Sigmoid-GARCH Gamma Breakout

Family: breakout · Regime: trending · Complexity: high · Asset classes: Equities, Indices · Timeframes: 15m, 1H

Thesis

Market participants exhibit herd behavior following structural breakouts (Darvas) when institutional positioning (GEX) is favorable and momentum (Sigmoid) is not yet exhausted. By filtering for volatility clustering (GARCH) and multi-timeframe volume confluence (WaveTrend), we can isolate high-probability expansions and manage risk based on volume-weighted benchmarks (AVWAP).

Components

• Logistic Function (SIGMOID) (regime) — Acts as the primary regime filter, ensuring entries only occur when price momentum is in a non-saturated, trending state relative to the 200-period midpoint.
• Darvas Boxes (Multi-Mode) (direction) — Provides directional bias and identifies structural breakouts from consolidation ranges.
• WaveTrend v3 [WavesUnchained] (entry) — Acts as the execution trigger, requiring a confluence of volume profile POC reclaims and multi-timeframe alignment.
• Donchian Channels (exit) — Used for trailing exits to capture trend extension while protecting against mean reversion.
• GEX Levels + Breakout Structure + Session AVWAP — NQ/NDX/QQQ (risk) — Determines risk parameters (Stop Loss) based on institutional liquidity levels and session volume-weighted price.
• Conditional Volatility (CV) (volatility_filter) — Filters out high-risk environments where GARCH-derived volatility exceeds historical norms, preventing whipsaws.

Known failure conditions

• Sustained sideways price action where Darvas boxes frequently break and fail (whipsaw regime).
• Failure of GEX data to correlate with price due to unexpected macro catalysts (e.g., Fed surprise).
• Sigmoid saturation at 0 or 1 for extended periods, causing the strategy to miss the meat of a parabolic move.

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).