Adaptive Intensity Opening Range Extension Strategy

Family: breakout · Regime: trending · Complexity: high · Asset classes: Equities, FX, Indices · Timeframes: M15, H1

Thesis

Intraday trends are most reliable when a session breakout (Trepidity OR) occurs after a period of volatility contraction (Inside Bar), provided that momentum is at peak intensity (TII) and the underlying signal is cleaned of stochastic noise (RLS Filter). The edge lies in filtering out low-conviction 'fake-outs' by requiring extreme TII values and volatility alignment.

Components

• ProfitRobots Dashboard Template (regime) — Establishes multi-timeframe regime alignment by overriding the dashboard template logic with Trend Intensity Index (TII) values from higher timeframes.
• Trend Intensity Index (TII) (direction) — Quantifies the conviction of the move. We seek 'extreme' TII values (>80 or <20) to ensure we are entering a high-intensity impulse rather than a weak mean-reversion move.
• Trepidity Opening Range with Extensions (entry) — Provides the structural price levels for entry. The first extension (N=1) acts as the 'point of no return' for an intraday trend.
• Waddah Attar Explosion (WAE) (exit) — Used to detect the exhaustion of volatility. When the MACD-based trend falls below the Bollinger-based explosion threshold, the 'burst' is considered over.
• Chandelier Exit (risk) — A volatility-adjusted trailing stop that accounts for the ATR, protecting capital during the trend extension phase.
• Inside Bars (MTF Framework) (confirmation) — Serves as a volatility compression filter. An inside bar before a breakout suggests a 'coiling' of price, increasing the probability of a sustained extension move.
• Recursive Least Squares Adaptive Filter (RLS) (volatility_filter) — Filters out micro-noise. By ensuring price is on the correct side of the RLS curve, we avoid entries during high-error, non-linear price action.

Known failure conditions

• Price crosses the Chandelier Exit on the same bar as the OR Extension breakout.
• TII remains stuck between 40 and 60 for more than 4 hours, indicating a total loss of trend intensity.
• The RLS P-matrix diverges, resulting in 'NaN' or erratic filter values (numerical instability).

Explore the full interactive blueprint with parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine (free download).