Matrix-Filtered OI Aggregation ORB
Family: breakout · Regime: trending · Complexity: high · Asset classes: Equities, Crypto (Perpetuals) · Timeframes: 5m, 15m
Thesis
The opening range (OR) sets the institutional 'fair value' for the session; a breakout from this range, when supported by positive aggregated Open Interest (indicating new long positions) and high relative volume, signals an imbalance likely to persist. By filtering out 'rekt' events where OI drops during a move (indicating forced liquidations rather than organic buying), the strategy avoids exhaustion traps.
Components
- Imported UDT typed UDF params Test (regime) — Serves as a high-frequency regime filter by measuring the point-to-point change in price objects to confirm immediate micro-structure direction.
- Matrix Sort Method UDF Test (direction) — Uses matrix sorting to determine the price's percentile rank within a lookback period, providing a non-linear trend filter.
- Trepidity Opening Range with Extensions (entry) — Defines the liquidity boundaries and extension targets for the session, acting as the primary breakout trigger.
- Heikin-Ashi Candles (exit) — Filters noise from the exit signal by requiring a reversal in the smoothed average price trend.
- Open Interest Suite [Aggregated] - By Leviathan (risk) — Uses OI delta thresholds to detect 'rekt' events (liquidations) to trigger emergency stops and scales position size based on overall market participation.
- Moving Average Convergence Divergence (MACD) (confirmation) — Provides momentum confirmation for the opening range breakout to ensure the move has directional strength.
- RVOL (Relative Volume) (volatility_filter) — Ensures the breakout is supported by unusual volume compared to the historical average, filtering out low-liquidity traps.
Known failure conditions
- Aggregated Open Interest data becomes unavailable or lags by more than 1 minute on primary exchanges.
- Price remains within the Opening Range (0930-1000) for more than 75% of the RTH session.
- RVOL remains below 1.0 during all breakout attempts, indicating a lack of institutional interest.
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