TII Gap-Intensity Momentum Trader

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Indices · Timeframes: M15, M30, H1

Thesis

Intraday price gaps that occur in the direction of a high-intensity trend (as measured by TII) represent a structural imbalance that is likely to persist until the session range is extended to its ATR-implied boundaries. The edge exists because the market often fails to immediately fill 'breakaway' gaps when momentum (CCI/RSI) and volatility (ATR HA) are rising simultaneously.

Components

Trend Intensity Index (TII) (regime) — Filters for high-conviction momentum environments where the price is significantly biased relative to its 60-period mean.
MindTheGap (direction) — Identifies institutional order flow imbalances or liquidity gaps that set the initial direction of the move.
Commodity Channel Index (CCI) (entry) — Used to time entries on momentum thrusts that align with the gap direction.
ATR Fib (exit) — Provides volatility-adjusted profit targets based on session range extensions.
Session Range (High/Low/Mid) (risk) — Defines the structural boundaries of the day; the Midpoint acts as the hard stop-loss level.
RSI Area (Histogram) (confirmation) — Confirms that the momentum is not yet exhausted (not in extreme overbought/oversold territory).
ATR Heiken Ashi (volatility_filter) — Ensures volatility is sufficient to carry the price to the ATR Fib targets; prevents entering in 'dead' markets.

Known failure conditions

Multiple consecutive stop-outs at the Session Midpoint during low-volatility 'chop' sessions.
ATR Heiken Ashi values dropping below 50% of the 20-day average, indicating a volatility collapse.
Price repeatedly filling the MindTheGap trigger within 3 bars, suggesting the gap was noise rather than institutional flow.

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