GME Warrant Tracker [theUltimator5]The GME Warrant Tracker was designed to be used for GME warrants tracking. The theory behind this indicator is that warrants are priced similarly to options and generally follow the same Greeks. With that assumption, we can break down the price of the warrants by using known Greeks to estimate either the theoretical price, or even estimate Implied Volatility (IV).
The base settings for this indicator plot the calculated IV, the theoretical price (there are multiple methods of calculation which I will discuss later) and the current warrant price.
You can toggle on or off all of these plots to display only what you want to track.
For example, you can simply track the difference between the theoretical price and the current price to see if warrants are trading at a premium or a discount vs what the indicator calculates it to be.
Calculating implied volatility is extremely difficult and must be approximated.
The theoretical warrant price produced by this indicator depends primarily on the volatility input (σ) used in the Black–Scholes pricing model.
This script supports five distinct methods for approximating σ, each extracting different information from the market.
1) Close-to-Close Historical Volatility
Close-to-Close computes the standard deviation of daily close-to-close returns and uses a lookback window scaled to time-to-expiry. As the expiration approaches, the lookback window tightens, giving a more responsive volatility approximation relative to time-to-expiry.
This option produces conservative approximations for volatility, and may lag actual volatility intraday.
2) Parkinson High-Low Volatility
Parkinson High-Low volatility uses daily high and low prices to calculate intraday trading range for a more responsive estimation to volatility. It ignores opening and close gaps, so overnight volatility is not accounted for.
This option produces higher theoretical volatility during choppy price action and can over estimate actual volatility.
3) Garman–Klass Volatility
Garman–Klass volatility is a way to estimate how much price is fluctuating by using the open, high, low, and close for each period. Because it draws on multiple intraperiod price points (not just the range or close-to-close moves), it typically produces a tighter, more informative volatility estimate than simpler approaches. It’s often most helpful when gaps occur and when the open and close carry meaningful information about the session’s trading.
4)Yang–Zhang Volatility
The Yang–Zhang volatility estimator is designed to account for both opening jumps and price drift. It estimates volatility by combining overnight (close-to-open) variance, intraday (open-to-close) variance, and a weighted Rogers–Satchell component using OHLC data, often yielding a more robust measure than simpler close-to-close style estimators.
5) Option price
By default, the indicator uses the call option strike dated closest to the warrant expiration date. Since the Greeks for both the warrants and the
options are assumed to be equivalent with a minor difference in theta (time-to-expiry), the theoretical price of the warrants closely matches the trade price of the call strike chosen.
There is a table that can be enabled (off by default because it is large and fills entire screen on mobile) which shows all the configuration settings and Greeks.
You can also manually adjust the "dilution" factor for the warrants, which shifts the number of active warrants and moves the count into the shares outstanding for the underlying (GME). The reason for this is that as warrants get exercised, the total quantity of warrants in circulation decreases and the the total quantity of shares outstanding increases.
Since this indicator was built around the single warrant, ticker NYSE: GME/W, it is only meant to be used with NYSE:GME. Any other ticker will not work properly with this indicator.
Volatilität
FVG Heatmap [Hash Capital Research]FVG Map
FVG Map is a visual Fair Value Gap (FVG) mapping tool built to make displacement imbalances easy to see and manage in real time. It detects 3-candle FVG zones, plots them as clean heatmap boxes, tracks partial mitigation (how much of the zone has been filled), and summarizes recent “fill speed” behavior in a small regime dashboard.
This is an indicator (not a strategy). It does not place trades and it does not publish performance claims. It is a market-structure visualization tool intended to support discretionary or systematic workflows.
What this script detects
Bullish FVG (gap below price)
A bullish FVG is detected when the candle from two bars ago has a high below the current candle’s low.
The zone spans from that prior high up to the current low.
Bearish FVG (gap above price)
A bearish FVG is detected when the candle from two bars ago has a low above the current candle’s high.
The zone spans from the current high up to that prior low.
What makes it useful
Heatmap zones (clean, readable FVG boxes)
Bullish zones plot below price. Bearish zones plot above price.
Partial fill tracking (mitigation progress)
As price trades back into a zone, the script visually shows how much of the zone has been filled.
Mitigation modes (your definition of “filled”)
• Full Fill: price fully trades through the zone
• 50% Fill: price reaches the midpoint of the zone
• First Touch: price touches the zone one time
Optional auto-cleanup
Optionally remove zones once they’re mitigated to keep the chart clean.
Fill-Speed Regime Dashboard
When zones get mitigated, the script records how many bars it took to fill and summarizes the recent environment:
• Average fill time
• Median fill time
• % fast fills vs % slow fills
• Regime label: choppy/mean-revert, trending/displacement, or mixed
How to use
Use FVG zones as structure, not guaranteed signals.
• Bullish zones are often watched as potential support on pullbacks.
• Bearish zones are often watched as potential resistance on rallies.
The fill-speed dashboard helps provide context: fast fills tend to appear in more rotational conditions, while slow fills tend to appear in stronger trend/displacement conditions.
Alerts
Bullish FVG Created
Bearish FVG Created
Notes
FVGs are not guaranteed reversal points. Fill-speed/regime is descriptive of recent behavior and should be treated as context, not prediction. On realtime candles, visuals may update as the bar forms.
Market Efficiency Ratio [Interakktive]The Market Efficiency Ratio decomposes price movement into two components: net progress vs wasted movement. This tool exposes the underlying math that most traders never see, helping you understand when price is moving efficiently versus chopping sideways.
Unlike simple trend indicators, this shows you WHY price movement matters — not just whether it's up or down, but how much of that movement was useful directional progress versus noisy oscillation.
█ WHAT IT DOES
• Calculates Efficiency Ratio (0–1 or 0–100) measuring directional progress
• Exposes Net Displacement (how far price actually moved)
• Exposes Path Length (total distance price traveled)
• Calculates Chop Cost (wasted movement)
• Visual zones for high/mid/low efficiency states
█ WHAT IT DOES NOT DO
• NO signals, NO entries/exits, NO buy/sell
• NO performance claims
• NO predictions — purely diagnostic
• This is a tool for understanding price behavior
█ HOW IT WORKS
The efficiency ratio answers one question: "Of all the movement price made, how much was useful progress?"
🔹 THE MATH
Over a lookback period of N bars:
Net Displacement = |Close - Close |
Path Length = Σ |Close - Close | for all bars
Efficiency Ratio = Net Displacement / Path Length
🔹 INTERPRETATION
• Efficiency = 1.0 (100%): Price moved in a straight line — every tick was progress
• Efficiency = 0.5 (50%): Half the movement was wasted in back-and-forth chop
• Efficiency = 0.0 (0%): Price ended exactly where it started — all movement was noise
🔹 CHOP COST
This is the "wasted movement" — how much price traveled without making progress:
Chop Cost = Path Length - Net Displacement
Chop % = Chop Cost / Path Length
High chop cost means lots of effort for little result — a warning sign for trend traders.
