McGinley-Heatmap Efficiency Breakout

Family: breakout · Regime: trending · Complexity: medium · Asset classes: Equities, Forex, Indices · Timeframes: H1, H4, D1

Thesis

Market participants often treat high-volume concentration levels (POC) as psychological anchors. A breakout from these levels, when validated by high price displacement efficiency (Kaufman ER) and speed-adjusted trend alignment (McGinley), signals the entry of institutional momentum that is likely to persist until volatility-exhaustion (Bears Power) or a trend-break (TopTrend) occurs.

Components

• VolumeHeatmap (Experimental Marketorders Matrix) (regime) — Defines the 'Point of Control' (POC) to ensure the trade occurs in a regime where price has successfully cleared significant volume-based resistance or support.
• McGinley Dynamic (direction) — Acts as a speed-adjusted trend filter, ensuring entries align with the prevailing directional momentum without the typical lag of SMAs.
• CCI Arrows (entry) — Provides the tactical entry signal when momentum crosses the zero-line, indicating a shift from bearish to bullish (or vice versa).
• Bears Power (exit) — Used for exit logic; a spike in Bears Power (selling pressure) against a long position or a collapse in pressure for a short suggests trend exhaustion.
• TopTrend (BBands Stop) (risk) — Provides a volatility-adjusted trailing stop and initial stop loss based on Bollinger Band expansion.
• Efficiency Ratio (Kaufman) (volatility_filter) — Filters out low-conviction/sideways price action where CCI signals are most prone to whipsaws.

Known failure conditions

• The strategy fails if the Efficiency Ratio remains high during range-bound oscillations (false efficiency).
• The strategy fails if Volume POC levels are breached frequently within the lookback window, indicating a lack of institutional 'memory' at price levels.

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