KNN-OR Momentum Smoother

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Index Futures · Timeframes: 5m, 15m

Thesis

Intraday price discovery is largely dictated by the 'Opening Range' established during the first 30 minutes of RTH. By filtering this range bias with non-linear volume-weighted trends (KNN SuperTrend) and zero-lag smoothing (Ehlers USF), we can capture intraday momentum shifts that are supported by high-conviction volume, while exiting at volatility exhaustion points (Kijun Envelopes). The edge lies in the synthesis of structural session data with machine-learning-enhanced trend detection.

Components

• Trepidity Opening Range with Extensions (regime) — Defines the intraday bias (regime). Trading above the mid-range suggests bullish sentiment established by the initial institutional auction.
• MACD Demo Implementation (direction) — Ensures momentum is aligned with the price direction to avoid entering exhausted moves.
• Volume SuperTrend AI (Expo) (entry) — Uses KNN classification of volume-weighted price proximity to SuperTrend levels to identify high-probability entry points.
• Kijun Sen Envelope (exit) — Acts as a volatility-based exhaustion exit. Crosses of the outer bands signal profit-taking opportunities.
• ATR Stop Loss Finder (risk) — Provides a dynamic, volatility-adjusted floor for risk management, ensuring stops are wider in high-volatility environments.
• Ehlers Ultimate Smoother Filter (USF) (confirmation) — Provides a low-lag baseline to confirm that the entry price is not over-extended from the short-term trend.
• Indicator Sample Skeleton (volatility_filter) — Used as a minimum data filter to ensure the KNN algorithm and Ehlers filter have sufficient historical bars to stabilize before signals are generated.

Known failure conditions

• The market remains within the 0930-1000 opening range for more than 70% of the RTH session.
• MACD shows persistent divergence against Volume SuperTrend AI signals.
• The KNN classification labels flip-flop between Buy/Sell on consecutive bars (signal instability).

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