█ VISUAL GUIDE
Three efficiency zones:
• GREEN (≥70): High efficiency — strong directional movement
• YELLOW (30-70): Mixed efficiency — some progress, some chop
• RED (<30): Low efficiency — mostly noise, little progress
█ INPUTS
Lookback Length (default: 14)
Number of bars to calculate efficiency over. Higher values produce smoother readings but respond slower to changes.
Smoothing Length (default: 5)
EMA smoothing applied to the output. Reduces noise in the efficiency reading.
Apply Smoothing (default: true)
Toggle EMA smoothing on/off.
Scale Mode (default: 0–100)
Display as percentage (0-100) or decimal ratio (0-1).
Show Reference Bands (default: true)
Display the high/low efficiency threshold lines.
Low/High Efficiency Level (default: 30/70)
Thresholds for classifying efficiency zones.
Overlay Effect (default: None)
• None: No overlay
• Background Tint: Subtle chart background color in high/low zones
• Bar Highlight: Color bars during low efficiency periods
Show Data Window Values (default: true)
Export all raw values (Net Displacement, Path Length, Efficiency, Chop Cost, Chop %) to the data window for analysis.
█ USE CASES
This indicator helps traders understand:
• Why some trends are "clean" and others are "messy"
• When price is consolidating vs trending (without using volume)
• The relationship between movement and progress
• Why high-chop environments are difficult to trade
This is the foundational concept behind more advanced regime detection systems.
█ SUITABLE MARKETS
Works on: Stocks, Futures, Forex, Crypto
Timeframes: All timeframes
Note: This is a price-only indicator — no volume required
█ DISCLAIMER
This indicator is for informational and educational purposes only. It does not constitute financial advice. It does not generate trading signals. Past performance does not guarantee future results. Always conduct your own analysis.
CVD & Big Trade Detector By HKOverview The CVD & Big Trade Detector By HK offers a unique perspective on Cumulative Volume Delta (CVD). This indicator utilizes Floating Bars (Candles) to visualize the cumulative buying and selling pressure. This design allows you to clearly see the net delta of each specific candle relative to the cumulative trend.
Additionally, it integrates the "Big Trade" algorithm to highlight statistically significant volume anomalies (Whale activity) directly on the CVD bars.
How it Works Since standard volume data does not always provide buy/sell splitting, this script estimates intrabar pressure using price action logic:
Buying Pressure: Calculated based on the push from the Low to the Close.
Selling Pressure: Calculated based on the push from the High to the Close.
The indicator then calculates the Delta (Buy Vol - Sell Vol) and accumulates it.
Floating Bars: Instead of plotting from the zero-line, each bar opens at the previous CVD value and closes at the new cumulative value.
Teal/Green Bar: Net buying in the current period (CVD increased).
Maroon/Red Bar: Net selling in the current period (CVD decreased).
Key Features
Floating CVD Structure: Prevents the "barcode effect" common in histogram CVDs. It provides a clean, candle-like view of momentum accumulation.
Whale Detection:
The script calculates the moving average and standard deviation (Sigma) of the buying/selling volume.
Green Dots: Appear when buying volume exceeds the statistical threshold (Signifying a "Big Buy").
Red Dots: Appear when selling volume exceeds the statistical threshold (Signifying a "Big Sell").
Precise Positioning: Whale markers are plotted exactly at the closing value of the CVD bar, showing you exactly where the volume spike impacted the delta.
How to Use
Divergences: Look for situations where Price makes a Higher High, but the CVD Bars fail to make a new high (bearish divergence).
Absorption: If you see a Large Whale Dot on a very small CVD bar (doji-like), it indicates massive volume fighting for direction with little net result—often a sign of absorption or a pending reversal.
Trend Confirmation: Strong floating bars in the direction of the trend, accompanied by Whale Dots, confirm smart money participation.
Settings
Lookback Period: Defines the baseline for the statistical volume calculation (default: 50).
Sensitivity (Sigma): Adjusts how strict the "Whale" detection is (default: 3.0). Higher values = fewer, more significant signals.
Colors: Fully customizable colors for Up/Down bars and Buy/Sell markers.
Built with Pine Script™ v6
Ichimoku Cloud Strategy - 1H HyperliquidStategy for Hyperliquid 1hr time frame using Ichimoku's Cloud.
Bollinger Bands + MA 50/100/200📊 Bollinger Bands + MA 50 / 100 / 200 Indicator
This indicator combines Bollinger Bands with key Moving Averages (50, 100, 200) to help you spot trend direction, volatility, and potential reversal zones in one clean view.
🔹 Bollinger Bands
* Customizable length & MA type (SMA, EMA, RMA, WMA, VWMA)
* Visualizes market volatility
* Upper & lower bands help identify overbought / oversold conditions
🔹 Moving Averages
* MA 50 → Short-term trend
* MA 100 → Medium-term trend
* MA 200 → Long-term trend & major support/resistance
* Easy toggle on/off for clean charting
💡 How to use
* Price near upper band + strong MA trend → possible continuation
* Price near lower band → watch for bounce or breakdown
* MA alignment (50 > 100 > 200) → bullish trend
* MA cross & BB squeeze → potential breakout incoming
⚠️ Best used with price action & risk management
📌 Works on stocks, crypto, forex, indices
Volatility State Index [Interakktive]The Volatility State Index (VSI) classifies market volatility into three behavioral states: Expansion, Decay, and Transition. It answers one question visually: Is volatility supporting price movement, withdrawing, or unstable?
Unlike traditional volatility indicators that show levels or bands, VSI diagnoses the current volatility regime so traders can adapt their approach accordingly.
█ WHAT IT DOES
• Classifies volatility into three states: Expansion (teal), Decay (grey), Transition (amber)
• Measures volatility momentum as a percentage rate-of-change
• Applies stability filtering to detect unstable/choppy conditions
• Uses persistence logic to prevent state flickering
• Exports state data for use in alerts and strategies
█ WHAT IT DOES NOT DO
• NO buy/sell signals
• NO entry/exit recommendations
• NO alerts (v1 is diagnostic only)
• NO performance claims
This is a volatility diagnostic tool, not a trading system.
█ HOW IT WORKS
The VSI processes volatility through a five-stage pipeline:
STAGE 1 — Base Volatility
Calculates ATR as the foundation for volatility measurement.
STAGE 2 — Smoothing
Applies EMA smoothing to reduce noise in the volatility series.
STAGE 3 — Volatility Momentum
Computes the percentage rate-of-change of smoothed volatility:
Volatility Momentum (%) = ((Current ATR - Previous ATR) / Previous ATR) × 100
Positive values indicate expanding volatility; negative values indicate contracting volatility.
