Structural Velocity Breakout Alpha

Family: breakout · Regime: trending · Complexity: high · Asset classes: FX, Equities, Indices · Timeframes: M5, M15, H1

Thesis

Price discovery occurs in discrete bursts of momentum that break established structural levels. By filtering for structural trend (TLB/SMA), momentum confirmation (MACD/CCI), and tick-level velocity (Flexible Momentum), we can capture the high-probability meat of a trend displacement. The Ehlers CG identifies localized cycle peaks to exit before mean reversion occurs.

Components

• Three-Line Break (TLB) with MA (regime) — Establishes the broad market structure; only allows trading when a significant price break has occurred and the price is on the correct side of the TLB-integrated MA.
• Simple Moving Average (SMA) (direction) — Acts as a secondary trend filter to ensure the minor trend aligns with the structural breakout.
• Commodity Channel Index (CCI) (entry) — Triggers entry based on momentum returning to the trend after a minor pullback or consolidation.
• Ehlers Center of Gravity (CG) (exit) — Signals exit when the internal price cycle reaches a center of gravity balance point, suggesting temporary exhaustion.
• PiPi (Price Infrastructure & Position Interface) (risk) — Maps Fibonacci levels and range medians to define hard stop-loss levels and position size based on current structural volatility.
• MACD (confirmation) — Confirms that the momentum is accelerating and is not a late-stage exhausted move.
• Flexible Momentum (volatility_filter) — Filters out 'dead' bars by requiring a minimum price velocity (volatility) within a 10-second window to ensure liquidity.

Known failure conditions

• The TLB 'LinesToBreak' parameter consistently fails to filter noise, resulting in 'staircase' chop.
• The Flexible Momentum threshold is never reached during liquid hours, suggesting the threshold is too high for the asset's current volatility.
• Price persistently penetrates PiPi Fibonacci levels without reversal, indicating a breakdown in structural support/resistance mapping.

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