Gamma-Internal Trend Expansion (GITE) Strategy

Family: breakout · Regime: trending · Complexity: high · Asset classes: Equities (NQ/NDX/QQQ) · Timeframes: 5m, 15m

Thesis

Nasdaq-100 price discovery is driven by institutional hedging around key gamma levels. When bar-level internal momentum (ADR_B) aligns with low-lag price trend (USF) and high volume (RVOL) outside the session midpoint, it signals an expansion phase where gamma walls act as structural support for a trend that persists until momentum (MACD) exhausts.

Components

• Advance/Decline Ratio (Bars) (regime) — Filters for periods of 'internal' momentum where the majority of individual bars are closing in the direction of the trend, suggesting strong buying/selling pressure.
• Ehlers Ultimate Smoother Filter (USF) (direction) — Provides a zero-lag trend baseline; its slope ensures we are trading on the right side of the immediate trend without the lag of a standard SMA.
• SilverTrend Sv2 (entry) — Used to identify the local volatility breakout point for the actual entry trigger.
• MACD Classic (3-Line) (exit) — Provides a momentum-based exit signal when the trend begins to decelerate, regardless of the entry signal.
• GEX Levels + Breakout Structure + Session AVWAP — NQ/NDX/QQQ (risk) — Leverages institutional 'Gamma Walls' and session-anchored VWAP as structural support/resistance for SL placement and position sizing.
• Relative Volume (RVOL) (confirmation) — Ensures breakouts are backed by institutional participation rather than low-liquidity noise.
• Session Range (High/Low/Mid) (volatility_filter) — Filters out entries in the middle of the daily range to avoid 'choppy' mean-reversion zones.

Known failure conditions

• Gamma levels (GEX) are not updated daily, rendering SL/TP levels stale and dangerous.
• The strategy is applied to low-volume symbols where RVOL frequently spikes on single retail orders.
• Prolonged periods of ADR_B oscillation near 1.0, indicating a lack of internal consensus.

Explore the full interactive blueprint, parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine.