Asia-London RMSE Breakout Cycle

Family: breakout · Regime: trending · Complexity: medium · Asset classes: FX, CFDs · Timeframes: M15, H1

Thesis

The Asian session represents a period of price consolidation and liquidity building. A breakout from this range often signals a directional bias for the remainder of the trading day. By filtering these breakouts with a cycle-sensitive oscillator (STC) and a statistical volatility measure (RMSE), we can distinguish between high-conviction institutional moves and low-volume retail noise, improving the win rate of the classic session breakout.

Components

• Forex Asia Range Box Lite (regime) — Identifies the liquidity boundaries established during the Asian session to define the breakout regime for London/NY trade.
• CCI Arrows (direction) — Provides the directional bias based on the zero-line crossover of the Commodity Channel Index.
• Schaff Trend Cycle (STC) (entry) — Acts as the primary entry trigger by identifying the start of a cyclical trend phase.
• HiLo_04 (Gann HiLo Activator) (exit) — Serves as the trend-following exit, closing positions when the price breaches the Gann HiLo activator line.
• Chandelier Exit (risk) — Determines the hard stop-loss level and provides the ATR-based basis for position sizing.
• Momentum (MOM) (confirmation) — Confirms that the breakout has sufficient velocity to sustain a directional move.
• Root Mean Squared Error (RMSE) (volatility_filter) — Filters out signals during periods of low volatility (noise) where RMSE is below its rolling average.

Known failure conditions

• Asian session range exceeds 1.5x the 10-day ATR (indicating pre-London exhaustion).
• Price remains within the Asia Range Box for more than 4 hours after the London open.
• RMSE remains flat or declining during the breakout attempt.

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