Geometric Jarque-Bera Structural Breakout

Family: breakout · Regime: trending · Complexity: high · Asset classes: Forex · Timeframes: H1, H4

Thesis

True market trends are statistically non-normal events driven by institutional flows that manifest in geometric currency indices before individual pairs. By combining a structural breakout (Daily High/Low) with a normality test (Jarque-Bera) and a multi-pair strength index, we can isolate 'fat-tail' momentum pulses while avoiding the noise of a Gaussian random walk. The ZigZag provides the macro-structural context, ensuring we only trade breakouts that align with the broader market swing direction.

Components

ZigZag (regime) — Used to filter trades by the direction of the last confirmed market structure leg (Swing High/Low).
Darwinex Labs Currency Index (direction) — Identifies strength/weakness of the underlying currency relative to a weighted basket, ensuring the pair movement is driven by currency momentum rather than local noise.
Daily High Low (entry) — Acts as the execution trigger when price breaches the psychological and structural boundaries of the previous day's range.
ADX / Connectable [Azullian] (exit) — Identifies trend exhaustion; the XM (Exit Mode) triggers a close when the directional strength begins to wane.
Average True Range (NNFX) (risk) — Provides volatility-adjusted stop losses and position sizing to maintain consistent risk across varying market conditions.
Trend Direction and Force Index (TDFI) (confirmation) — The cubic momentum component confirms that the breakout has sufficient 'force' to overcome the dead zone of market noise.
Jarque-Bera Test (JB) (volatility_filter) — Filters for non-normal price distribution; a high JB value suggests the market is in a 'fat-tail' event (trending) rather than a Gaussian random walk.

Known failure conditions

Extended periods of JB < 5.99 indicating the market has returned to a Gaussian distribution (mean-reverting).
Frequent whipsaws around the Daily High/Low levels during low-volume sessions.
Historical data gaps in the constituent pairs of the Currency Index causing index calculation errors.

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