OI-Flow ZigZag Momentum Continuum
Family: trend_following · Regime: trending · Complexity: high · Asset classes: Futures, Commodities · Timeframes: M15, D1
Thesis
Price trends in futures markets are fundamentally driven by the accumulation or distribution of contracts (Open Interest). By combining the structural trend identified by ZigZag with the capital flow measured by the OI-based Stochastic MFI, we can identify high-conviction momentum. The D1 Bollinger Bands act as a 'value filter' to ensure we enter during the meat of a trend move rather than at the extremes of long-term volatility, while Heiken Ashi ATR provides a smoothing mechanism to stay in the trend during minor noise.
Components
- Open Interest Stochastic Money Flow Index (regime) — Acts as a sentiment/regime filter by ensuring price movement is supported by capital inflows (OI) rather than just speculative volume.
- ZigZag Color (Classic) (direction) — Filters out noise to identify the current swing direction and market structure.
- V7 Corpus-Local-AlertCondition-v1 (entry) — Provides the final execution trigger based on local candle momentum (close > open).
- ATR Heiken Ashi (exit) — Uses smoothed volatility to set a dynamic trailing exit that is less sensitive to intraday noise than standard ATR.
- Average True Range (Standard MQ4) (risk) — Used for initial stop-loss placement and volatility-adjusted position sizing.
- D1 Bollinger Bands (Period 90) on M15 (Forward Shifted) (volatility_filter) — Contextualizes intraday price action within a very long-term (90-day) volatility envelope to prevent trading into major resistance/exhaustion.
Known failure conditions
- OI data reporting lag from exchanges exceeds 24 hours.
- Market enters a 'low-volatility grind' where ATR-based stops are repeatedly hit by noise while ZigZag remains stagnant.
- Price oscillates around the D1 BB Middle Band, causing rapid regime flips.
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