Wavelet-OI Structural Explosion Trader

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Futures, Crypto (with OI data) · Timeframes: H1, H4

Thesis

Market breakouts are only sustainable when accompanied by an influx of new capital (Open Interest) and occurring during high relative volatility regimes. By de-noising the trend using Haar Wavelets and waiting for a geometric harmonic structure to align with a momentum 'explosion' (WAE), we can isolate high-probability trend transitions while avoiding the 'noise' of low-volatility consolidations.

Components

• Custom Pattern Detection (regime) — Identifies potential reversal zones or continuation structures (Harmonics) to establish the structural context.
• Discrete Wavelet Transform (DWT) (direction) — De-noises price action using Haar wavelets to identify the underlying trend direction without the lag of traditional long-period EMAs.
• Waddah Attar Explosion (WAE) (entry) — Acts as the high-precision trigger by requiring momentum to exceed a volatility-adjusted threshold.
• Average True Range (ATR) (exit) — Provides a volatility-sensitive trailing exit to capture trend extension while protecting gains.
• Support and Resistance (Fractal-based) (risk) — Uses structural 'lows' and 'highs' from Bill Williams Fractals for hard stop-loss placement and position sizing.
• Open Interest Stochastic Money Flow Index (confirmation) — Confirms that price movement is supported by an increase in market participation (open interest), filtering out 'hollow' breakouts.
• Modern Ichimoku Cloud [GBB] (volatility_filter) — Uses ATR-normalized cloud thickness (Grade) to prevent entries during low-volatility 'compression' phases where WAE signals are prone to failure.

Known failure conditions

• Open interest remains flat or declining during price breakouts, suggesting no new capital flow.
• Ichimoku 'Grade' remains below 10% for extended periods, indicating a permanent shift to low-volatility regime.
• Wavelet approximation (c0) oscillates frequently around price, indicating a non-trending 'noise' environment.

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