Chaos-Volume Mean Reversion Breakout

Family: breakout · Regime: trending · Complexity: medium · Asset classes: Equities, Forex, Crypto · Timeframes: M15, H1

Thesis

Breakouts from fractal consolidation are more likely to persist as trends when they are supported by cumulative volume-weighted momentum (Accumulation/Distribution); however, these trends are temporary and tend to return to the intra-day Volume-Weighted Average Price (VWAP) as the impulse fades.

Components

• Indicator Workspace Template (SIBVIC) (regime) — Used to enforce a structural 'lookback window' ensuring that the logic only executes on fresh market data and maintains computational efficiency.
• Williams Accumulation/Distribution (WAD) (direction) — The slope of WAD confirms whether the breakout is supported by volume-weighted accumulation (bullish) or distribution (bearish).
• Fractal Chaos Bands (FCB) (entry) — Provides the mechanical trigger for breakout from price 'chaos' (noise) once the fractal high/low is breached.
• Daily Volume-Weighted Average Price (VWAP) (exit) — Serves as the intra-day 'fair value' anchor; once price returns to or crosses this level, the momentum-driven edge is assumed to have dissipated.
• Boxline (Dynamic Range Breakout) (risk) — Defines the structural boundaries of the current range; used to calculate dynamic stop losses and position sizing based on recent volatility.

Known failure conditions

• WAD shows divergence against the price breakout (price up, WAD down), suggesting an exhausted move.
• Frequent 'Boxline' shifts (small boxes) indicating a high-noise, low-volatility environment where breakouts lack follow-through.

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