Opening Range Volatility Expansion (ORVE)

Family: breakout · Regime: trending · Complexity: high · Asset classes: Equities, Equity Indices, Volatility-Sensitive FX (GBPUSD, USDJPY) · Timeframes: M5, M15

Thesis

The 'Opening Range Volatility Expansion' (ORVE) edge rests on the hypothesis that the first 30 minutes of a session establish a value area. When the VIX term structure (VIX/VIX3M) and the Braid Filter align, a breach of this range indicates a high-probability institutional trend. The ALMA floating levels prevent entering at the 'climax' of the move, while Heiken Ashi provides a trend-following exit that ignores minor intraday noise.

Components

Braid Filter (regime) — Acts as the trend-strength gatekeeper, ensuring the three-way MA spread exceeds a volatility-adjusted threshold.
EMA with Dynamic Length Switch Logic (direction) — Used as a micro-trend filter to ensure immediate price momentum is aligned with the breakout.
Trepidity Opening Range with Extensions (entry) — Defines the intraday market structure levels that serve as breakout triggers.
Heiken Ashi (Standard MT5) (exit) — Smoothed price action provides a cleaner exit signal than raw candles in high-volatility breakout scenarios.
VIX Curve Regime (Simple) (risk) — Determines the macro-volatility regime; Contango (Ratio < 1) permits trend-following while Backwardation (Ratio > 1) signals stress/short bias.
Stochastic Oscillator (Stoch) (confirmation) — Provides a low-lag momentum confirmation to ensure the breakout isn't occurring on exhausted intra-bar movement.
ALMA with Floating Levels (volatility_filter) — Filters out exhaustion by ensuring price hasn't breached extreme Gaussian-weighted levels before entry.

Known failure conditions

VIX/VIX3M ratio remains at 1.0 for extended periods, causing regime indecision.
Asset displays high 'mean reversion' tendencies where OR extensions are immediately faded.
Price oscillates across the EMA(2) in a low-volatility tight range.

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