SGF-Filtered Structural Breakout System

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Equities, Forex, Crypto · Timeframes: H1, H4, D1

Thesis

Market breakouts are more likely to lead to sustained trends when they occur in the direction of the macro-regime and are confirmed by polynomial noise reduction, as this filters out 'false' volatility spikes that lack structural momentum.

Components

• Exponential Moving Average (EMA) (regime) — Filters for the primary long-term trend to ensure trades align with macro momentum.
• HiLo Activator (Pandini Version) (direction) — Ensures medium-term price action directionality is established before entering a breakout.
• Donchian Channels (entry) — Provides the execution trigger via price breakouts of established local ranges.
• ATR SL Finder (exit) — Calculates dynamic trailing stops and take-profit targets based on realized volatility.
• Williams Fractals (risk) — Identifies structural swing points for high-probability stop-loss placement, adjusted for the 2-bar lag.
• Savitzky-Golay Filter (SGF) (volatility_filter) — Filters out micro-volatility noise; entry only occurs when the SGF slope confirms the breakout direction.

Known failure conditions

• Continuous sideways price action causing the ATR trailing stop and Donchian boundaries to narrow simultaneously.
• Frequent 'gap-and-crap' moves where price breaks Donchian levels but reverts before the 2-bar Fractal confirmation.

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