STAGE 4 — Stability Filter
Tracks how frequently volatility momentum changes direction. Frequent sign changes indicate unstable, choppy conditions.
Stability Score = 1 - (Average Flip Rate)
Low stability forces the Transition state regardless of momentum level.
STAGE 5 — State Classification
Combines momentum thresholds and stability to determine the final state:
• Expansion: Momentum ≥ +5% (default threshold)
• Decay: Momentum ≤ -5% (default threshold)
• Transition: Between thresholds OR low stability
A persistence filter requires states to hold for multiple bars before confirming, preventing visual noise.
█ INTERPRETATION
EXPANSION (Teal)
Volatility is increasing in a sustained way. Price moves are becoming larger.
What it suggests:
• Breakouts are more likely to follow through
• Stops may need wider placement
• Trend-following approaches tend to work better
• Mean-reversion weakens
DECAY (Grey)
Volatility is decreasing. Price is compressing into tighter ranges.
What it suggests:
• Breakouts are more likely to fail
• Ranges tend to hold
• Trend-following underperforms
• Mean-reversion strengthens
TRANSITION (Amber)
Volatility behavior is unclear or unstable. This is NOT neutral — it is uncertainty.
What it suggests:
• Mixed signals — one bar huge, next bar dead
• Higher whipsaw risk
• Reduced conviction in either direction
• Consider waiting for clarity
The key insight: Amber is a warning, not a middle ground. It appears when volatility cannot decide what it wants to do.
█ VISUAL DESIGN
The indicator uses a state-first histogram design:
• Histogram height shows volatility momentum percentage
• Histogram color shows the classified state
• Zero line provides visual anchor
• Optional momentum line for confirmation
• Optional background tint (default OFF for clean charts)
The visual hierarchy prioritizes instant state recognition. A trader should understand the volatility environment in under one second without reading numbers.
█ INPUTS
Core Settings
• ATR Length: Base volatility measurement period (default: 14)
• Smoothing Length: EMA smoothing applied to ATR (default: 10)
• Momentum Length: Rate-of-change lookback (default: 10)
State Classification
• Expansion Threshold (%): Momentum above this = Expansion (default: 5.0)
• Decay Threshold (%): Momentum below this = Decay (default: -5.0)
• Persistence Bars: Bars required to confirm state change (default: 3)
• Stability Lookback: Window for stability calculation (default: 20)
• Stability Threshold: Below this = forced Transition (default: 0.5)
Visual Settings
• Show State Histogram: Toggle main display (default: ON)
• Show Momentum Line: Thin confirmation line (default: OFF)
• Show Zero Line: Baseline reference (default: ON)
• Show Background Tint: Subtle state coloring (default: OFF)
█ DATA WINDOW EXPORTS
When enabled, the following values are exported:
• ATR (Raw)
• ATR (Smoothed)
• Volatility Momentum (%)
• Stability Score (0-1)
• State (-1/0/1): Decay = -1, Transition = 0, Expansion = 1
• Is Expansion (0/1)
• Is Decay (0/1)
• Is Transition (0/1)
These exports allow VSI to be used as a filter in Pine Script strategies or alert conditions.
█ ORIGINALITY
While ATR and volatility indicators are common, VSI is original because it:
1. Classifies volatility into behavioral states rather than showing raw levels
2. Applies momentum analysis to volatility itself (rate-of-change of ATR)
3. Uses stability filtering to detect genuinely unstable conditions
4. Implements persistence logic to prevent state flickering
5. Provides a state-first visual design optimized for instant recognition
VSI is state-first: it classifies volatility regimes (Expansion/Decay/Transition) rather than plotting volatility level alone, using momentum and stability to reduce false regime reads.
This is not a modified ATR or Bollinger Band — it is a volatility regime classifier.
█ SUITABLE MARKETS
Works on: Stocks, Futures, Forex, Crypto
Timeframes: All timeframes — state classification adapts accordingly
Best on: Instruments with consistent volatility patterns
█ RELATED
• Market Efficiency Ratio — measures price path efficiency
• Effort-Result Divergence — compares volume effort to price result
█ DISCLAIMER
This indicator is for educational purposes only. It does not constitute financial advice. Past performance does not guarantee future results. Always conduct your own analysis before making trading decisions.
Professional 3SD Institutional Rejection
This indicator identifies institutional "liquidity grab" and "momentum exhaustion" zones using the statistical extremes of 3 Standard Deviations (3SD) on Bollinger Bands. Unlike standard strategies, it doesn't just look for band touches; it confirms price "wicking" outside the 3SD and closing back inside the 2SD band (rejection), while ensuring the Money Flow Index (MFI) shows signs of exhaustion. It is highly effective on 1H, 4H, and Daily timeframes for mean-reversion setups targeting the median line.
BK AK-IED💥 Introducing BK AK-IED — Volatility Ignition / Expansion / Detonation 💥
A pressure-to-release weapon system for traders who want timing, not noise.
Markets don’t move clean because they “feel like it.” They load, they ignite, and then they detonate into expansion. BK AK-IED is built to expose that sequence in real time—so you stop trading randomness and start trading regime shifts.
⚔️ What BK AK-IED is
BK AK-IED is a 3-speed VWMA energy oscillator that blends price movement + volume into a single pressure readout:
Fast (5) = ignition energy (range-driven)
Medium (21) = core pressure engine
Slow (55) = structural volatility backdrop
It’s not a “direction oracle.” It’s an energy meter that tells you when the market is coiling, when it’s waking up, and when it’s breaking out with force.
🧠 Core Weapon Systems
✅ Dynamic Scaling
Keeps the oscillator readable across symbols (no ridiculous y-axis blowouts).
✅ Volatility State Bar (Bottom Strip) — Your War Room
🟨 CONTRACTION = VWMA convergence / coil / pressure loading
🟩 EXPANSION = energy spike begins
🟥 BREAKOUT = expansion without contraction (release phase)
⬜ NEUTRAL = dead zone, don’t force it
✅ Breakout Peak Icons (Crown markers)
Crowns print only when there’s true breakout energy and the move hits major peak territory versus recent extremes. Translation:
tighten risk, scale-out, stop getting greedy. These are exhaustion warnings—not automatic reversals.
Timeframe-adaptive peak filtering is built in:
< 1H: stricter peak requirement
≥ 1H: more realistic swing threshold
🧭 How to use it (execution, not opinions)
1) 🟨 Contraction = don’t bleed.
This is the chop factory. You wait. You map levels. You stalk.
2) 🟩 Expansion = prepare.
Start aligning with structure: trend framework, VWAP, key levels, HTF bias.
3) 🟥 Breakout = engage.
This is where moves pay. Trade the direction your structure supports and manage risk like a professional.
4) 👑 Peak during breakout = harvest / protect.
Scale. Tighten stops. Don’t turn winners into donations.
