Log-Filtered Structural Breakout System

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

Thesis

Trend persistence is most tradable when structural alignment across multiple timeframes (Ribbon/Ichimoku) coincides with a breakout of short-term consolidation (Daily High/Low). By using Logarithmic transformation to filter out periods of extreme price variance, we avoid entering during 'climax' volatility, thereby increasing the probability of capturing a sustained directional expansion rather than a false breakout or a mean-reverting spike.

Components

• Moving Average Ribbon (chingc) (regime) — Defines the long-term structural regime; all MAs must be stacked in order to confirm a high-probability trend environment.
• Ichimoku Kinko Hyo (direction) — Acts as a medium-term directional filter; price must be on the correct side of the Kumo (Cloud) and Tenkan/Kijun must show alignment.
• Daily High Low (entry) — Provides the execution trigger; using the previous day's high/low ensures entry occurs only upon a break of recent market structure.
• MA Channel (Framework Version) (exit) — Provides a dynamic exit boundary that trails the trend, closing the position when price breaches the opposite volatility envelope.
• Average True Range (NNFX) (risk) — Determines stop-loss distance and position sizing based on recent realized volatility.
• Commodity Channel Index (CCI) (confirmation) — Confirms that the breakout is backed by sufficient price momentum to avoid stagnant entries.
• Logarithmic Transformation (LOG) (volatility_filter) — Used to normalize price data; specifically, we require that the standard deviation of the Log(Close) is not at an extreme, preventing entry during 'blow-off' tops or hyper-volatile exhaustion.

Known failure conditions

• Price remains within the Daily High/Low range for extended periods (multi-day chop).
• Ribbon components converge or 'twine' frequently, indicating a lack of clear trend.
• Inversion of Log-volatility (volatility continues to expand after entry without price progression).

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