Delta-Midpoint Breakout System

Family: breakout · Regime: trending · Complexity: medium · Asset classes: FX, Indices, Commodities · Timeframes: H1, H4

Thesis

The hypothesis is that successful breakouts require 'high-effort' candle expansion (measured by SHL2) and a pre-existing trend strength (ADXR). By entering only when candle body dominance aligns with a breakout away from the rolling midpoint, we filter out 'exhaustion' breakouts and low-volume traps, while using institutional liquidity zones (SNAP) to provide non-arbitrary risk anchors.

Components

• Size Highs and Lows 2 (regime) — Establishes the 'Effort' regime; we only trade breakouts if the absolute body size of candles in the breakout direction is currently dominating the lookback period (positive maxDelta for longs).
• MIDPOINT: Rolling Midpoint (direction) — Acts as a directional filter; trades are only taken if the breakout occurs on the same side of the 20-period midpoint to ensure mean-divergence momentum.
• TradeBreakOut (TBO) (entry) — The primary trigger; identifies when price exceeds the historical L-period boundary.
• Qualitative Quantitative Estimation (QQE) (exit) — Provides a volatility-adjusted trailing exit that accounts for RSI momentum exhaustion rather than just price.
• SNAP HTF_LTF Indicator (risk) — Uses institutional liquidity zones (DRT levels/Breaker Blocks) as hard Stop Loss anchors and to determine position size.
• Average Directional Movement Index Rating (ADXR) (confirmation) — Filters out low-volatility/ranging environments where TBO is prone to whipsaws; requires ADXR > 25.
• Grid Utility (Rosasurfer Framework) (volatility_filter) — Used to calculate a 'significant move' threshold; breakouts must exceed a fraction of the dynamic GridSize to be considered tradable.

Known failure conditions

• If ADXR remains below 20 for more than 50 bars, indicating a deep consolidation regime where breakout signals are noise.
• If the SNAP DRT levels are narrower than the spread, making risk-reward ratios mathematically insolvent.
• If SHL2 maxDelta frequently flips sign within 3 bars, suggesting erratic 'flash' volatility without directional commitment.

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