🧱 Inputs that matter (what you’re actually tuning)
Amplitude Multiplier = how aggressive the energy read is
VWMA Spread Contraction Threshold = how tight “coil” must be to count
Scale Lookback = how far back the dynamic scaling references
Peak Thresholds = how selective peaks are (auto-switches based on timeframe)
The “AK” in the name is an acknowledgment of my mentor A.K. His standards (patience, precision, clarity, and emotional control) are a major reason I build tools with structure instead of hype.
And above all: all praise to Gd — the true source of wisdom, restraint, and right timing.
👑 King Solomon Lens — ZENITH Discipline
Solomon didn’t build greatness by impulse. He built it by measure, order, and restraint.
When the Temple was built, the stones were prepared away from the site—so the structure went up with precision, not chaos. That is the market lesson: the decisive moment is loud, but the preparation is silent. If you only show up for the noise, you will always arrive late.
BK AK-IED is that Solomon blueprint on a chart:
🟨 Contraction is the quarry.
The market is cutting the stones in silence. This is where the undisciplined burn money “doing something.” The wise do the opposite: they reduce noise, define levels, and wait.
🟩 Expansion is the line being set.
Pressure starts to move. This is where you bring structure online—bias, levels, risk plan. Not excitement.
🟥 Breakout is the placement.
The stone drops into position. This is the only phase where aggression is righteous—because it’s backed by a real shift, not hope.
👑 Peak icons are ZENITH—crown-of-the-move logic.
Zenith is where force and momentum reach their highest point before decay begins. The crown is not “celebrate and add.” The crown is govern yourself: harvest, tighten, protect. Solomon’s edge wasn’t prediction—it was rule over the self. That’s what separates profit from punishment.
This is what wisdom looks like in trading: not guessing the future—governing your exposure when the present is telling you the truth. And may Gd bless your restraint as much as your entries, because restraint is where survival becomes power.
✅ Final
BK AK-IED is your volatility weapon for market warfare:
Load → Ignite → Detonate.
Use it with structure. Use it with discipline. And give praise to Gd for every protected loss, every clean entry, and every moment you didn’t force a trade. 🙏
QuantLabs Multi Asset Similarity Matrix [V3 Final]The Market is a graph. See the flows:
The QuantLabs MASM is not a standard correlation table. It is an Alpha-Grade Scanner architected to reveal the hidden "hydraulic" relationships between global macro assets in real-time.
Rebuilt from the ground up for Version 3, this engine pushes the absolute limits of the Pine Script™ runtime. It utilizes a proprietary Logarithmic Math Engine, Symmetric Compute Optimization, and a futuristic "Ghost Mode" interface to deliver a 15x15 real-time correlation matrix with zero lag.
Under the Hood: The Quant Architecture
We stripped away standard libraries to build a lean, high-performance engine designed for institutional-grade accuracy.
1. Alpha Math Engine (Logarithmic Returns) Most tools calculate correlation based on Price, which generates spurious signals (e.g., "Everything is correlated in a bull run").
The Solution: Our engine computes Logarithmic Returns (log(close /close )) by default. This measures the correlation of change (Velocity & Vector), not price levels.
The Result: A mathematically rigorous view of statistical relationships that filters out the noise of general market drift.
Dual-Core: Toggle seamlessly between "Alpha Mode" (Log Returns) for verified stats and "Visual Mode" (Price) for trend alignment.
Calculation Modes: Pearson (Standard), Euclidean (Distance), Cosine (Vector), Manhattan (Grid).
2. Symmetric Compute Optimization Calculating a 15x15 matrix requires evaluating 225 unique relationships per bar, which often crashes memory limits.
The Fix: The V3 Engine utilizes Symmetric Logic, recognizing that Correlation(A, B) == Correlation(B, A).
The Gain: By computing only the lower triangle of the matrix and mirroring pointers to the upper triangle, we reduced computational load by 50%, ensuring a lightning-fast data feed even on lower timeframes.
3. Context-Aware "Ghost Mode" The UI is designed for professional traders who need focus, not clutter.
Smart Detection: The matrix automatically detects your current chart's Ticker ID. If you are trading QQQ, the matrix will visually highlight the Nas100 row and column, making them opaque and bright while dimming the rest.
Dynamic Transparency: Irrelevant data ("Noise" < 0.3 correlation) fades into the background. Only significant "Alpha Signals" (> 0.7) glow with full Neon Saturation.
Key Features
Dominant Flow Scanner: The matrix scans all 105 unique pairs every tick and prints the #1 Strongest Correlation at the bottom of the pane (e.g., DOMINANT FLOW: Bitcoin ↔ Nas100 ).
Streak Counter: A "Stubbornness" metric that tracks how many consecutive days a strong correlation has persisted. Instantly identify if a move is a "flash event" or a "structural trend."
Neon Palette: Proprietary color mapping using Electric Blue (+1.0) for lockstep correlation and Deep Red (-1.0) for inverse hedging.
Usage Guide
Placement: Best viewed in a bottom pane (Footer).
Assets: Pre-loaded with the Essential 15 Macro Drivers (Indices, BTC, Gold, Oil, Rates, FX, Key Sectors). Fully editable via settings (Ticker|Name).
Reading the Grid:
🔵 Bright Blue: Assets moving in lockstep (Risk-On).
🔴 Bright Red: Assets moving perfectly opposite (Hedge/Risk-Off).
⚫ Faded/Black: No statistical relationship (Decoupled).
Key Improvements Made:
Formatting: Added clear bullet points and bolding to make it scannable.
Clarity: Clarified the "Logarithmic Returns" section to explain why it matters (Velocity vs. Price Levels).
Tone: Maintained the "high-tech/quant" vibe but removed slightly clunky phrases like "spurious signals" (unless you prefer that academic tone, in which case I left it in as it fits the persona).
Structure: Grouped the "Modes" under the Math Engine for better logic.
Created and designed with love by David James @QuantLabs : )
Price Contraction / Expansion1. Introduction
The Price Contraction / Expansion indicator highlights areas of market compression and volatility release by analyzing candle body size and volume behavior. It provides a fast, color-coded visualization to identify potential breakout zones, accumulation phases, or exhaustion movements.
This tool helps traders recognize when price action is tightening before a volatility expansion — a common precursor to strong directional moves.
2. Key Features
Dynamic body analysis: Compares each candle’s body size with a moving average to detect contraction (small bodies) and expansion (large bodies).
Volume confirmation: Measures whether volume is unusually high or low compared to its recent average, helping filter false breaks.
Color-coded system for clarity:
Yellow: Contraction with high volume (potential accumulation or strong activity).
Blue: Contraction with normal volume or expansion with low volume (neutral/reduced participation).
Green: Expansion in bullish candle (buyer dominance).
Red: Expansion in bearish candle (seller dominance).
