Opening Range Kendall-Tau Expansion

Family: breakout · Regime: trending · Complexity: medium · Asset classes: FX, Equity Indices, Gold · Timeframes: M15, D1

Thesis

Intraday volatility expansion typically originates from the opening range (Brackets). However, many breakouts are 'noise.' By using the Ehlers NET (Kendall Tau) to filter for high-correlation trends and Murrey Math to ensure the expansion isn't occurring at a major structural pivot point (7/8 or 1/8), we can isolate high-probability trend continuations with a volatility-based risk profile.

Components

• Murrey Math Line X (regime) — Filters entries to ensure the breakout occurs within the 'neutral' 3/8 to 5/8 range, avoiding overextended 7/8 or 1/8 zones where reversals are likely.
• Ehlers Noise Elimination Technology (NET) (direction) — Provides a non-lagging trend filter; Kendall Tau correlation ensures the breakout is supported by a statistically significant price-time direction.
• Brackets Indicator (entry) — Captures the initial session volatility (e.g., London Open) to identify a clear supply/demand boundary.
• ATR Fib (exit) — Sets profit targets based on historical session volatility ratios rather than arbitrary point values.
• TMA Risk Panel (risk) — Standardizes risk per trade using ATR-based stops to account for varying market noise levels.

Known failure conditions

• Price oscillates within the bracket for more than 4 hours after initial breakout (exhaustion).
• Murrey Math levels shift more than 50% of the octave range while a trade is open.
• NET indicator remains near zero (-0.1 to 0.1) for extended periods, indicating a lack of directional conviction.

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