Contango OB Anchor Strategy

Family: hybrid · Regime: trending · Complexity: medium · Asset classes: Equities, Indices · Timeframes: H1, D1

Thesis

Institutional Order Blocks (OB) provide high-probability entry points when the market is in a structural state of stability (VIX/VIX3M < 1), as participants are more likely to defend liquidity levels. By filtering these OBs with a long-term anchor trend (UDF EMA) and ensuring the entry-candle momentum (Size Highs/Lows) is significant, the strategy captures institutional follow-through while avoiding the chaos of volatility spikes.

Components

• VIX Curve Regime (Simple) (regime) — Establishes the macro volatility regime; entries are only permitted in 'Contango' (Ratio < 1) where price discovery is orderly and technical patterns are more reliable.
• Unsupported UDF Final Switch Const Reassignment Qualifier (direction) — Provides a dynamic anchor for trend direction. As the session progresses, the EMA becomes increasingly smoothed, filtering out noise in favor of the session-wide institutional direction.
• OrderBlock FVG Detector (entry) — Identifies specific liquidity zones where institutional buy/sell interest was previously demonstrated.
• HiLo Activator (Pandini Version) (exit) — Acts as a trailing stop and trend-reversal trigger to ensure exits occur once the immediate impulsivity of the OB move exhausts.
• TMA Risk Panel (risk) — Standardizes risk by calculating lot sizes based on account equity and ATR-derived stop loss distances.
• Size Highs and Lows 2 (volatility_filter) — Filters for candle momentum; ensures the Order Block formation is backed by candle bodies that are large relative to the recent lookback window.

Known failure conditions

• Persistent VIX Backwardation (Ratio > 1) which locks the system out of trades indefinitely.
• Expansion of bar_index to high values (e.g., >5000) makes the Directional EMA so flat it fails to react to multi-month trend changes.
• Low volatility environments where candle body sizes (maxDelta) never exceed the required threshold for momentum.

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