Footprint-Confirmed Session Extension Trader

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities, Futures · Timeframes: 5m, 15m

Thesis

Intraday price extensions are most likely to reach mathematical targets when a volatility breakout (Chandelier/BB) is validated by a significant imbalance in cumulative volume delta (Buddha Money Flow), indicating that the move is driven by aggressive market participants rather than noise.

Components

• Dynamic EMA with Box Method Selector (regime) — Defines the immediate trend regime; price must be on the correct side of this fast-reacting average to permit entries.
• Chandelier Exit (direction) — Provides medium-term trend direction and filters out minor noise by requiring a volatility-adjusted breakout.
• Buddha Money Flow (entry) — Acts as the catalyst; entry occurs when buying/selling pressure (CVD) shows a significant imbalance, indicating institutional participation.
• Trepidity Opening Range with Extensions (exit) — Provides objective price targets based on the session's initial volatility expansion.
• Nadaraya-Watson Envelope (EMA Proxy) (risk) — Uses a smoothed volatility envelope to determine dynamic stop-loss levels based on local price extremes.
• Bollinger Bands (Standard) (volatility_filter) — Filters for volatility; ensures the market is not in a low-activity 'squeeze' where CVD signals are less reliable.

Known failure conditions

• Opening Range is excessively wide (over 2% of asset value), making extension targets unreachable.
• Exchange data feed lacks footprint/delta information, rendering CVD signals flat.
• Price remains pinned between the NW Envelope and BB Midline for extended periods.

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