Liquidity-Weighted Cyclical Breakout

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

Thesis

Market trends are most sustainable when initiated by a volatility breakout that occurs in tandem with a surge in volume (accumulation). By entering during these 'liquidity-backed' moves and exiting when the short-term price cycle (DSP) shows exhaustion, we capture the meat of the trend while using real-time spread data to insulate the trade from slippage and liquidity gaps.

Components

• Indicator Sample (Bar Count Logger) (regime) — Used as a 'Data Sufficiency' regime filter to ensure the trading environment has enough historical depth for ATR and SMA-based indicators to stabilize.
• Chandelier Exit (direction) — Establishes the primary trend bias using volatility-adjusted extremes to prevent trading against dominant momentum.
• Bollinger Bands (Standard) (entry) — Triggers entry on a volatility breakout (Upper/Lower band cross), signaling the start of a trend expansion.
• Ehlers Detrended Synthetic Price (DSP) (exit) — Identifies the exhaustion of the short-term price cycle. We exit when the cyclical component peaks and begins to return to the mean.
• Spread Monitor (Tick-Level) (risk) — Provides a 'liquidity tax' adjustment for stop losses and prevents execution during periods of abnormal spread widening.
• Chaikin Money Flow (CMF) (confirmation) — Validates the breakout by ensuring price movement is supported by positive (long) or negative (short) accumulation/distribution.
• Bollinger bands / Connectable [Azullian] (volatility_filter) — Acts as a secondary volatility filter to ensure price is not already in an overextended state relative to the modular BB basis.

Known failure conditions

• Price remains pinned to the Bollinger Band for extended periods without DSP cycling (trending grind).
• CMF remains near zero during high-volatility price swings (wash trading).
• Spread exceeds 50% of the ATR, making the risk/reward ratio mathematically untenable.

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