Wavelet-Filtered Gann Volatility Breakout

Family: breakout · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Commodities · Timeframes: H1, H4

Thesis

Price breakouts are most reliable when a macro-trend (HiLo) is supported by a positive micro-cycle shift (DWT Detail) and a concurrent expansion in volatility (VR). By ensuring all three dimensions (Trend, Cycle, Volatility) align, the strategy seeks to avoid the 'fakeouts' common in low-liquidity drift.

Components

• Discrete Wavelet Transform (DWT) (regime) — Acts as a high-frequency noise filter; ensuring that the micro-cycle (Detail Level 0) is aligned with the macro-direction to avoid entering on minor pullbacks.
• HiLo Activator (Gann Style) (direction) — Provides the primary trend direction based on trailing moving averages of highs and lows, establishing the bias for the trade.
• Volatility Ratio (VR) (entry) — Triggers entry only when current bar volatility (True Range) exceeds the average, confirming a momentum-driven breakout rather than a low-liquidity drift.
• ATR Fib (exit) — Provides structure-based price targets derived from session-start volatility.
• ATR Heiken Ashi (risk) — Uses a smoothed volatility metric to calculate stop loss distance, reducing the probability of being stopped out by raw price spikes.

Known failure conditions

• Market enters a low-volatility 'grind' where VR never exceeds 1.2 but price trends anyway.
• HiLo Activator provides frequent flips in a tight range, leading to consecutive stop-outs before a move occurs.
• The 'static' ATR input for the Exit indicator becomes decoupled from current realized volatility.

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