WAD-ORB Persistence Strategy

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

Thesis

Institutional morning positioning creates directional momentum that is detectable via the opening range's expansion. By confirming these breakouts with the Williams Accumulation/Distribution (WAD) indicator, we filter for 'true' accumulation versus 'stop-run' spikes. The hypothesis assumes that if volume and price delta are aligned during an ORB, the trend will persist until it encounters significant volatility-based resistance defined by Bollinger Band stops.

Components

• Imported UDT typed UDF params Test (regime) — Used as a 'Micro-Regime' filter; it validates that the immediate price delta (persistence) aligns with the trade direction before entry.
• Williams Accumulation/Distribution (WAD) (direction) — Provides directional confirmation by ensuring price movement is supported by volume-weighted accumulation or distribution relative to the previous day's close.
• Trepidity Opening Range with Extensions (entry) — Defines the volatility boundaries of the early session; breaks of these levels trigger entries based on institutional flow established in the first 30 minutes.
• TopTrend (BBands Stop) (exit) — Provides a trailing stop-loss that adapts to Bollinger Band-derived volatility, tightening as the trend matures.
• SuperTrend MT5 (FxGeek) (risk) — Used for initial hard stop-loss placement and position sizing to normalize risk across different volatility regimes.

Known failure conditions

• Opening Range width exceeds 2% of asset price (indicates excessive volatility unsuitable for extensions).
• Price oscillates through the OR_Mid line more than 3 times within the first hour of trading.
• WAD remains flat (less than 0.1% change) during the breakout.

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