HP-Schaff Fractal Cyclical Breakout

Family: breakout · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Crypto · Timeframes: H1, H4, D1

Thesis

Price action follows a cyclical rhythm that can be decomposed into trend and noise using the Hodrick-Prescott filter; breakouts from fractal levels are only valid if they occur when the STC momentum is rising and the HP cyclical component is positive, suggesting a high-probability expansion phase rather than a temporary spike.

Components

• Indicator Sample (Bar Count Logger) (regime) — Acts as a warm-up filter to ensure the causal HP filter and STC recursive smoothing have sufficient lookback data to stabilize before generating signals.
• Schaff Trend Cycle (STC) (direction) — Provides the primary directional bias by identifying the acceleration phase of a trend cycle before it reaches extreme plateaus.
• Support and Resistance (Fractal-based) (entry) — Defines the high-probability trigger points for entry; used to confirm that momentum is breaking through structural price levels.
• SSL Channel (exit) — Serves as the primary trend-following exit mechanism, utilizing the trailing SMA of highs/lows to capture the meat of the move.
• GHOST OrderFlow Dashboard — DerivEAPro v10 (risk) — Used to scale position size based on momentum angle (theta) and provide hardcoded safety levels derived from external sentiment.
• Hodrick-Prescott Filter (HP) (volatility_filter) — Filters out low-volatility noise; entries are only permitted when the cyclical component (Price - HP Trend) is expanding, indicating sufficient market energy.

Known failure conditions

• STC remains pinned at 0 or 100 for extended periods while price moves against the trend.
• The HP Cycle component oscillates with low amplitude (mean reversion) despite fractal breakouts.
• Market conditions where the SSL Channel width is narrower than the average spread.

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