shift where historical analogs (Lorentzian) are no longer predictive of future movement (non-stationarity).
- Volume dry-ups where the Table Scanner score never reaches the required threshold despite price movement.
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