Fractal OI Momentum Flux

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Futures, Crypto (Perpetuals) · Timeframes: H1, H4, D1

Thesis

Market trends are most sustainable when price expansion (Keltner) is confirmed by a net increase in institutional positioning (Open Interest Stochastic MFI) and triple-smoothed momentum (TRIX). By waiting for a Williams Fractal break, we enter only when market structure yield to the prevailing regime identified by the HMA, using the Ehlers CG to exit before the cycle mean-reverts.

Components

• Hull Moving Average (HMA) (regime) — Determines the immediate trend regime; only trade in the direction of the HMA slope to minimize lag impact.
• Open Interest Stochastic Money Flow Index (direction) — Filters for momentum backed by capital inflow/commitment rather than just price action.
• Williams Fractals (entry) — Identifies local structural liquidations/breakouts; triggers entry upon breach of previous swing points.
• Ehlers Center of Gravity (CG) (exit) — Identifies cyclic exhaustion; used for timing exits before trend reversal occurs.
• ATR Heiken Ashi (risk) — Provides smoothed volatility bounds for stop-loss placement, preventing premature exits from noise.
• TRIX (confirmation) — Triple-smoothed momentum serves as the final barrier to ensure trend persistence.
• Keltner Channels (volatility_filter) — Volatility filter to ensure the market is expanding; avoids entries during low-volatility 'dead zones'.

Known failure conditions

• OI data becomes siloed or unavailable for the specific contract.
• HMA produces persistent whipsaws in a regime where price mean-reverts at the HMA frequency.
• ATR HA-based stops are consistently hit before the first TRIX momentum peak.

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