A Multi-Filter Intraday Breakout Strategy with Risk Controls

Summary

The Bastion Execution Protocol is a configurable intraday strategy that combines market regime, structure, momentum, and order-flow filters. It classifies conditions using normalized VWAP slope, moving-average alignment, and Bollinger Band width; detects swing breaks and large displacement candles; and confirms direction with RSI and a Stochastic Momentum Index. A cumulative volume delta estimate can provide another directional filter. Session, weekday, candle-pattern, and squeeze filters further restrict when entries are allowed.

The script includes ATR-based stop distances, a reward-to-risk target, optional trailing stops, a daily trade limit, regime-adjusted sizing, and end-of-day closing controls. Its inputs and dashboard expose risk and performance measures, but the supplied excerpt omits sections of the trading logic and reports no actual backtest results. The order-flow measure is inferred from candle position and volume rather than trade-level bid/ask data, and the many configurable filters require careful testing for robustness and implementation assumptions.

Key ideas

• The strategy combines VWAP slope, moving-average alignment, and Bollinger width to classify market regimes.
• Swing breaks and outsized directional candles are used to assess market structure.
• RSI and SMI must align to provide bullish or bearish momentum confirmation.
• The script includes configurable ATR-based stops, targets, trailing stops, and trade-frequency limits.
• Its cumulative volume delta is estimated from candle and volume data, and the excerpt supplies no verified performance results.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.