Vertical Fractal Momentum Breakout

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

Thesis

Market breakouts are most likely to follow-through when the asset is already demonstrating relative strength (Performance Table) and the market structure shows high vertical efficiency (VHF), suggesting institutional participation rather than retail noise. Exits at round levels exploit the clustering of limit orders at psychological price points.

Components

• Vertical Horizontal Filter (VHF) (regime) — Filters out ranging periods where fractal breakouts are prone to whipsaws; ensures a 'vertical' trending environment.
• Support and Resistance (Fractal-based) (direction) — Provides the structural trigger for direction based on clearing local swing highs/lows.
• Commodity Channel Index (CCI) (entry) — Confirms that the breakout is accompanied by momentum rather than a low-volume drift.
• Round Levels Zone Shading (exit) — Uses psychological price levels as high-probability liquidity zones for profit taking.
• Performance Table (risk) — Used to verify relative strength; only assets in the top 10% of their 1-month performance relative to the 'Symbol List' are eligible for long positions.
• MindTheGap (volatility_filter) — Acts as a volatility safety switch; prevents entering immediately after large slippage gaps that often lead to mean reversion.

Known failure conditions

• Price action clusters around round levels with high VHF but fails to trend (churning).
• Fractal levels are breached but CCI fails to cross +/- 100, indicating exhausted breakouts.
• Asset performance turns negative on the 1-month timeframe while trades are active.

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