Combining Market Regimes, Structure, Momentum, and Liquidity for Breakouts

Summary

This strategy combines a volatility regime classifier, swing structure, momentum pressure, and liquidity context to decide when to trade. It labels conditions as accumulation, expansion, or exhaustion using ATR relative to its baseline, balance width, and smoothed returns. Trading is disabled in exhaustion. Confirmed swing breaks set directional bias, with moving averages and an optional confirmed higher-timeframe candle as additional filters. A composite of several rates of change measures breakout pressure, while recent price-body levels, sweep depth, and relative volume contribute liquidity confirmation.

Entries require the signals to align on a confirmed bar. The code also includes position protection through ATR-based stops, risk-multiple targets, a trailing stop, a daily loss lockout, and a post-exit cooldown. The document describes the rules and settings, but provides no performance results or market-specific evaluation. Its effectiveness therefore remains unestablished; users would need to validate parameter choices, execution assumptions, and behavior across instruments and timeframes.

Key ideas

• The regime engine compares current ATR and price balance with thresholds to classify market conditions.
• Confirmed swing breaks, moving averages, and optional higher-timeframe bias jointly determine directional eligibility.
• Smoothed multi-period rate-of-change readings provide a volatility-normalized measure of breakout pressure.
• Liquidity checks add recent body levels, sweep depth, and relative volume to the entry context.
• ATR-based stops, risk-multiple targets, trailing protection, daily lockout, and cooldown govern trade risk.

Tags

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