Trepidity Session Expansion Scalper

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Equities, Equity Index Futures · Timeframes: 5m, 15m

Thesis

Short-term intraday trends are often established in the first 30 minutes of the RTH session (Institutional 'Price Discovery'). By using the Opening Range Mid as a pivot and aligning momentum (CCI) with the broader volatility trend (SuperTrend), we can capture the session's expansion phase while using ATR-based trailing stops to account for dynamic volatility.

Components

• Trepidity Opening Range with Extensions (regime) — Defines the session's volatility boundaries; trades are only valid when price has established directional momentum outside the initial OR mid-range.
• SuperTrend (direction) — Establish the core trend bias to prevent trading against the dominant intraday swing.
• Commodity Channel Index (CCI) (entry) — Acts as a momentum trigger; identifies short-term mean-reversion exhaustion points to enter the primary trend.
• Stochastic Oscillator (exit) — Identifies overextended momentum (overbought/oversold) relative to the current swing for tactical exits.
• Chandelier Exit (risk) — Provides a volatility-adjusted trailing stop based on local price extremes to lock in gains and limit downside.

Known failure conditions

• Price spends more than 60% of the session within the initial Opening Range.
• ATR volatility exceeds the Extension 1 projection within the first 15 minutes of the RTH session.

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