Adaptive Opening Expansion Protocol

Family: breakout · Regime: trending · Complexity: high · Asset classes: Equities, FX, Indices · Timeframes: M5, M15

Thesis

Intraday price action typically undergoes a phase of price discovery (Opening Range) followed by a directional expansion. By aligning the market's structural boundaries (Opening Range/Session Mid) with its internal cyclical momentum (SAM) and 'true' price movement (ASI), we can isolate high-probability breakout windows and filter out the noise of the morning chop. The edge exists because price often 'clusters' in momentum phases after breaking out of early-day equilibrium.

Components

• Bollinger Bands (regime) — Establishes the volatility regime; price must be outside the midline to ensure we are not in a low-volatility 'squeeze' state.
• Commodity Channel Index (CCI) (direction) — Provides the primary directional bias; filtered to extreme levels (>100 or <-100) to ensure high-velocity momentum.
• Smoothed Adaptive Momentum (entry) — Acts as the precision trigger by timing the entry based on the market's dominant cycle rather than a static lookback.
• Stochastic Oscillator (exit) — Identifies local exhaustion points to exit the trade before the session range mean-reversion occurs.
• Session Range (High/Low/Mid) (risk) — Uses intraday structural levels (Midpoint/High/Low) to anchor stop losses and define risk-of-ruin.
• Accumulation Swing Index (ASI) (confirmation) — Validates the 'true' price move by ensuring the momentum is backed by the cumulative relationship of OHLC.
• Trepidity Opening Range with Extensions (volatility_filter) — Filters out false breakouts by requiring price to sustain a position outside the initial 30-minute volatility window.

Known failure conditions

• Price repeatedly crosses the Session Midpoint without reaching the first Extension level.
• SAM dominant cycle period stabilizes at a value shorter than the cutoff for more than 4 hours.
• The Accumulation Swing Index diverges significantly from price (Price higher high, ASI lower high).

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