Opening Range Reversion Diagnostic

Family: mean_reversion · Regime: trending · Complexity: medium · Asset classes: Equities, Forex · Timeframes: M5, M15

Thesis

Market participants often overreact to price movements outside the initial 30-minute opening range; price will tend to revert to the range mid-point if volume momentum (VF) shifts back toward the mean while staying within a broader trend.

Components

• Indicator Sample Diagnostic (regime) — Serves as a data-integrity gatekeeper, ensuring the bar count (rates_total) meets the minimum lookback for BB and VF before execution.
• Arrows Base Template (direction) — Provides the directional bias by requiring price to be on the correct side of the Bollinger Midline (SMA).
• Bollinger Bands (entry) — Identifies overextended price levels (Lower Band for Longs, Upper Band for Shorts) as mean-reversion entry triggers.
• Trepidity Opening Range with Extensions (exit) — Establishes profit targets based on institutional order flow levels (OR_Mid and Extension_1) defined during the market open.
• News Indicator NMNNFX (risk) — Acts as a risk filter; trades are inhibited if high-impact news is present to avoid slippage and unpredictable volatility.
• Volume Force (VF) (confirmation) — Confirms that the mean-reversion move is supported by a shift in price-volume momentum (VF crossing zero).
• W8 exp overflow 1000.0 v1 (volatility_filter) — Used as a 'computational circuit breaker'; if the environment cannot handle near-overflow math (as a proxy for system lag/limitations), the strategy halts.

Known failure conditions

• Opening range extensions are consistently hit on both sides within the first hour (indicates high-noise/ranging session).
• Volume Force stays near zero during price moves (indicates lack of liquidity/participation).

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