Fractal Structure Trend-Alignment Strategy
Family: trend_following · Regime: trending · Complexity: high · Asset classes: FX, Equities, Crypto · Timeframes: M15
Thesis
Market participants leave structural footprints (CHoCH) during a shift in sentiment. When these shifts align with a long-term volatility regime (D1 BB) and a short-term momentum fan (Alligator), the resulting fractal breakout represents a high-probability continuation of institutional flow. VWAP provides a volume-weighted 'fair price' that acts as an efficient exit as the impulsive move mean-reverts.
Components
- Bill Williams Alligator (regime) — Provides the primary trend regime; ensures entries only occur when the 'Alligator is eating' (lines fanned out).
- BOS_CHoCH_Detector (direction) — Identifies market structure shifts. A CHoCH signals a potential reversal into the trend, while a BOS signals continuation.
- Mn Fractal Store (entry) — Used as the specific breakout trigger. We enter when price breaches a confirmed historical pivot point stored in the array.
- Daily Volume-Weighted Average Price (VWAP) (exit) — Acts as the 'fair value' anchor. Exits are triggered when price returns to or crosses the intraday volume mean, suggesting momentum loss.
- Custom Pattern Detection (risk) — Used exclusively for risk management. The identified Fibonacci pivot points (specifically point D or E) serve as structural stop-loss anchors.
- D1 Bollinger Bands (Period 90) on M15 (Forward Shifted) (volatility_filter) — Filters out entries when daily volatility is overextended or when price is on the wrong side of the long-term mean.
Known failure conditions
- Alligator lines remain intertwined (sleeping) for more than 48 hours, indicating a range-bound market where fractal breakouts are likely to be traps.
- Price frequently crosses VWAP in both directions within a single session, indicating a lack of volume-driven conviction.
- CHoCH signals frequently flip-flop within the Mn Fractal window, suggesting a 'noise' regime.
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