Fractal Breakout Propagation across Timeframes

Research Question

When a breakout occurs on a fast timeframe, does it propagate into a tradable directional move on slower timeframes — and can that propagation be expressed as SPXW 0DTE option exposure?

Methodology

• Study breakout propagation across 1m, 5m, and 15m timeframes.
• Compare three strategy variants of increasing complexity (A/B/C).
• Price option exposure with Black-Scholes for the research layer.
• Run both a full 20-year analysis and a separate out-of-sample analysis.
• Carry the validated design into an implementation kit with VIX-regime filtering and IBKR integration.

Findings

The study is documented across multiple versions (v1–v5), with statistical validation and parameter-tuning guides. The 20-year and out-of-sample reports characterize where the propagation effect is strongest and where it degrades, separating the structural research result (SPX point level) from option-layer execution assumptions.

Follow-up Work

• Tighten option-layer execution realism beyond the Black-Scholes research proxy.
• Stress the regime filter against the negative-result lessons from the Donchian 0DTE study.
• Promote only the variants whose edge survives out-of-sample with explicit cost assumptions.