Flow-Confirmed Volatility Breakout
candidateTrades a genuine expansion out of a compressed range only when signed trade flow, microprice displacement and spread state all confirm the move. Long-only spot; the transparent first baseline that establishes the shared execution pipeline.
Pros
- + Clear causal story and few parameters.
- + Useful trade frequency without sub-millisecond latency.
- + Works as long-only spot; momentum evidence exists (though regime dependent).
Cons
- − False breaks cluster in noisy markets.
- − Taker entry can destroy the edge on Alpaca — targets must clear the fee floor.
- − News and liquidation jumps change the fill distribution.
Rejection gate
Reject if breakout-strength buckets are not monotonically related to future executable return, or if no bucket remains positive after realistic Alpaca costs across at least two volatility regimes.
Entry gate funnel (last 24h)
No gate telemetry yet — the engine flushes funnel windows every few minutes while running.
Adjustable parameters
Use a rolling percentile, not an absolute volatility number. · candidate range 0.2–0.6
Book and trades must have the same sign. · candidate range 1.0–2.5
Normalise by spread so symbols are comparable. · candidate range 0.10–0.35 spread
Convert to constant cash risk. · candidate range 0.8–1.3
Also enforce target > all-in cost + buffer. · candidate range 1.0–1.8
Skip abnormal or stale markets. · candidate range symbol-relative
Only re-enter after a clean retest plus renewed flow.
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