Schaff-McNicholl Triple Breakout Strategy

Family: breakout · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Commodities · Timeframes: H1, H4

Thesis

Market price discovery often accelerates once previous-day liquidity levels (High/Low) are breached. By filtering these breakouts with a triple-smoothed momentum indicator (TRIX) and timing the entry with a cycle oscillator (STC), we capture the most efficient part of the trend. The MCNMA exit acts as a 'fast-twitch' profit protector that responds faster than traditional EMAs to exhaustion.

Components

• Daily High Low (regime) — Defines the intraday regime; price must be trading outside the previous day's range to confirm a breakout expansion.
• TRIX (direction) — Provides a filtered directional bias by requiring the triple-smoothed rate of change to be positive/negative.
• Schaff Trend Cycle (STC) (entry) — Acts as the timing trigger; identifies the moment momentum re-accelerates within the broader trend.
• McNicholl EMA (MCNMA) (exit) — Uses a six-stage cascaded EMA to provide a hyper-responsive trend line for trailing exits with minimal lag.
• TopTrend (BBands Stop) (risk) — Provides a volatility-adjusted hard stop and defines position sizing based on ATR-like expansion.

Known failure conditions

• Price consistently reverts into the previous day's range immediately after breakout (failed expansion).
• STC remains pinned at 100 or 0 while price moves sideways, leading to late entries.
• MCNMA produces multiple exit signals during minor retracements in a healthy trend (over-sensitivity).

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