Alligator Fractal Volume Breakout

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

Thesis

The 'Fractal-Volume Momentum' hypothesis posits that a breach of local price structure (Fractals) is a more reliable signal when occurring during a period of volatility expansion (MA Channel) and confirmed by institutional participation (Volume). By requiring the Bill Williams Alligator to be in an 'open' state, we filter for regimes where the market has completed a consolidation and is entering a new trend phase, while the SuperTrend ensures we exit only when the volatility-adjusted trend actually reverses.

Components

• Bill Williams Alligator (regime) — Filters for trending regimes; entry only occurs when the 'Alligator' is hungry (lines fanned out).
• Custom 006 Hybrid Table Scanner (direction) — Provides a dual-filter of intermediate trend (EMA cross) and relative volume expansion.
• Williams Fractals (entry) — Identifies breakout levels of local market structure to trigger entries.
• SuperTrend (exit) — Acts as a trailing stop-loss that adapts to volatility, securing profit during trend extensions.
• Average True Range (NNFX) (risk) — Determines initial stop-loss distance and calculates position size based on current market volatility.
• MA Channel (Framework Version) (volatility_filter) — Ensures price is in an expansion phase relative to a long-term moving average envelope.

Known failure conditions

• Strategy fails in 'Alligator sleep' phases where price oscillates within the 144 EMA channel.
• Strategy fails when high-volume spikes are immediately followed by mean-reversion (exhaustion volume).
• The 2-bar lag of the Fractal indicator results in poor risk-reward ratios if the breakout bar is exceptionally large.

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