McGinley Midpoint Range Expansion
Family: breakout · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Crypto · Timeframes: M5, M15
Thesis
Intraday momentum is most persistent when it breaks out of the previous day's established range in the direction of the broader trend as defined by speed-adjusted moving averages. By utilizing volume-weighted support and resistance for stop placement, the strategy identifies the 'effort vs. result' relationship, only staying in the trade if the market maintains its breakout volume conviction. The edge lies in the transition from low-volatility daily ranges to high-volatility expansion phases.
Components
- MIDPOINT: Rolling Midpoint (regime) — Defines the intraday regime by confirming if price is trading in the upper or lower half of its recent range (14 periods), ensuring we only enter trades when momentum is already established relative to the median.
- McGinley Dynamic (direction) — Acts as the directional filter that accounts for market speed, reducing the 'lag' found in traditional EMAs and providing a more responsive trend baseline.
- Daily High Low MTF (entry) — Triggers entry on a breakout of the previous day's high or low, representing a transition from yesterday's value area into a new expansion phase.
- ATR Fib (exit) — Provides fixed profit targets based on a combination of session opening momentum and Fibonacci extensions of a user-defined ATR.
- Volumatic Support/Resistance Levels [BigBeluga] (risk) — Sets stop-loss levels at high-volume nodes/zones. If these levels are breached, the volume-based conviction of the breakout is considered invalidated.
Known failure conditions
- Price repeatedly oscillates across the Daily High/Low (false breakouts) without reaching the first ATR Fib level.
- Volume-weighted bands (Volumatic) widen significantly during news events, making the R:R untenable.
- The McGinley Dynamic flattens out, indicating a lack of directional speed.
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