Lorentzian-VWAP Structural Breakout

Family: breakout · Regime: trending · Complexity: high · Asset classes: Equities, FX, Crypto · Timeframes: 15m, 1H

Thesis

Market breakouts are most reliable when they occur at institutional value (VWAP) and align with historical price-action 'clusters' identified by Lorentzian K-NN classification. By entering on structural breaks (Donchian) and using volatility-adjusted alpha factors for risk (GAS), the strategy captures high-momentum movements while mathematically filtering out noise.

Components

• Lorentzian Classification (regime) — Filters out noise by ensuring current price dynamics match historical 'neighborhoods' of positive momentum.
• VWAP (direction) — Ensures trades are taken in the direction of institutional volume-weighted value to avoid 'expensive' entries.
• Donchian Channels (DC) (entry) — Provides the mechanical trigger for breakout from local price consolidation.
• Average True Range (ATR) (exit) — Used for a volatility-adjusted trailing stop to lock in gains as the trend matures.
• GAS Price Levels (risk) — Combines Alpha factors and Bollinger Bands to define structural support/resistance for stop placement.
• Candles Overlay Template (confirmation) — Visual and logical filter to ensure candle structure (OHLC) supports the breakout direction.

Known failure conditions

• Lorentzian classification consistently oscillates between bull/bear in tight ranges (regime drift).
• GAS levels expand significantly beyond the ATR-based stop, indicating extreme volatility where the model's structural assumptions fail.
• Price repeatedly touches VWAP without establishing a clear direction.

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