Customizable parameters: Adjust body and volume averaging periods and thresholds to fit different market conditions or timeframes.
3. How to Use
Identify contraction zones: Look for blue or yellow bars to locate areas of price compression — these often precede breakouts or large movements.
Wait for expansion confirmation: A shift to green or red bars with increasing volume indicates that volatility is expanding and momentum is building.
Combine with context: Use this indicator alongside trend tools, liquidity zones, or moving averages to confirm directional bias and filter noise.
Adapt thresholds: In highly volatile markets, increase the “Threshold multiplier” to reduce false contraction signals.
This indicator is most effective for traders who focus on volatility behavior, market structure, and timing potential breakout opportunities.
Trading Volatility Clock⏰ TRADING VOLATILITY CLOCK - Know When the Action Happens (Anywhere in the World)
A real-time session tracker with multi-timezone support for active traders who need to know when US market volatility strikes - no matter where they are in the world. Perfect for day traders, scalpers, and anyone trading liquid US markets.
══════════════════════════════════════════════════════
📊 WHAT IT DOES
This indicator displays a live clock showing:
- Current time in YOUR selected timezone (10 major timezones supported)
- Active US market session with color-coded volatility levels
- Countdown timer showing time remaining in current session
- Preview of the next upcoming session
- Optional alerts when entering high-volatility periods
══════════════════════════════════════════════════════
🌍 MULTI-TIMEZONE SUPPORT
SESSIONS ALWAYS TRACK US MARKET HOURS (Eastern Time):
No matter which timezone you select, the sessions always trigger at the correct US market times. Perfect for international traders who want to:
• See their local time while tracking US market sessions
• Know exactly when US volatility hits in their timezone
• Plan their trading day around US market hours
SUPPORTED TIMEZONES:
• America/New_York (ET) - Eastern Time
• America/Chicago (CT) - Central Time
• America/Los_Angeles (PT) - Pacific Time
• Europe/London (GMT) - Greenwich Mean Time
• Europe/Berlin (CET) - Central European Time
• Asia/Tokyo (JST) - Japan Standard Time
• Asia/Shanghai (CST) - China Standard Time
• Asia/Hong_Kong (HKT) - Hong Kong Time
• Australia/Sydney (AEDT) - Australian Eastern Time
• UTC - Coordinated Universal Time
EXAMPLE: A trader in Tokyo selects "Asia/Tokyo"
• Clock shows: 11:30 PM JST
• Session shows: "Opening Drive" 🔥 HIGH
• They know: US market just opened (9:30 AM ET in New York)
══════════════════════════════════════════════════════
🎯 WHY IT'S USEFUL
Whether you trade futures, high-volume stocks, or ETFs, volatility isn't constant throughout the day. Knowing WHEN to expect movement is critical:
🔥 HIGH VOLATILITY (Red):
• Opening Drive (9:30-10:30 AM ET) - Highest volume of the day
• Power Hour (3:00-4:00 PM ET) - Second-highest volume, final push
⚡ MEDIUM VOLATILITY (Yellow):
• Pre-Market (8:00-9:30 AM ET) - Building momentum
• Lunch Return (1:00-2:00 PM ET) - Traders returning
• Afternoon Session (2:00-3:00 PM ET) - Trend continuation
• After Hours (4:00-5:00 PM ET) - News reactions
💤 LOW VOLATILITY (Gray):
• Overnight Grind (12:00-8:00 AM ET) - Thin volume
• Mid-Morning Chop (10:30-11:30 AM ET) - Ranges form
• Lunch Hour (11:30 AM-1:00 PM ET) - Dead zone
• Evening Fade (5:00-8:00 PM ET) - Volume dropping
══════════════════════════════════════════════════════
⚙️ CUSTOMIZATION OPTIONS
TIMEZONE SETTINGS:
• Select from 10 major timezones worldwide
• Clock automatically displays in your local time
• Sessions remain locked to US market hours
SESSION TIME CUSTOMIZATION:
• Every session boundary is adjustable (in minutes from midnight ET)
• Perfect for traders who define sessions differently
• Advanced users can create custom volatility schedules
DISPLAY OPTIONS:
• Toggle next session preview on/off
• Enable/disable high volatility alerts
• Clean, unobtrusive table display in top-right corner
══════════════════════════════════════════════════════
💡 HOW TO USE
1. Add indicator to any chart (works on all timeframes)
2. Select your timezone in Settings → Timezone Settings
3. Set your chart to 1-minute timeframe for real-time updates
4. Customize session times if needed (Settings → Session Time Customization)
5. Watch the top-right corner for live session tracking
TRADING APPLICATIONS:
• Avoid trading during dead zones (lunch hour, mid-morning chop)
• Increase position size during high volatility windows
• Set alerts for Opening Drive and Power Hour
• Plan your trading day around US market volatility schedule
• International traders can track US sessions in their local time
══════════════════════════════════════════════════════
🎓 EDUCATIONAL VALUE
This indicator teaches traders:
• Market microstructure and volume patterns
• Why certain times produce better opportunities
• How institutional flows create intraday patterns
• The importance of timing in active trading
• How to adapt US market trading to any timezone
══════════════════════════════════════════════════════
⚠️ IMPORTANT NOTES
- Works best on 1-minute charts for frequent updates
- Sessions are ALWAYS based on US Eastern Time (ET)
- Timezone selection only changes the clock display
- Clock updates when new bar closes (not tick-by-tick)
- Alerts trigger once per bar when enabled
- Perfect for international traders tracking US markets
══════════════════════════════════════════════════════
📈 BEST USED WITH
- High-volume US stocks: TSLA, NVDA, AAPL, AMD, META
- Major US ETFs: SPY, QQQ, IWM, DIA
- US Futures: ES, NQ, RTY, YM, MES, MNQ
- Any liquid US instrument with clear intraday volume patterns
══════════════════════════════════════════════════════
🌏 FOR INTERNATIONAL TRADERS
This tool is specifically designed for traders outside the US who need to:
• Track US market sessions in their local timezone
• Know when to be at their desk for US volatility
• Avoid waking up for low-volatility periods
• Maximize trading efficiency around US market hours
No more timezone confusion. No more missing the opening bell. Just set your timezone and trade with confidence.
══════════════════════════════════════════════════════
This is an open-source educational tool. Feel free to modify and adapt to your trading style!
Happy Trading! 🚀
AKILLI ANALIZ TERMINALI (V20-REVIZE)SMART ANALYSIS TERMINAL (V20-ULTIMATE)
This indicator is a professional-grade analysis terminal designed for both strategic daily analysis (Swing Trade) and real-time intraday trading (Scalp/Day Trade). It allows you to perform a complete technical X-ray of the market on a single dashboard.
CORE FEATURES:
- Dual-Mode Hybrid Engine: Choose between "NIGHT (ANALYSIS)" or "IN-DAY (AGGRESSIVE)" modes in settings. Mathematical periods and target levels update automatically.
