Adaptive Daily Range Expansion Strategy

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

Thesis

Market price discovery is most efficient when escaping the previous day's value range; this breakout is tradeable if the underlying market cycle (SAM) and directional momentum (ADX) align, provided the move represents genuine range expansion (REI) rather than low-liquidity noise.

Components

• Daily High Low MTF (regime) — Identifies structural boundaries of the previous day to establish a breakout regime.
• Smoothed Adaptive Momentum (direction) — Filters for momentum that is dynamically tuned to the market's dominant cycle period via the Homodyne Discriminator.
• ADX Crossing INGM (entry) — Triggers the trade upon a +DI/-DI crossover, signifying a shift in directional dominance.
• Stochastic Oscillator (exit) — Signals momentum exhaustion at overbought/oversold levels to capture profits before reversal.
• Chandelier Exit Heiken Ashi Variant (risk) — Provides a dynamic, volatility-adjusted stop-loss based on Heiken Ashi price extremes.
• Range Expansion Index (REI) (confirmation) — Filters out noise by ensuring price velocity meets DeMark's expansion criteria before entering.
• Spread Monitor (Tick-Level) (volatility_filter) — Prevents entry during periods of extreme illiquidity or news-driven spread spikes.

Known failure conditions

• The ADX Crossing INGM repaint flag causes entries to appear retrospectively where they did not occur in real-time.
• The Homodyne Discriminator fails to find a dominant cycle in chaotic or extremely low-volatility 'flat' markets.
• Strategy performs poorly in 'inside day' regimes where price fails to breach the previous day's range.

Explore the full interactive blueprint with parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine (free download).