ACF-Fractal Memory Breakout Strategy

Family: breakout · Regime: trending · Complexity: medium · Asset classes: Equities, Forex Minnie/Major, Crypto (Top 10) · Timeframes: H1, H4, D1

Thesis

Trend follow-through is more likely when price returns exhibit positive autocorrelation (ACF > 0). By entering on the breach of local structural resistance (fractals) only when this condition is met, we avoid false breakouts common in mean-reverting (negative ACF) environments. The SSL channel provides a momentum-sensitive trailing exit that adapts to changing volatility.

Components

• Autocorrelation Function (ACF) (regime) — Acts as a regime filter to ensure the market is in a 'trending' state (positive autocorrelation) rather than mean-reverting (negative autocorrelation) before attempting a breakout.
• Supported indicator max boxes count (direction) — Used as a coarse directional filter; price must be trending in the direction of the trade relative to the recent price window displayed.
• Support and Resistance (Fractal-based) (entry) — Provides the horizontal breakout triggers. Entering on a break of a Bill Williams' fractal ensures we enter only when local price structures are breached.
• SSL Channel (exit) — Acts as the trailing trend-following exit. The SMA-based flip identifies when the local momentum has shifted against the position.
• TMA Risk Panel (risk) — Provides volatility-adjusted position sizing and stop-loss placement based on ATR, ensuring risk is normalized across different instruments.

Known failure conditions

• Extended periods of zero or negative autocorrelation where price mean-reverts before reaching the SSL trailing exit.
• High-frequency fractal creation in low-volatility ranges leading to 'whipsaw' breakout signals.

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