ADM-Regressed Structural Breakout Strategy

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

Thesis

Market participants under-react to emerging statistical drift, creating a window where price structure (Flip Flop) breaks out in the direction of the underlying drift (ADM) and trend (LINREG). By entering on these structural breaks and exiting when the momentum cycle exhausts (Gator), we capture the meat of a statistically significant move while ignoring noise.

Components

Unsupported array.range UDT method (regime) — Acts as a 'volatility sanity check'. If the range calculation on price-point UDTs returns 0 or null, the market is considered too stagnant for the breakout logic to function.
Linear Regression (LINREG) (direction) — Provides the primary directional filter, ensuring trades are only taken in the direction of the medium-term price slope.
Flip Flop Indicator (entry) — Identifies structural breakout levels (High of lowest bear / Low of highest bull). Entry occurs only when price pierces these volatility-derived levels.
Gator Oscillator (exit) — Identifies trend exhaustion. The 'Sated' phase (both histograms red/shrinking) signals that the trend impulse has matured.
Asset Drift Model (ADM) (risk) — Determines the statistical validity of the trend. Used for position sizing based on the T-stat (HAC) and setting stops based on drift-adjusted variance.
Momentum (Example) (confirmation) — Confirms that the price action has sufficient velocity to overcome transaction costs and spread.

Known failure conditions

ADM Drift(H) fails to exceed 0.5% over the lookback, indicating mean-reversion rather than drift.
Flip Flop levels are separated by less than 2x Average True Range, indicating a compression zone where breakouts are likely to fail.
Gator Oscillator remains in the 'Sleeping' phase (both histograms small/near zero) for more than 50 bars.

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