Structural Breakout Volatility-Adjusted (SBVA) Strategy
Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Forex, Equities, Crypto · Timeframes: H1, H4, D1
Thesis
Markets exhibit a 'cluster' behavior where periods of range consolidation (Darvas Boxes) often precede explosive moves back in the direction of the dominant long-term trend (EMA). By confirming that market structure is expanding (ZigZag) and that liquidity is sufficient (VOLMA), we can capture the momentum of professional institutional flows that resume after a pause.
Components
- ZigZag (regime) — Used as a regime filter to ensure the broader trend structure (Higher Highs/Higher Lows) aligns with the bull thesis before looking for trade setups. Strictly for classification.
- Exponential Moving Average (EMA) (direction) — Acts as the primary trend filter to ensure entries are only taken in the direction of the dominant intermediate-term momentum.
- Darvas Boxes MetaTrader 5 (entry) — Detects price consolidation zones and provides the mechanical trigger upon a breakout of the upper or lower box bounds.
- Donchian Channels (exit) — Provides a trailing stop mechanism based on price extremes, capturing the 'meat' of a trend while allowing for dynamic exit.
- ATR SL Finder (risk) — Determines the initial stop-loss placement based on current market volatility to prevent premature hunt-outs.
- Volume Moving Average (VOLMA) (volatility_filter) — Ensures that breakouts are supported by participation (tick volume) to filter out low-liquidity false breakouts.
Known failure conditions
- Persistence of the ZigZag 'last leg' in a direction opposite to the trade for more than 3 bars after entry.
- Significant decay in tick volume during the breakout phase (VOLMA < previous 5-bar average).
- The Darvas Box top/bottom are penetrated immediately and price closes back inside the box within 2 candles.
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