Smart Flow Corrected Momentum Overlay

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Futures (CME/CBOT), Crypto Futures · Timeframes: H1, H4

Thesis

Market trends are only sustainable when accompanied by an increase in net participation (Open Interest). By combining an OI-based regime filter with a noise-corrected momentum oscillator (RSX), we can isolate high-conviction moves. The edge exists by entering during a temporary pullback (Williams %R) while institutional capital is still flowing into the primary direction, filtered by a minimum volatility threshold to avoid 'wash-outs'.

Components

• Open Interest Stochastic Money Flow Index (regime) — Determines if the current price move is supported by new capital (rising OI) or short covering/liquidation, defining the macro 'smart money' regime.
• Corrected RSX (direction) — Filters out noise to provide a 'clean' momentum trend direction, reducing churn in choppy markets.
• Williams %R (entry) — Identifies short-term oversold/overbought pullbacks within the established momentum trend.
• ATR Heiken Ashi (exit) — Used to detect volatility-based exhaustion; exits occur when volatility calculated from smoothed HA candles hits historical extremes or reverses.
• ATR SL Finder (risk) — Provides a dynamic, price-action-anchored stop loss that adjusts to current market expansion or contraction.
• Bollinger Bands (volatility_filter) — Acts as a gatekeeper to ensure entries only occur during periods of sufficient realized volatility (avoiding the 'squeeze' churn).

Known failure conditions

• Open interest data feed latency exceeding 1 bar period.
• Extended periods of 'Limit Up/Down' where ATR calculations become artificial.
• Currency pegged regimes where volatility filters fail to trigger.

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