Lorentzian-JB Statistical Expansion Strategy
Family: breakout · Regime: trending · Complexity: high · Asset classes: FX Major Pairs, Equities (Large Cap), BTC/USD · Timeframes: H1, H4
Thesis
Price breakouts from established ranges (Donchian/Daily) are more likely to result in sustained trends if (1) historical clusters (Lorentzian) show similar bullish/bearish biases, (2) volume pivots do not present immediate resistance, and (3) the statistical distribution of returns (Jarque-Bera) remains near-normal, allowing for standard trend persistence. Tail-risk management via JB scores protects against 'black swan' volatility clusters that often destroy breakout systems.
Components
- Daily High Low MTF (regime) — Used to establish the intraday regime; entries are only permitted when price breaks the previous day's high/low to capture expansion.
- Lorentzian Classification (direction) — Provides the directional bias by comparing current multi-dimensional oscillators to historical clusters.
- Donchian Channels (DC) (entry) — Acts as the trigger mechanism; long on upper band touch, short on lower band touch.
- Donchian Channels (exit) — Classic Turtle-style exit logic based on the opposite band breakout to capture the meat of the trend.
- Jarque-Bera Test (JB) (risk) — Calculates position sizing and stop-loss validity; high JB values (non-normality) signal tail risk, requiring reduced exposure.
- Stochastic Oscillator (confirmation) — Confirms momentum direction and ensures entries aren't taken into exhausted overbought/oversold conditions.
- Volume and Pivot Points Correlation with Full Control (volatility_filter) — Filters entries that occur within high-volume resistance zones (War Zones) which could stall breakouts.
Known failure conditions
- The Lorentzian Classification accuracy falls below 50% over a 100-trade window.
- Market regime shifts to permanent low-volatility mean reversion where price stays within the previous day's High/Low 90% of the time.
- Jarque-Bera values consistently exceed 100, indicating a chaotic market where stop-loss slippage invalidates the risk model.
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