Trepidity OR Extension Trend-Momentum Strategy

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Equities, Indices, FX · Timeframes: 15m, 30m

Thesis

Intraday price action is often governed by the initial volatility established in the first 30 minutes of the session (the Opening Range). If a trend is established (SMA filter), pullbacks that stall within the first few linear extensions of this range represent high-probability continuation points. By using Williams %R and CCI to confirm momentum recovery from these pullbacks, and Daily MTF levels to define risk, the strategy captures mid-session trend moves while avoiding the 'choppy' noise found within the core opening range.

Components

• Trepidity Opening Range with Extensions (regime) — Sets the session's volatility framework; trade entries are valid only when price is within the extension levels, signifying controlled volatility.
• Simple Moving Average (SMA) (direction) — Provides the primary trend filter; long only if price > SMA and slope is positive.
• Williams %R (entry) — Identifies local oversold/overbought conditions within the broader trend for entry timing.
• Bollinger Bands (Standard) (exit) — Uses the outer bands as dynamic mean-reversion targets for profit-taking in a trending environment.
• Daily High Low MTF (risk) — Defines structural stop-loss levels based on yesterday's extremes to prevent noise-based exits.
• Commodity Channel Index (CCI) (confirmation) — Acts as a momentum confirmation to ensure the Williams %R signal has sufficient velocity to exit the extreme zone.
• Indicator Sample Skeleton (volatility_filter) — Used as a data-integrity filter; ensures iBars() > 200 before logic execution to avoid cold-start errors.

Known failure conditions

• Price frequently crosses the SMA without sustaining momentum (choppy regime).
• Opening Range extensions are breached immediately and frequently, suggesting high-volatility news-driven environments.
• The distance between entry and the MTF Daily High/Low is > 5% of asset price, making the risk/reward profile unfavorable.

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