MdAE-Fractal Session Breakout

Family: breakout · Regime: trending · Complexity: medium · Asset classes: US Equities, FX Majors · Timeframes: 15m, 1h

Thesis

The strategy hypothesizes that breakouts of 5-bar swing levels (Williams Fractals) are most significant when they occur during the US session peak. By setting risk based on the Median Absolute Error (MdAE) of price bars, we can isolate 'normal' intraday noise from 'abnormal' trend movement, while ATR Heiken Ashi provides a trailing exit that is less prone to the 'whipsaw' effect of standard OHLC candles.

Components

• Calendar Session Utility (regime) — Defines the 'Institutional Participation' window where breakout validity is highest.
• Unsupported Imported UDT varip Test (direction) — Evaluates current price (close) against immediate historical context to ensure the breakout aligns with local momentum.
• Williams Fractals (entry) — Identifies local liquidity pools; a break above/below these levels indicates a shift in short-term market structure.
• ATR Heiken Ashi (exit) — Provides a smoothed volatility-based exit that ignores minor price noise through HA candle averaging.
• Median Absolute Error (risk) — Quantifies the 'typical' noise (error) of a candle; stop-loss is set outside this median noise floor to avoid premature stop-outs.
• Average True Range (NNFX Version) (volatility_filter) — Ensures the market is sufficiently active; prevents entries during low-volatility 'flat' periods.

Known failure conditions

• Price action becomes 'choppy' where MdAE and ATR converge, indicating lack of directional noise.
• Successive fractal breaks in opposite directions within a single session (wash-out).

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