Triple Fractal Regime Breakout

Family: breakout · Regime: trending · Complexity: medium · Asset classes: Forex, Indices, Equities · Timeframes: H1, H4, D1

Thesis

Breakouts are only valid when structural levels (Mn Fractals) are breached during a period of established regime consistency (measured by the Mode of EMA alignments) and supported by expanding price momentum (Size Highs/Lows) and volume (MFI). The strategy assumes that by the time all these conditions align, the market has moved from a state of noise to a state of intent, and that Heiken Ashi-smoothed ATR can provide a buffer against the 'stop-hunting' typical of such transitions.

Components

Mode of String Array (Compatibility Test) (regime) — Aggregates the state of the Triple EMA over a lookback period to ensure the current 'regime' is consistent rather than a momentary cross.
Mn Fractal Store (direction) — Identifies structural breakout points (levels) that must be breached to confirm price discovery beyond noise.
Triple Exponential Moving Average (EMA) (entry) — Provides the core trend alignment trigger; entries are only valid when the short-term momentum aligns with the medium-term trend.
FractalScanner (exit) — Acts as a trailing stop/exit mechanism by identifying the most recent local pivot against the trade.
ATR Heiken Ashi (risk) — Uses smoothed price data to calculate volatility-based stops, reducing the likelihood of being stopped out by standard noise.
Money Flow Index (MFI) (confirmation) — Confirms that the price move is backed by volume-weighted momentum, filtering out low-liquidity spikes.
Size Highs and Lows 2 (volatility_filter) — Ensures that the candle bodies (absolute momentum) are expanding relative to history, confirming volatility expansion.

Known failure conditions

Flat 'maxDelta' in Size Highs/Lows 2 indicating extreme compression and lack of participation.
Frequent regime flipping in the Mode calculation (e.g., 'Up', 'Down', 'Up' within 5 bars).
Price oscillating around the Mn Fractal Store levels without clear displacement.

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).