SuperSmoothed Momentum Breakout (SSMB)
Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities, FX, Crypto · Timeframes: H1, H4, D1
Thesis
Sustainable breakouts occur when price velocity (ROC) significantly exceeds historical volatility (HV), provided that the underlying trend is filtered for noise using 2nd-order low-pass filters. By using TDFI's cubic momentum, we identify 'force' that distinguishes structural shifts from temporary noise.
Components
- RSI Area (Histogram) (regime) — Acts as the primary regime filter to ensure trades are only taken in the direction of mid-term momentum (above/below 50).
- Ehlers SuperSmoother Filter (direction) — Provides a low-lag trend baseline. Entries are only valid if price is on the correct side of this 2nd-order filter to minimize counter-trend exposure.
- SilverTrend Sv2 (entry) — Determines the specific breakout level (SsMax/SsMin) required to trigger an entry, acting as the final execution signal.
- UT Bot Alerts (MQL5) (exit) — Provides an adaptive trailing stop and exit signal based on ATR-volatility, closing trades when price momentum reverses significantly.
- Annualized ROC / HV Ratios (risk) — Normalizes position sizing by the efficiency of price movement; larger positions are taken when the rate of change is high relative to realized volatility.
- Trend Direction and Force Index (TDFI) (confirmation) — Confirms that the breakout has sufficient 'force' (cubic momentum) to exit the dead zone, filtering out low-conviction price spikes.
Known failure conditions
- Consecutive losses exceeding 10% of drawdown due to SilverTrend buffer lag in high-volatility reversals.
- ROC/HV Ratio remains below 0.5 for extended periods while price oscillates around the SuperSmoother line, indicating a lack of tradable volatility.
- Systemic failure if the TDFI cubic component creates 'perma-flat' signals during high-frequency noise regimes.
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