MAPE Expansion Daily Breakout
Family: breakout · Regime: trending · Complexity: medium · Asset classes: FX Majors, Equities, Gold · Timeframes: M15, H1
Thesis
The 'Daily Extension' edge exists because institutional order flow often clusters around the previous day's extremes; a breakout accompanied by high statistical deviation (MAPE) and expanding Bollinger Bands signals an 'Expansion Day' where momentum is likely to persist until the Gator Oscillator identifies cycle exhaustion.
Components
- Linefill All Visualizer (regime) — Defines the 'Regime' by visualizing the session opening range. We only look for trades once price has escaped the initial 4-hour price channel (visualized by linefills) to avoid low-liquidity morning chop.
- Daily High Low MTF (direction) — Provides the structural 'Direction' bias. We only take long trades above yesterday's high and shorts below yesterday's low to capture expansion days.
- Bollinger Bands (Standard) (entry) — Acts as the 'Entry' trigger. A close outside the bands confirms the momentum required to sustain a daily level breakout.
- Gator Oscillator (exit) — Used for 'Exit'. The Gator 'eating' phase (green bars) suggests momentum; we exit when both bars turn red (Sated/Sleeping), indicating cycle exhaustion.
- Daily High Low (risk) — Determines 'Risk'. The stop loss is anchored to the opposite daily extreme (Yesterday's Low for Longs), ensuring the trade is invalidated if price returns to the previous day's range.
- Mean Absolute Percentage Error (MAPE) (volatility_filter) — A 'Volatility Filter' to ensure current price dispersion from the mean (EMA 100) is increasing, avoiding entries during low-MAPE 'flat' regimes.
Known failure conditions
- Prolonged low-volatility environments where MAPE stays below 0.02% despite price crossing levels.
- High-impact news events causing 'whipsaws' where price breaks a Daily High only to immediately hit the Daily Low.
- Regimes where price 'rides the bands' for extended periods but Gator remains in a permanent 'Eating' state without sated signals.
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