KNN-Volume Opening Extension Hybrid
Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities (Intraday), Index Futures (NQ, ES) · Timeframes: 5m, 15m
Thesis
Intraday trends are most reliable when they break the initial 30-minute 'opening range' with the support of volume-weighted momentum and positive risk-adjusted velocity. By using a KNN-weighted SuperTrend, we filter for patterns where volume and price action historically aligned to produce extensions. The ROC/HV ratio acts as a 'quality filter,' ensuring we only participate in trends where the rate of change justifies the underlying volatility, thus avoiding low-conviction drifts that typically fail at the first extension level.
Components
- Trepidity Opening Range with Extensions (regime) — Establishes the session's structural bias; price proximity to extensions defines the intra-day regime.
- Volume SuperTrend AI (Expo) (direction) — Uses KNN-weighted volume trends to filter for high-probability directional bias beyond simple price action.
- Triple Exponential Moving Average (EMA) (entry) — Provides the final execution trigger when short-term momentum aligns with the AI-determined trend.
- Relative Strength Index (RSI) (exit) — Signals momentum exhaustion at extremes to capture profits before session mean reversion.
- Simple Panel Template (risk) — Serves as the risk management interface for user-defined stop-loss buffers and position sizing logic.
- Annualized ROC / HV Ratios (volatility_filter) — Ensures the trend has sufficient risk-adjusted velocity; filters out 'grinding' or low-conviction moves.
Known failure conditions
- Opening Range width is > 2% of asset price (indicates excessive pre-market volatility invalidating extensions).
- Volume SuperTrend AI alternates signals more than 3 times within a 60-minute window (whipsaw).
- ROC/HV ratio remains near zero despite price movement (low conviction/delta-neutral flows).
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