Lorentzian Imbalance Expansion Strategy
Family: hybrid · Regime: trending · Complexity: high · Asset classes: FX, Equities, Crypto · Timeframes: M5 (Entry) / H1 (Regime)
Thesis
Price discovery is driven by institutional liquidity imbalances (FVGs). By utilizing Lorentzian Classification to identify recurring patterns in the local feature space (RSI, CCI, etc.) and confirming entries with volume breakouts relative to VWAP, the strategy captures the 'expansion' leg of a daily range towards mathematically projected session extensions. The edge lies in the confluence of non-linear classification with structural institutional footprints.
Components
- ICT + FVG + RSI V1.2.12 (regime) — Establishes the higher-timeframe institutional context; identifying Fair Value Gaps ensures the trade aligns with recent liquidity voids.
- Bears Power (direction) — Filters direction by quantifying the strength of sellers relative to an EMA, ensuring the Lorentzian entry isn't fighting overwhelming selling pressure during longs.
- Lorentzian Classification (entry) — Acts as the final execution trigger by classifying current price behavior against a 5-dimensional historical feature space.
- Trepidity Opening Range with Extensions (exit) — Provides objective mathematical targets based on early session volatility, which often defines the day's expansion limits.
- Order Block & FVG Detector (risk) — Sets logical stop-loss levels at structural points where institutional orders are clustered (Order Blocks).
- KandleKings™ WatchTower v1.0 (volatility_filter) — Filters for liquidity and volatility; requires volume-backed moves relative to VWAP to prevent entering in low-interest zones.
Known failure conditions
- Price closes inside the HTF FVG that established the regime, indicating the imbalance has been invalidated.
- Opening Range width is > 2% of asset price, suggesting expansion has already occurred (late-day volatility exhaustion).
- Lorentzian KNN win-rate falls below 45% on the lookback period.
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