Macro-Filtered Daily Breakout System

Family: breakout · Regime: trending · Complexity: high · Asset classes: FX, Equities, Commodities · Timeframes: H1, H4

Thesis

Sustainable trends require three distinct forces: a breach of structural resistance (Daily Highs), positive volume flow (CMF), and a stable macro-liquidity environment (Macro Risk Dashboard). By filtering out ranging markets (VHF) and only entering when momentum (MACD) aligns with the primary MA channel trend, we capture high-velocity movements while scaling risk down during systemic stress.

Components

• Trend Bars (regime) — Establishes the broad trend regime; we only trade in the direction of the price relative to the High/Low EMA channel to avoid mid-range noise.
• Chaikin Money Flow (NNFX Version) (direction) — Ensures that the price movement is supported by volume-weighted buying/selling pressure rather than low-liquidity spikes.
• Daily High Low (entry) — Provides a concrete market structure breakout trigger based on yesterday's extremes.
• Heiken Ashi (exit) — Used for a trailing exit to smooth out minor pullbacks while capturing the meat of a trend.
• Macro Risk Dashboard v8.2 (risk) — Dynamically scales risk and stop loss based on aggregate cross-market stress and volatility.
• MACD Classic (confirmation) — Confirms that the breakout has sufficient momentum to sustain a new trend.
• Vertical Horizontal Filter (VHF) (volatility_filter) — Filters out non-trending environments where daily breakouts are likely to fail.

Known failure conditions

• VHF remains below 0.30 for extended periods, indicating a permanent shift to ranging behavior.
• Macro Risk Dashboard shows high stress (Composite > 70) while price makes new highs, suggesting a liquidity-driven 'melt-up' or exhaustion.
• Price repeatedly oscillates within the MA Channel (Trend Bars = Neutral).

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