SGF Opening Range Fractal Expansion

Family: breakout · Regime: trending · Complexity: medium · Asset classes: Equities, FX Major Pairs · Timeframes: M5, M15

Thesis

The strategy assumes that the initial 30 minutes of trade (Opening Range) sets the session's structural bias, and that polynomial smoothing (SGF) can differentiate between true institutional momentum and transient retail noise. By entering only on 'confirmed' fractal breakouts when directional bias (Mean Error) is positive and news risk is low, we capture the meat of session expansions.

Components

• Trepidity Opening Range with Extensions (regime) — Defines the session regime: we look for extensions to provide the boundaries of intra-day volatility.
• Savitzky-Golay Filter (SGF) (direction) — Filters high-frequency noise to identify the underlying local trend direction without the lag of a standard SMA.
• Mn Fractal Store (entry) — Acts as the execution trigger by identifying breakout levels from confirmed local structural pivots.
• Pivot Points (Classic) (exit) — Provides objective price targets based on prior period structure.
• News Indicator NMNNFX (risk) — Used for risk mitigation; provides a hard 'no-trade' window around high-impact events to prevent slippage and news-driven whipsaws.
• Mean Error (ME) (confirmation) — Confirms the entry by ensuring the current price error (bias) relative to its window is positive (for longs) or negative (for shorts), indicating momentum persistence.

Known failure conditions

• Price oscillates within the Opening Range Mid-point for entire sessions (no expansion).
• High-impact news events occur with high frequency (e.g., NFP week), locking the system out of trades.
• Savitzky-Golay slope frequently flips sign in low-volatility environments.

Explore the full interactive blueprint with parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine (free download).