HP-SuperTrend Opening Range Extension Strategy

Family: breakout · Regime: trending · Complexity: medium · Asset classes: Equities, Indices (DAX, SPX), Liquid Forex · Timeframes: 15m, 30m, 1H

Thesis

Intraday price discovery during the opening range often sets the directional bias for the session; by filtering these breakouts with a causal cyclical trend (HP Filter) and volatility-adjusted momentum, we can isolate high-probability extensions while using PSAR to exit before the end-of-session mean reversion.

Components

• Hodrick-Prescott Filter (HP) (regime) — Acts as a macro-regime filter to ensure trades are only taken in the direction of the underlying cyclical trend, filtering out noise.
• SuperTrend (direction) — Provides a volatility-adjusted medium-term directional bias to confirm the HP regime.
• Trepidity Opening Range with Extensions (entry) — Defines the intraday breakout levels; extensions serve as high-probability entry triggers following session price discovery.
• Parabolic SAR (exit) — Provides a dynamic, accelerating trailing stop to capture maximum trend extension while protecting capital during reversals.
• Point Based Grid (risk) — Used to define structural stop-loss distances and position sizing based on fixed point increments rather than arbitrary percentages.
• Stochastic Oscillator (confirmation) — Confirming momentum to ensure the breakout has sufficient velocity and isn't a low-volume exhaustion move.

Known failure conditions

• HP Filter slope remains flat for extended periods, indicating a lack of cyclical trend.
• Opening range volatility is consistently higher than the distance to the next grid point, leading to instant stop-outs.
• SuperTrend and HP Filter show persistent divergence (conflicting signals).

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.