Jarque-Bera Statistical Breakout Engine

Family: breakout · Regime: trending · Complexity: high · Asset classes: FX Major Pairs, Large-Cap Equities, Indices (SPX/NDX) · Timeframes: H1

Thesis

Price breakouts are most sustainable when the market shifts from a Gaussian distribution of returns (normal noise) to a fat-tailed distribution (volatility expansion). By using the Jarque-Bera test to identify these statistical shifts and confirming the direction via Daily Market Structure and micro-structural reversals (Flip Flop), the strategy isolates high-conviction momentum phases. The IAE Confluence Score ensures that exits are based on a holistic decay of trend strength rather than a single price-level breach.

Components

• Bollinger Bands (Standard) (regime) — Defines the trend regime; price must be 'riding' the bands to confirm that the expansion has sufficient momentum.
• Daily High Low MTF (direction) — Sets the directional bias based on daily market structure; trades are only taken in the direction of the previous day's breakout.
• Flip Flop Indicator (entry) — Provides the final entry trigger by identifying the moment price clears the micro-structural 'high of the lowest bearish bar' (for longs), ensuring a localized reversal is complete.
• IAE — Technical Confluence Score (exit) — Aggregates multiple layers of technical data to provide a holistic exit signal when the confluence of trend and momentum falls below a statistical threshold.
• ATR Heiken Ashi (risk) — Calculates smoothed volatility to set stop-loss distances that are less sensitive to noise than standard ATR.
• Jarque-Bera Test (JB) (volatility_filter) — Serves as a volatility filter to identify transitions from Gaussian 'normal' price distribution (low JB) to fat-tailed 'abnormal' volatility (high JB), which typically precedes strong breakouts.

Known failure conditions

• Price persists in a high JB state (non-normal) without breaking the Daily High/Low, leading to 'sideways volatility' whipsaws.
• The IAE score remains high despite price moving against the position, delaying the exit due to the inherent smoothing lag.
• Market regimes where the Daily High/Low levels are frequently false-tested and then mean-revert (low volatility environments).

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).