TII-ASI Volatility Breakout System
Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Indices · Timeframes: 15M, 1H
Thesis
Trend extensions are most reliable when nominal price breakouts (Donchian) are synchronized with a high-intensity regime (TII) and 'true' price momentum (ASI). By entering only during volatility expansion (Bollinger) with volume support, the strategy filters out false breakouts. The edge lies in using the IAE's multi-modal confluence to exit before mean reversion occurs, while anchoring risk to session liquidity levels.
Components
- Trend Intensity Index (TII) (regime) — Filters for high-conviction trend regimes to avoid Donchian whipsaws in ranging markets.
- Accumulation Swing Index (ASI) (direction) — Confirms the 'real' price direction by filtering out noise and ensuring the cumulative swing momentum aligns with the breakout.
- Donchian Channels (DC) (entry) — Identifies volatility-backed breakouts above recent price extremes.
- IAE — Technical Confluence Score (exit) — Aggregates multiple technical layers to detect trend exhaustion or regime shifts for a multi-modal exit.
- Session Range (High/Low/Mid) (risk) — Provides structural horizontal anchors for stop-loss placement and risk-defined position sizing based on intraday liquidity.
- Volume Force (VF) (confirmation) — Ensures the breakout is supported by volume-weighted price pressure, reducing the probability of low-liquidity traps.
- Bollinger Bands (volatility_filter) — Ensures entries occur during periods of volatility expansion (bandwidth increase) rather than late-stage exhaustion.
Known failure conditions
- ASI remains flat or diverges significantly from price for >5 bars after entry.
- Donchian Channels width shrinks by 50% while the trade is active (volatility collapse).
- Session Range height is less than 0.1% of asset price, leading to stop-loss levels that are too tight for market noise.
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