Aggressive OI Delta Intensity Trend
Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Crypto (USDT-margined Perpetuals) · Timeframes: 1H, 4H
Thesis
Market momentum is most likely to persist when price movement is confirmed by a surge in aggressive open interest (positioning) and positive money flow (volume). By filtering for high-intensity trends (TII > 80) and using a fixed-point structural grid, we can capture the core expansion of a trend while exiting as soon as price returns to its MA-based volatility envelope. This exploits the behavioral tendency of markets to 'overextend' during liquidation events or aggressive hedging cycles.
Components
- Open Interest Suite [Aggregated] - By Leviathan (regime) — Filters for aggressive market participation. Entries are only valid when high-conviction delta OI confirms price movement, suggesting institutional positioning rather than retail noise.
- Trend Intensity Index (TII) (direction) — Provides the directional bias. By comparing price to a 60-period MA (2*Length), it identifies high-probability trend regimes where momentum strategies are more effective.
- Money Flow Index (MFI) (entry) — Acts as the trigger. Ensures that the entry is supported by volume-weighted price momentum, preventing entries into 'dry' trends with no liquidity.
- MA Channel (Framework Version) (exit) — Defines the volatility envelope. Exits occur when price breaks back into the channel, signifying a loss of trend strength or mean reversion.
- Point Based Grid (risk) — Provides a fixed structural framework for stop-losses and targets, acknowledging that liquidity often clusters at specific point intervals in high-frequency markets.
Known failure conditions
- OI aggregation failure: If exchange API limits cause delayed OI reporting, the 'Aggressive' signal will lag behind price action.
- Low Volatility: If the market moves less than the InpP1 grid interval over 100 bars, the risk model fails to provide meaningful levels.
- Directional Decay: TII staying pinned at 80/20 while price consolidates indicates a trend exhaustion the strategy cannot detect.
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