Sigmoid-Structure Momentum Breakout (SSMB)

Family: breakout · Regime: trending · Complexity: high · Asset classes: FX, Indices, Commodities · Timeframes: H1, H4

Thesis

Market participants often hesitate at previous daily extremes; a breakout accompanied by non-linear momentum (Sigmoid) and confirmed market structure (ZigZag) indicates a high-probability behavioral shift from accumulation to distribution, creating a tradable trend.

Components

Logistic Function (SIGMOID) (regime) — Acts as the regime filter; prevents trading when momentum is saturated or near the 0.5 midpoint, ensuring we only trade 'active' trends.
ZigZag+ v5 (direction) — Defines the structural trend direction (Higher Highs/Higher Lows vs Lower Highs/Lower Lows) to ensure trades align with macro market structure.
QQE (Qualitative Quantitative Estimation) (entry) — Provides the precise entry trigger when the smoothed RSI crosses its trailing volatility band, indicating a momentum breakout.
HiLo Activator 02 (exit) — Provides a dynamic trend-following trailing stop; if price closes on the wrong side of the staircase, the trend is considered over.
Average True Range (ATR) (risk) — Used for volatility-adjusted position sizing and initial stop-loss placement.
TSI Convergence Divergence (TSI_CD) (confirmation) — Acts as a secondary momentum confirmation; the histogram must be expanding in the trade direction to filter out weak QQE crosses.
Daily High Low MTF (volatility_filter) — Filters trades occurring within the previous day's range to avoid 'inside-day' low-volatility traps; requires a break of daily levels.

Known failure conditions

Market enters an 'inside bar' regime where price stays within the previous day's High/Low for extended periods.
The Sigmoid function remains pinned at 0 or 1 during vertical blow-off moves, preventing entry.
Whipsaw in HiLo Activator during tight consolidations leads to multiple stop-outs before a trend develops.

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