Recursive RWI Daily Breakout System

Family: breakout · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Indices · Timeframes: M15, H1

Thesis

The strategy operates on the hypothesis that institutional 'Daily' extremes represent psychological and order-flow barriers. A breakout validated by the Random Walk Index (proving non-random movement) and filtered by a recursive moving average (removing high-frequency noise) captures the core of the subsequent momentum expansion. Exits are managed by ZigZag to capture the full structural swing rather than a fixed target.

Components

• Random Walk Index (RWI BTF) (regime) — Filters out sideways 'noise' by requiring price displacement to exceed what is statistically expected from a random walk.
• V3-CONST-REF-ARRAY-REPLACE-ID (direction) — Used as a diagnostic check for raw price direction (Close_t vs Close_t-1) to ensure momentum is aligned with the breakout.
• Daily High Low MTF (entry) — Defines the key institutional liquidity zones; the breakout of the previous day's extreme is the primary trade trigger.
• ZigZag Color (Classic) (exit) — Captures structural trend reversals; though it repaints, it serves as a trailing stop/exit mechanism for established swings.
• Point-Based Price Grid (risk) — Standardizes risk levels into fixed point intervals, providing a non-dynamic, objective stop-loss placement independent of volatility.
• Recursive Moving Average Unlimited (confirmation) — Acts as a heavy-smoothing final confirmation filter to ensure the breakout has sufficient mathematical backing to overcome the recursive overshoot.

Known failure conditions

• Price enters a prolonged low-volatility 'squeeze' where RWI fluctuates around 1.0 but never sustains a value > 1.2.
• ZigZag segments flip frequently (more than 3 times) within the Daily High/Low range.
• Asset spread exceeds 20% of the Point-Based Grid interval (InpP1).

Explore the full interactive blueprint with parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine (free download).