CVD-Confirmed Volatility Exhaustion Breakout

Family: breakout · Regime: high_vol · Complexity: high · Asset classes: Equities, Futures, Crypto · Timeframes: 15m, 1h, 4h

Thesis

Breakout momentum is only sustainable if accompanied by a significant imbalance in cumulative volume delta (CVD). By combining UT Bot triggers with Donchian filters and physical order flow, we can isolate institutional 'push' movements. The edge is further refined by exiting based on the Mass Index 'bulge,' which captures the specific moment when range expansion (volatility) begins to mean-revert, often preceding a price reversal.

Components

• Unsupported array abs label method (regime) — Acts as a 'System Integrity' regime filter; the strategy only executes if the runtime environment successfully resolves the (intentionally invalid) test fixture size, representing a data-validity gate.
• PineForge demo (direction) — Provides the raw price anchor for comparing against volatility bands and determining trend bias relative to the median.
• UT Bot Alerts (MQL5) (entry) — Generates the primary entry signal when price crosses the ATR-based trailing stop, capturing immediate momentum shifts.
• Mass Index (MI) (exit) — Identifies potential exhaustion points; the strategy exits when the index 'bulges' and then contracts, signaling a trend reversal.
• Chandelier Exit (risk) — Provides the ultimate risk floor and trailing stop based on volatility-adjusted highest highs.
• Buddha Money Flow (confirmation) — Confirms price action with volume delta; requires buying/selling pressure to match the direction of the UT Bot alert.
• Donchian Channels (DC) (volatility_filter) — Filters out signals occurring within the 20-period range; price must be breaking the channel boundaries to qualify as a high-volatility event.

Known failure conditions

• Order flow (CVD) fails to align with price breakouts for more than 5 consecutive trades.
• Market enters a 'low-volatility grind' where Mass Index remains flat below 20 for extended periods.
• The execution environment returns an error code for the Regime 'abs label' method, halting all logic.

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).