Intraday CVD Breakout Filter

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities, Futures (Indices/Energy/Metals) · Timeframes: M5, M15, H1

Thesis

Breakouts of daily highs or lows are more likely to result in sustained trends if the move is accompanied by positive cumulative volume delta (CVD) and increasing accumulation. By using MA-Candlesticks as a volatility envelope, we filter out noise within the daily range, entering only when price momentum (CCI) and smoothed trend indicators (Heiken Ashi) align, assuming that institutional participation is driving the expansion.

Components

• Daily High Low MTF (regime) — Defines the intraday range; price must be testing or breaking the Daily Low/High to establish a mean-reverting or breakout context.
• Buddha Money Flow (direction) — Provides the directional bias via Cumulative Volume Delta (CVD) window; ensures momentum is backed by actual order flow.
• CCI Arrows (entry) — Triggers entry upon momentum crossing the zero midline, acting as a timing mechanism.
• Heiken Ashi (Standard MT5) (exit) — Used for early exit if the smoothed trend reverses against the position.
• Chandelier Exit Heiken Ashi Variant (risk) — Provides a trailing stop-loss based on HA-smoothed volatility.
• Accumulation/Distribution (A/D) Index (confirmation) — Confirms that the volume trend supports the CCI momentum cross, filtering out noise in low-liquidity periods.
• MA-Candlesticks (volatility_filter) — Acts as a volatility filter; price must be outside the MA-candle range to ensure sufficient expansion is occurring.

Known failure conditions

• Prolonged divergence where CVD continues to rise while price falls across multiple daily ranges.
• Failure of the Chandelier Exit to maintain a distance greater than average spread, indicating a volatility collapse.

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).