Volumetric Step Breakout System
Family: breakout · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Crypto · Timeframes: H1, H4
Thesis
Trends are most reliably captured when a volatility-based 'price step' (Constant Range Channel) is breached during a period of expanding volume (VO) and positive money flow (MFI). The SAR provides the regime filter to ensure the trade aligns with the broader momentum. The edge exists because price often 'staircases' through levels; a breakout with volume confirms that the market is moving into a new value area rather than just a noise-induced spike.
Components
- Parabolic SAR (Standard) (regime) — Acts as the primary trend filter; price must be on the correct side of the SAR dots to establish a directional bias.
- iSpy Agent (direction) — Acts as the execution trigger by broadcasting tick-level data events, ensuring the strategy reacts to market structure changes in real-time.
- Money Flow Index (MFI) (entry) — Confirms that the price movement is backed by actual volume-weighted momentum, preventing entries on low-liquidity 'ghost' moves.
- Average True Range (NNFX) (exit) — Provides a volatility-adjusted exit mechanism (Profit Target) to ensure gains are realized relative to current market expansion.
- Point-Based Price Grid (risk) — The point-based interval (InpP1) defines the static risk units for stop-loss placement and position sizing, grounding risk in market structure.
- Volume Oscillator (VO) (confirmation) — Confirms volume expansion (VO > 0) to ensure the trend regime has sufficient participation to sustain a breakout.
- Constant Range Channel (volatility_filter) — Filters out noise by requiring price to break a fixed-step volatility 'staircase' before an entry is valid.
Known failure conditions
- Prolonged low-volatility 'staircase' ranging where price whipsaws across the Constant Range Channel without hitting ATR targets.
- Failure of the VO to stay positive during a SAR-confirmed trend, indicating a lack of institutional participation.
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