- Smart Scoring System: Blends RSI, MACD, EMA, ADX, and Volume data to produce 5 distinct signals from "VERY POSITIVE" to "VERY NEGATIVE."
- Symmetrical Visual Panel: Left panel displays Live Signal, Pivot Balance, Money Flow, and Target/Support; right panel focuses on RSI, Trend, Momentum, and Volume confirmation.
- Money Flow Algorithm: Detects institutional accumulation (Entry) or distribution (Exit) by analyzing price-volume correlation.
USER GUIDE:
1. NIGHT MODE: Use for evening analysis to plan for the next day. Based on EMA 20/50 and standard MACD values.
2. IN-DAY MODE: Use during live sessions on 5m and 15m charts. Catch instant momentum shifts with EMA 9/21 and aggressive settings.
Gemini Scalping Strategy [Pro Dash]Description: Gemini Scalping Strategy is a comprehensive monitoring system designed for high-frequency trading and scalping on lower timeframes (1m to 15m). This tool combines a fast-response Trailing Stop based on Average True Range (ATR) with a professional, real-time multi-factor Dashboard to provide a complete view of market structure and momentum.
Key Features:
Reactive ATR Trailing Stop: Provides immediate Buy/Sell signals based on volatility expansion and price breakouts. The trail line dynamically changes color to reflect volatility health.
Contextual Dashboard:
Choppiness Index (Corrected): Identifies whether the market is in a Trending phase (below 38.2) or a Sideways phase (above 61.8), helping to avoid "noise" in flat markets.
RSI Control Logic: Uses the 50-level pivot to define market control (Bull Control vs. Bear Control) instead of simple overbought/oversold levels.
ADX Strength: Measures trend intensity to filter out weak breakouts.
ATR Expansion: Monitors whether current volatility is above its average to confirm entry momentum.
How to use:
Entry: Primary signals are generated by the ATR triangles.
Confirmation: Use the Dashboard to verify market quality. High-probability trades occur when ATR signals align with "TREND" status on the CHOP and "BULL/BEAR CONTROL" on the RSI.
Customization: All dashboard elements (position, size, transparency, and theme) are fully customizable via the settings menu.
Disclaimer: This indicator is for educational and analytical purposes only. Trading involves significant risk, and past performance is not indicative of future results.
Apex Trend & Liquidity Master V2.1The Apex Trend & Liquidity Master is a hybrid trading system designed to align traders with the dominant market trend while identifying key structural price levels. Unlike simple moving average crossovers or standalone support/resistance tools, this script integrates a volatility-adaptive "Trend Cloud" with a "Smart Liquidity" engine.
This integration allows the script to offer unique filtering capabilities, such as hiding counter-trend liquidity zones to reduce chart noise and focus on high-probability continuations.
How It Works
Adaptive Trend Cloud The backbone of the system is the Trend Cloud, calculated using a Hull Moving Average (HMA) base with ATR bands. The cloud expands and contracts based on market volatility.
Green Cloud: Bullish Regime. The market is trending up; look for long opportunities.
Red Cloud: Bearish Regime. The market is trending down; look for short opportunities.
Smart Liquidity Zones (with Integration) The script automatically detects Pivot Highs and Lows to draw Supply (Resistance) and Demand (Support) zones. These zones persist until price breaks through them (mitigation).
Integration Feature: A "Filter Zones by Trend" option is included in the settings. When enabled, this feature connects the Trend Cloud to the Liquidity Engine:
It will only display Demand zones when the Trend Cloud is Bullish.
It will only display Supply zones when the Trend Cloud is Bearish.
Note on Lag: Zones are based on pivots (default lookback: 10). A zone appears on the chart 10 bars after the pivot forms. These are historical structural levels.
Signal Filters Buy and Sell labels are generated when the Trend Cloud changes color, but they are filtered to ensure quality:
Volume Filter: Signals only appear if the current volume is higher than the 20-period average.
RSI Filter: Prevents buying when RSI is overbought (>70) or selling when oversold (<30).
Live HUD An on-chart dashboard provides real-time data on:
Trend Bias: Direction of the cloud.
Momentum: RSI strength (Weak/Neutral/Strong).
Volume: High vs. Low activity.
Usage Guide
Identify the Trend: Use the background fill color to determine if you should be looking for longs (Green) or shorts (Red).
Wait for Structure: Look for price to pull back into a "Smart Liquidity" zone. For example, in a Green Trend, wait for price to touch a Green Demand box.
Confirm with Momentum: Check the Dashboard. Ideally, you want to see "Strong" momentum aligning with your trade direction.
Settings: If the chart is too cluttered, enable "Filter Zones by Trend" in the settings menu to hide counter-trend boxes.
Credits & Attribution This script combines original integration logic with adapted open-source concepts:
Smart Liquidity Logic: The method for generating Supply/Demand boxes via Pivot Highs/Lows and array management is adapted from open-source logic commonly used in Smart Money Concepts (SMC) indicators, notably popularized by LuxAlgo and the broader Pine community.
Trend Logic: The volatility cloud utilizes standard Hull Moving Average (HMA) and ATR formulas.
Disclaimer This indicator is provided for educational and informational purposes only. It does not constitute financial advice. Past performance of pivot levels or trend signals does not guarantee future results.
Market Pressure Regime [Interakktive]The Market Pressure Regime (MPR) is a 4-state market classifier that models how structural forces create "pressure zones" — regions where price movement is either supported (Release) or suppressed (Pinned) by market microstructure.
It combines compression analysis, follow-through efficiency, and stress detection into a composite pressure score, classifying markets into Release, Suppressed, Transition, or Trap states — helping traders understand WHY price is moving (or not moving) in the current environment.
█ USAGE
MPR addresses a core question traders face: Is the market in a regime where directional moves are likely to follow through, or is it structurally pinned?
For swing traders, MPR identifies Release phases where momentum strategies work best, and Suppressed phases where mean reversion dominates.
For day traders, it highlights Trap conditions — high effort with no follow-through — where reversals are probable and trend entries fail.
🔹 The 4-State Model
The indicator classifies markets into four distinct regimes:
• Release (Teal): Pressure score ≥ +5. Directional flow dominates. Price moves efficiently with follow-through. Favor trend continuation.
• Suppressed (Grey): Pressure score ≤ -5. Compression dominates. Price is range-bound or pinned. Fade extremes, expect reversion.
• Transition (Amber): Score between thresholds OR instability detected. Regime is uncertain — wait for confirmation before committing.
• Trap (Magenta): High stress + low follow-through. Effort without result. Expect reversals.
🔹 Reading the Pressure Histogram
The histogram displays the composite Pressure Score (range approximately -100 to +100):
• Positive values: Follow-through exceeds compression. Market is "releasing" — directional moves are supported.
