Wavelet-Filtered Gann Volatility Breakout

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

Thesis

Price breakouts are most reliable when a macro-trend (HiLo) is supported by a positive micro-cycle shift (DWT Detail) and a concurrent expansion in volatility (VR). By ensuring all three dimensions (Trend, Cycle, Volatility) align, the strategy seeks to avoid the 'fakeouts' common in low-liquidity drift.

Components

• Discrete Wavelet Transform (DWT) (regime) — Acts as a high-frequency noise filter; ensuring that the micro-cycle (Detail Level 0) is aligned with the macro-direction to avoid entering on minor pullbacks.
• HiLo Activator (Gann Style) (direction) — Provides the primary trend direction based on trailing moving averages of highs and lows, establishing the bias for the trade.
• Volatility Ratio (VR) (entry) — Triggers entry only when current bar volatility (True Range) exceeds the average, confirming a momentum-driven breakout rather than a low-liquidity drift.
• ATR Fib (exit) — Provides structure-based price targets derived from session-start volatility.
• ATR Heiken Ashi (risk) — Uses a smoothed volatility metric to calculate stop loss distance, reducing the probability of being stopped out by raw price spikes.

Known failure conditions

• Market enters a low-volatility 'grind' where VR never exceeds 1.2 but price trends anyway.
• HiLo Activator provides frequent flips in a tight range, leading to consecutive stop-outs before a move occurs.
• The 'static' ATR input for the Exit indicator becomes decoupled from current realized volatility.

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).