Leviathan MESA Cycle Aggregator

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Crypto (Perpetuals), Indices (Futures) · Timeframes: 15m, 1h

Thesis

Market trends are most sustainable when 'Aggressive Longs/Shorts' (detected by sudden spikes in Aggregated Open Interest) align with institutional money flow (III) and cycle-momentum (MSTOCH). By entering on a detrended price breakout (DPO) and exiting at psychological liquidity clusters (Grid Points), the strategy exploits the behavioral tendency of participants to crowd into trends during positioning-driven moves.

Components

• Open Interest Suite [Aggregated] - By Leviathan (regime) — Acts as the primary regime filter; trades are only taken when aggressive participants (high delta OI) are entering, ensuring the presence of market 'fuel'.
• Ehlers MESA Stochastic (MSTOCH) (direction) — Provides the directional bias by filtering spectral noise to identify the dominant cycle direction without trend lag.
• Detrended Price Oscillator (DPO) (entry) — Used to time entries at the moment short-term price cycles cross the mean, filtering out the broader trend identified by the regime.
• Grid Points Utility (exit) — Defines logical profit targets based on psychological round numbers where liquidity clusters are likely to reside.
• Chandelier Exit (risk) — Provides a dynamic, volatility-adjusted trailing stop-loss that accounts for asset-specific range expansions.
• Intraday Intensity Index (III) (confirmation) — Confirms institutional commitment by verifying that price closing location within the bar range is supported by volume.
• ATR Heiken Ashi (volatility_filter) — Filters out low-volatility 'chop' environments by requiring a minimum threshold of smoothed volatility before execution.

Known failure conditions

• Hypothesis fails if high Open Interest expansion consistently leads to immediate mean reversion (liquidation hunts) rather than trend continuation.
• Invalidated if the Grid Points levels consistently sit inside the Chandelier Exit stop-loss, creating a negative R:R.

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