What it actually does
It buys the break that volume agrees with — inside a fixed risk box.
Vault waits for price to break a recent range with volume behind it, then rides the directional expansion that tends to follow. A break on thin volume is the one that fails, so the volume confirmation is doing real work: it is the difference between a move and a twitch.
The honest thing to say about this engine is that it is close to a coin flip on direction. It takes roughly as many losses as wins. The money does not come from being right more often — it comes from the winners being meaningfully larger than the losers, and from a hard risk box that caps what a failed break is allowed to cost. Take the risk box away and there is nothing underneath it.
One consequence we will state plainly: getting stopped out is, on average, correct. We tested widening the stops to give trades more room. It made the engine worse, not better. When Vault is wrong it is usually wrong immediately, and the stop is doing its job.
The honest two-sided ledger
Where it wins. Where it hurts.
Thrives in
- Trending, expansion days. When the session picks a direction and extends, a confirmed break keeps going — that is the whole thesis.
- Clean two-sided participation. Real volume behind the move is what separates a break that runs from one that fades.
- News-heavy opens. It has held up through the 08:30 and 09:30 releases without needing a news filter bolted on.
Faces duress in
- Tight, range-bound chop. False breaks. Price pokes through, volume shows up, and it comes straight back. This is its #1 weakness and the risk box exists precisely for it.
- Low-volatility drift. Not enough range for a break to travel far enough to pay for the ones that failed.
- Jumpy, whipsaw regimes. Its worst stretches come from entering late — into a move that has already made most of its distance — right where it turns. We measured it: in a bad month, the losing entries were meaningfully further into the day's range than the winners.
The weakness is the point. Vault is deliberately paired in the portfolio with engines that make money in the exact chop where it struggles — so the book is smoother than any one strategy alone.
The regime truth
A breakout engine is a bet on follow-through. Say so.
There is no version of this strategy that does well in a market going nowhere. Vault needs sessions that commit to a direction; when the market stops committing, it bleeds in small increments until it stops.
We are also not going to claim its drawdown can be engineered away. We tried — repeatedly — and every lever that reduced the drawdown also killed the edge. The trades that hurt and the trades that pay come from the same behaviour. So the drawdown is disclosed and sized around rather than pretended away.
The flip side of that honesty: a long stretch of narrow, directionless sessions is Vault's bad patch, and it will happen. That is what the monitoring below is for.
Risk & bail-out
Drawdown-first, with hard lines that don't move.
Every trade carries a protective stop that rests from the moment of entry — a real resting order, not a mental stop. On top of the volatility-scaled stop there is a hard cash cap, so a single failed break has a known worst case no matter what the market does.
A daily loss line flattens the strategy and stands it down for the rest of the session, so one bad morning cannot spiral into a bad week. Anything still open is closed out well before the session ends — Vault does not hold overnight.
We run it in both directions, on purpose. Looked at in isolation the short trades appear to be the weaker half, and dropping them looks like free money. We tested that. It was a disaster — the shorts occupy the engine through exactly the chop where the longs get whipsawed. Remove them and you do not just lose their result, you release the bad longs.
How we catch decay before it’s too late
We monitor this like a model, not a hunch.
Every edge decays eventually — ours included. The difference is whether you find out from a dashboard or from your account balance. Vault runs inside a monitoring loop that compares every live trade against its learned baseline and raises a flag the moment behavior drifts.
The promise. We would rather pull Vault back a month early than a day too late. When the data says the edge is thinning, we trim or bench it — publicly — instead of hoping it comes back.