Recursive Median Structure Breakout

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Equities, Forex, Crypto · Timeframes: 1H, 4H, Daily

Thesis

The strategy hypothesizes that trends are most tradeable when price breaks out of recent bearish consolidation (Flip Flop) while a non-linear filter (RMF) confirms the macro trend is free of outlier noise. By requiring alignment between market structure, volatility-adjusted midpoints, and recursive smoothing, we filter out 'fakeouts' common in standard breakout systems.

Components

• Recursive Median Filter (regime) — Used to define the macro-regime; only trades in the direction of the RMF slope are permitted to filter out high-frequency noise.
• Minimal Fill Examples (direction) — Provides a secondary directional filter; price must be above/below the SMA 20 to confirm momentum alignment.
• Flip Flop Indicator (entry) — The primary entry trigger; uses market structure (highs of bearish bars/lows of bullish bars) to identify volatility-backed breakouts.
• ZigZag Color (Classic) (exit) — Provides a trailing exit based on confirmed structural swing reversals, ensuring the trade is held through minor noise.
• Nadaraya-Watson Envelope (EMA Proxy) (risk) — Sets the dynamic stop-loss and calculates position size based on the DEMA-derived volatility bands.
• MIDPOINT: Rolling Midpoint (volatility_filter) — Acts as a mean-reversion filter; entries are only taken if price is on the 'correct' side of the 14-period range center to avoid late-stage trend exhaustion.

Known failure conditions

• Prolonged sideways consolidation where price oscillates around the RMF and Midpoint without hitting ZigZag exit points.
• High-frequency news events causing the Flip Flop levels to expand rapidly, resulting in massive stop-loss distances.

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