Sigmoid-MFI Volatility Breakout

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities, Equity Index Futures · Timeframes: 5m, 15m

Thesis

Intraday momentum is most persistent when a price breakout is non-linearly accelerated (Sigmoid), backed by significant money flow (MFI), and exceeds the lookback range intensity (TTF). This strategy exploits the 'behavioral herd' effect where a session's opening volatility sets the boundary for the day's trend extensions.

Components

• Logistic Function (SIGMOID) (regime) — Normalizes price momentum into a 0-1 range to filter only for periods of high-probability trending potential (values > 0.6 or < 0.4).
• TopTrend (BBands Stop) (direction) — Provides the primary trend bias and volatility-based trailing logic for directional consistency.
• Money Flow Index (MFI) (entry) — Identifies volume-backed exhaustion/pullbacks within the larger trend to time entries.
• Trepidity Opening Range with Extensions (exit) — Uses intraday volatility structure to provide logical profit taking targets based on session volatility.
• Daily High Low MTF (risk) — Uses the previous day's high/low as hard horizontal support/resistance levels for stop loss placement.
• Trend Trigger Factor (TTF) with T3 Smoothing (confirmation) — Confirms momentum strength by comparing current price range intensity against historical ranges, smoothed to filter noise.

Known failure conditions

• The strategy consistently triggers exits at Extension 1 before price reaches the previous day's range extremes.
• Sigmoid saturation occurs for >50% of the trading session, leading to delayed entries.
• MFI shows volume divergence where price remains trending but volume-weighted momentum fails to reach trigger levels.

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).