• Negative values: Compression exceeds follow-through. Market is "suppressed" — price movement is constrained.
• Color reflects confirmed state: The histogram uses persistence filtering — a state must hold for N bars before the color changes, preventing false signals from noise.
🔹 The 5-Stage Calculation
MPR synthesizes five analytical stages into the final state:
1. Compression Score: Measures how tight the current range is relative to ATR. High compression suggests structural forces are pinning price.
2. Follow-Through Score: Measures price path efficiency (MER-style). Efficient moves indicate genuine directional flow, not chop.
3. Stress Score: Detects effort-without-result (ERD-style). High volume or range with no price progress = absorption.
4. Composite Pressure: Combines follow-through and compression into a single directional score.
5. Persistence Filter: Requires states to hold for configurable bars before confirming, eliminating flickering.
█ SETTINGS
Core Settings
• ATR Length: Period for volatility normalization. Default 14.
• Baseline Lookback: Period for compression and efficiency baselines. Default 20.
• Volume Average Length: Period for stress calculation baseline. Default 20.
State Classification
• Release Threshold: Pressure score above this = Release. Default +5.
• Suppressed Threshold: Pressure score below this = Suppressed. Default -5.
• Trap Threshold: Stress score above this (with low follow-through) = Trap. Default 30.
• Persistence Bars: Bars required to confirm state change. Default 3.
• Stability Lookback: Period for stability calculation. Default 20.
• Stability Threshold: Below this = forced Transition state. Default 0.5.
Visual Settings
• Show Pressure Histogram: Display the main pressure score histogram.
• Show Zero Line: Display the zero reference line.
• Show Background Tint: Subtle background color by state (default OFF).
Data Window
• Show Data Window Values: Export all calculated scores for analysis.
█ INTERPRETATION GUIDE
When to Use Trend Strategies (Release):
• Histogram tall and positive
• Teal coloring confirmed
• Price making efficient higher highs or lower lows
When to Use Mean Reversion (Suppressed):
• Histogram flat or negative
• Grey coloring confirmed
• Price oscillating without follow-through
When to Wait (Transition):
• Amber coloring
• Mixed signals — don't force trades
• Wait for state to resolve
When to Expect Reversals (Trap):
• Magenta coloring
• High volume moves that don't stick
• Often occurs at structural inflection points
█ COMPLEMENTARY TOOLS
MPR pairs well with:
• Volatility State Index (VSI) — Confirms whether volatility is expanding into the pressure regime
• Effort-Result Divergence (ERD) — Provides bar-by-bar absorption/vacuum detection
• Market Efficiency Ratio (MER) — Validates follow-through quality
█ SUITABLE MARKETS
Works across all liquid markets:
• Equities: SPY, QQQ, liquid single stocks
• Futures: ES, NQ, CL, GC
• Crypto: BTC, ETH
• Forex: Major pairs
Works on any timeframe, but 1H–Daily provides cleanest regime classification. Intraday (5m–15m) useful for session-level tactical decisions.
█ OPEN SOURCE
This indicator is open-source for educational purposes. Review the code to understand the full calculation methodology.
█ DISCLAIMER
This indicator is for educational and informational purposes only. It does not constitute financial advice. Past performance does not guarantee future results. Always conduct your own analysis and use proper risk management.
GC1 Orderflow Engine - sudoTLDR
This indicator measures relative buying and selling pressure by comparing GC1! futures returns against XAU price returns, normalized by their own volatility and weighted by GC1! volume. The result is a pressure histogram and line that show whether futures orderflow is leading, lagging, or diverging from spot gold in real time.
What this indicator does
The Orderflow Engine is designed to answer one core question:
Is GC1! futures orderflow applying net pressure in the same direction as XAU, or pushing against it?
It does this by isolating relative strength and weakness between futures and spot, rather than looking at price direction alone.
How the pressure calculation works
1. GC1! futures returns and XAU returns are calculated bar by bar
2. Each return is normalized by its own recent volatility
3. The normalized XAU return is subtracted from the normalized GC1! return
This creates a relative pressure value:
Positive pressure - GC1! futures are outperforming XAU
Negative pressure - GC1! futures are underperforming XAU
Near zero - futures and spot are moving in balance
To emphasize meaningful activity:
GC1! volume is converted into a normalized score
Higher-than-normal futures volume increases the weight of the pressure
Low-volume pressure is naturally dampened
The final output is clamped to keep the scale stable across different market conditions.
Visual output
Histogram
Green bars - positive futures pressure
Red bars - negative futures pressure
Gray bars - neutral or minimal pressure
Pressure line
A smoother view of the same pressure data
Useful for spotting momentum shifts and divergence
Zero line
Represents balance between futures and spot
Crosses often mark changes in orderflow control
Optional annotations
Regime shift markers based on futures participation
Optional percent-change labels for studying pressure acceleration
How to use it
-Confirm whether price moves are supported by futures orderflow
-Spot early divergence between GC1! and XAU
-Identify absorption , distribution , or initiative behavior
-Filter entries by trading only when pressure aligns with your bias
-This tool is best used as confirmation and context, not as a standalone signal generator.
Design philosophy
-Self-normalizing across sessions and volatility regimes
-No fixed thresholds that break over time
-Focused on relative behavior, not prediction
-Built to pair naturally with the Participation Regime indicator
GC1 Participation Regime - sudoThis indicator analyzes COMEX GC1! futures activity and maps it directly onto your XAU price chart, allowing you to see when gold futures participation meaningfully increases or fades - without cluttering your workflow.
Here is the TLDR version of the description (below):
The "regime" is calculated by measuring how active GC1! futures are, compared to their own recent history. On each bar, the indicator looks at two things - volume (how much trading occurred) and true range (how much price actually moved). Each of these is compared to its recent average using a normalized score, which simply answers whether today’s activity is higher, normal, or lower than usual. Those two normalized values are then combined into a single participation score , optionally smoothed to reduce noise. That score is compared against user-defined thresholds and classified into one of four regimes - Low, Normal, High, or Extreme participation . In short, the regime shows whether current GC1! futures activity is unusually quiet or unusually active relative to its own recent behavior , without making any directional assumptions.
What this indicator does
-Measures GC1! futures volume and true range relative to their own historical behavior using z-scores
-Combines those metrics into a single participation score
-Classifies the market into four participation regimes
Low
Normal
High
Extreme
Projects those regimes directly onto the XAU price chart
Visual elements
Background shading
-Gray - Low participation
-Blue - Normal participation
-Green - High participation
-Orange - Extreme participation
Regime shift markers
-Upward triangle below price when participation increases
-Downward triangle above price when participation decreases
Volume-informed candle coloring (optional)
-High GC volume + bullish candle
-High GC volume + bearish candle
-Low GC volume + bullish candle
-Low GC volume + bearish candle
These visuals help you instantly identify whether price movement is occurring with real futures participation or during thinner conditions.
