Statistical Drift & Session Bracket Breakout
Family: breakout · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Indices · Timeframes: 15m, 30m, 1h
Thesis
Asset price breakouts from a defined opening range (Brackets) are predictive of trend continuation ONLY when they align with a statistically significant long-term drift (ADM) and are confirmed by volume-weighted momentum (VPCI). The exit logic assumes that a reversal in bears' power relative to the average price signals the exhaustion of the move.
Components
- Indicator Workspace Template (SIBVIC) (regime) — Provides the technical constraints for the environment, limiting the lookback to ensure the strategy operates on fresh, relevant market structure data.
- Supported indicator max boxes count (direction) — Uses the current price (y=close) as the primary directional anchor against which breakouts are measured.
- Donchian Channels (entry) — Provides the mechanical entry signal when price exceeds the 20-period volatility boundary.
- Bears Power (exit) — Measures the exhaustion of selling pressure or the return of bears to exit long/short positions respectively.
- Asset Drift Model (ADM) (risk) — Used to filter for statistically significant drift ($t_{HAC}$) and to set stop-loss distances based on the model's variance ratios.
- Volume Price Confirmation Indicator (VPCI) (confirmation) — Confirms that price breakouts are supported by volume flow, reducing the probability of low-liquidity fakeouts.
- Brackets Indicator (volatility_filter) — Establishes the initial volatility range; entries are only valid if price has broken out of this specific session bracket.
Known failure conditions
- ADM $t_{HAC}$ remains between -1.0 and 1.0 for extended periods (lack of drift).
- Price remains trapped within the Brackets Indicator range for more than 50% of the daily session.
- VPCI oscillates around zero without clear direction during Donchian breakouts.
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