Volume Cluster Breakout with Robust Median Risk

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Equities, Forex, Commodities · Timeframes: H1, H4, D1

Thesis

The strategy operates on the behavioral principle of 'Value'. Markets spend most time in High Volume Nodes (HVNs) where buyers and sellers agree on price. A breakout from an HVN, when confirmed by Williams Accumulation/Distribution (indicating institutional pressure) and QQE (indicating momentum), identifies the start of a new price discovery phase. By using Median Absolute Error for risk, we size positions based on persistent market noise rather than being prematurely stopped out by infrequent price outliers.

Components

• Volume by Level Map (regime) — Used to identify 'High Volume Nodes' (HVN). The hypothesis is that price trending away from an HVN represents a shift from equilibrium to a trending state.
• Williams Accumulation/Distribution (WAD) (direction) — Confirms that the breakout from the volume cluster is backed by actual accumulation/distribution rather than low-volume noise.
• Qualitative Quantitative Estimation (QQE) (entry) — Provides the momentum trigger. The crossing of the RSI_MA over the trailing level identifies a filtered acceleration in price.
• Moving Averages (Multi-Method) (exit) — Acts as a trailing trend-following exit. The SMMA (Smoothed Moving Average) is chosen for its slower reaction to noise compared to EMA.
• Median Absolute Error (risk) — Provides a robust volatility estimate for stop-loss placement. Unlike ATR, MdAE ignores extreme outlier candles, providing a 'typical' noise floor.

Known failure conditions

• Price remains trapped within a High Volume Node (HVN) cluster for extended periods (ranging).
• WAD slope remains flat while price oscillates, indicating lack of institutional conviction.
• MdAE stays significantly lower than ATR, suggesting outliers are the primary move drivers, which this strategy ignores.

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