Recursive Opening Range Pivot Strategy (RORPS)
Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Indices, Forex · Timeframes: M5, M15
Thesis
The 'Opening Range' represents the initial equilibrium of institutional orders; a breakout from this range, confirmed by multi-timeframe moving averages and positive Bulls Power, identifies a high-probability path toward daily pivot targets. By scaling risk based on the Relative Absolute Error (RAE) of the trendline, the strategy adjusts to periods where the recursive model fails to track price, reducing exposure during structural breakdowns.
Components
- Trepidity Opening Range with Extensions (regime) — Defines the session bias based on price location relative to the mid-point (OR_Mid) and provides extension levels for potential exhaustion.
- Profile Dynamic Series Max Bars Back Test (direction) — Provides a short-term momentum filter by ensuring the current price is higher/lower than price 3 bars ago to avoid entries in decaying momentum.
- Recursive Moving Average Unlimited (entry) — The multi-iterative Composite Trigger acts as the definitive trend signal; entries occur on price crossovers of this highly smoothed average.
- Pivot Points (Classic) (exit) — Provides objective, session-fixed targets for profit taking (R1/R2 and S1/S2).
- Relative Absolute Error (RAE) (risk) — Quantifies the 'instability' of the current price relative to the recursive trend; used to scale stop-loss distance and position size.
- Bulls Power (Elder Ray) (confirmation) — Confirms that buying/selling pressure is expanding in the direction of the trade.
- Multi Timeframe Moving Average Dashboard (volatility_filter) — Filters out counter-trend trades by requiring higher timeframe (H1/H4) alignment across a basket of SMAs.
Known failure conditions
- The Opening Range is smaller than the average spread, indicating a non-eventful open.
- RAE remains consistently above 1.0, suggesting the recursive trendline has lost all tracking ability.
- Price oscillates across the OR_Mid more than 5 times in a single session (choppy regime).
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