Structural Donchian-Box Momentum Filter
Family: breakout · Regime: trending · Complexity: medium · Asset classes: Equities, Forex, Commodities · Timeframes: M15, H1
Thesis
Market trends are most tradable when momentum (Bears Power) and structure (Donchian/Boxline) align across multiple timeframes. The 'Bar Counter' ensures the platform's history is loaded, preventing calculation errors. By entering on structural breakouts (Donchian) only when price is extended beyond long-term EMA envelopes (XARD), we isolate high-velocity moves. The edge is derived from the structural support provided by the Boxline, which offers a non-arbitrary stop loss that adapts to the volatility of the specific trend leg.
Components
- MQL4 Indicator Sample Bar Counter (regime) — Acts as a data-integrity filter, ensuring the strategy only operates on charts with sufficient historical depth for the 144 EMA and Donchian calculations.
- XARD Channel (direction) — Determines the primary trend bias by requiring price to reside above (Long) or below (Short) the 144-period high/low envelope.
- Donchian Channels (entry) — Triggers the entry on a physical breakout of the 20-period price extreme, signaling a shift in market structure.
- Bears Power (exit) — Used as an exhaust/momentum exit; identifies when selling pressure is returning (Long exit) or diminishing (Short exit) relative to the EMA.
- Boxline (Dynamic Range Breakout) (risk) — Provides dynamic, price-action based support/resistance levels for stop-loss placement and position sizing.
- MTF Heatmap Template (confirmation) — Provides higher-timeframe confluence by requiring the H1 and D1 trends (based on XARD logic) to align with the execution timeframe.
Known failure conditions
- Price remains trapped within the Boxline range for extended periods, leading to time-decay losses.
- Multi-timeframe signals frequently conflict (H1 Bullish, D1 Bearish), preventing entry during strong but brief trends.
- Donchian breakouts occur at the extreme end of an ATR extension, leading to entries immediately followed by mean reversion.
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