Triple Fractal Regime Breakout
Family: breakout · Regime: trending · Complexity: medium · Asset classes: Forex, Indices, Equities · Timeframes: H1, H4, D1
Thesis
Breakouts are only valid when structural levels (Mn Fractals) are breached during a period of established regime consistency (measured by the Mode of EMA alignments) and supported by expanding price momentum (Size Highs/Lows) and volume (MFI). The strategy assumes that by the time all these conditions align, the market has moved from a state of noise to a state of intent, and that Heiken Ashi-smoothed ATR can provide a buffer against the 'stop-hunting' typical of such transitions.
Components
- Mode of String Array (Compatibility Test) (regime) — Aggregates the state of the Triple EMA over a lookback period to ensure the current 'regime' is consistent rather than a momentary cross.
- Mn Fractal Store (direction) — Identifies structural breakout points (levels) that must be breached to confirm price discovery beyond noise.
- Triple Exponential Moving Average (EMA) (entry) — Provides the core trend alignment trigger; entries are only valid when the short-term momentum aligns with the medium-term trend.
- FractalScanner (exit) — Acts as a trailing stop/exit mechanism by identifying the most recent local pivot against the trade.
- ATR Heiken Ashi (risk) — Uses smoothed price data to calculate volatility-based stops, reducing the likelihood of being stopped out by standard noise.
- Money Flow Index (MFI) (confirmation) — Confirms that the price move is backed by volume-weighted momentum, filtering out low-liquidity spikes.
- Size Highs and Lows 2 (volatility_filter) — Ensures that the candle bodies (absolute momentum) are expanding relative to history, confirming volatility expansion.
Known failure conditions
- Flat 'maxDelta' in Size Highs/Lows 2 indicating extreme compression and lack of participation.
- Frequent regime flipping in the Mode calculation (e.g., 'Up', 'Down', 'Up' within 5 bars).
- Price oscillating around the Mn Fractal Store levels without clear displacement.
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