How to use it
-Identify high-quality environments for execution when participation is elevated
-Filter breakouts, trends, and reversals based on whether GC futures are involved
-Avoid overconfidence during low-participation regimes, where price moves are more prone to failure
-Use regime transitions as context , not signals!!
-This indicator is designed to be contextual , not predictive .
Customization
-Adjustable lookback lengths for volume and range
-Fully tunable regime thresholds
-Optional background shading
-Optional regime shift markers
-Optional candle recoloring based on GC volume behavior
Everything can be dialed up or down depending on how visually minimal you want your chart to be.
Notes
-Built specifically around COMEX GC1! futures
-Designed to disappear if GC data is unavailable
-Works on all intraday and higher timeframes
Friday Statistical Zones - Last 30 Fridays Only BTC 📊 Friday Statistical Zones (Pre / Dump / After)
This indicator highlights statistical risk zones for Fridays, based on the last 30 completed Fridays.
It analyzes historical price and volume behavior to determine:
• When a Pre-Dump phase typically starts
• When selling pressure statistically peaks
• When the After-Dump phase usually occurs
The result is a time-based overlay with three zones:
🟡 Pre-Dump · 🔴 Dump · 🟡 After-Dump
⚠️ This is not a signal indicator.
It does not predict price direction.
It provides risk-timing context only.
Best used for risk management and situational awareness on Fridays, not as a standalone trading strategy.
Market Efficiency DashboardDescription
This indicator is an analytical tool designed to visualize the relationship between price action and market efficiency. Based on the Choppiness Index (CI), this indicator identifies whether the market is in a state of Range Contraction (Consolidation) or Range Expansion (Trending) . This implementation introduces a unique 50-pivot baseline to better differentiate between these two market characters, providing traders with an objective view of volatility cycles.
Key Features
Volatility Cycle Logic: A refined implementation of the Choppiness Index that assists in filtering market noise during low-volatility periods.
Pivot-50 Visualization: A custom geometric layout that separates range contraction from trend expansion for faster visual interpretation.
Multi-Timeframe (MTF) Data Handling: Enables the monitoring of higher-timeframe efficiency cycles without switching charts.
Trend Context Filter: Integrates a 200-period EMA to provide a directional baseline relative to the current market state.
Real-Time Status Dashboard: A real-time data table providing a summary of current market efficiency and trend bias.
Signal Refinement: Includes optional smoothing (EMA/SMA/WMA) to reduce calculation "jitter" and provide clearer structural signals.
Inputs Overview
Choppiness Length: Sets the lookback period for the efficiency calculation (Default: 14).
Calculation Timeframe: Allows the user to select the source timeframe for the index data.
Smoothing Method: Users can choose between multiple moving average types to filter the raw index output.
Threshold Levels: Customizable Fibonacci-based levels (61.8 and 38.2) used to define the boundaries of "Choppy" and "Trending" environments.
EMA Filter: Toggle for the 200-period Exponential Moving Average used for directional bias.
How to Use
Context Identification: Observe the histogram’s position relative to the 50-pivot. Bars expanding upward toward the 61.8 level indicate the market is coiling/congested.
Trend Confirmation: Bars expanding downward toward the 38.2 level indicate the market is moving efficiently in a specific direction.
Bias Alignment: When the Trend Bias is Bullish and the state is Trending, price discovery is likely occurring to the upside. Conversely, a Bearish bias in a Trending state suggests efficient movement to the downside.
Risk Management: Rising choppiness levels often precede a period of trend exhaustion or reversal, signaling a potential time to reduce exposure.
How it Helps
This tool is designed to assist in objective decision-making by identifying the current "market character." By distinguishing between trending and non-trending environments, it helps traders select the appropriate strategy for the current context—avoiding trend-following entries during sideways markets and identifying when a market has entered a period of price expansion.
Alerts
Trend Starting: Triggers when the index crosses below the lower threshold, suggesting a transition into an efficient trend.
Squeeze/Consolidation: Notifies the user when the index crosses above the upper threshold, indicating range contraction.
Midpoint Cross: Signals when the index crosses the 50-level, marking a shift in market momentum.
⚠️ Disclaimer:
This script/indicator is not endorsed by, affiliated with, sponsored by, or connected to TradingView in any manner. The author is not a TradingView partner.
This script/indicator and all related content are provided “as is” and “as available,” without any warranties of any kind, express or implied. The content is strictly for educational and informational purposes and does not constitute financial, investment, trading, or legal advice.
The author makes no representations or guarantees regarding accuracy, reliability, profitability, or future performance. Use of this script/indicator is entirely at the user’s own risk, and the author assumes no liability for any losses, damages, or financial consequences arising from its use.
QUANT TRADING ENGINE [PointAlgo]Quant Trading Engine is a quantitative market-analysis indicator that combines multiple statistical factors to study trend behavior, mean reversion, volatility, execution efficiency, and market stability.
The indicator converts raw price behavior into standardized signals to help evaluate directional bias and risk conditions in a systematic way.
This script focuses on factor alignment and regime awareness, not prediction certainty.
Design Philosophy
Markets move through different regimes such as trending, ranging, volatile expansion, and instability.
This indicator attempts to model these regimes by blending:
Momentum strength
Mean-reversion pressure
Volatility risk
Trend filtering
Execution context (VWAP)
Correlation structure
Each component is normalized and combined into a single Quant Alpha framework.
Factor Construction
1. Momentum Factor
Measures directional strength using percentage price change over a rolling window.
Standardized using mean and standard deviation.
Represents trend continuation pressure.
2. Mean Reversion Factor
Measures deviation from a longer moving average.
Standardized to identify stretched conditions.
Designed to capture counter-trend behavior.
Directional Clamping
Mean-reversion signals are dynamically restricted:
No counter-trend buying during downtrends.
No counter-trend selling during uptrends.
Allows both sides only in neutral regimes.
This prevents conflicting signals in strong trends.
3. Volatility Factor
Uses realized volatility derived from price changes.
Penalizes environments where volatility deviates significantly from its norm.
Acts as a risk adjustment rather than a directional driver.
4. Composite Quant Alpha
The final Quant Alpha is a weighted blend of:
Momentum
Mean reversion (trend-clamped)
Volatility risk
The composite is standardized into a Z-score, allowing consistent interpretation across instruments and timeframes.
Signal Logic
Buy signal occurs when Quant Alpha crosses above zero.
Sell signal occurs when Quant Alpha crosses below zero.
Zero-cross logic is used to represent shifts from negative to positive statistical bias and vice versa.
Signals reflect statistical regime change, not trade instructions.
Volatility Smile Context
Measures price deviation from its statistical distribution.
Identifies skewed conditions where upside or downside volatility becomes dominant.
Highlights extreme deviations that may imply elevated derivative risk.
Exotic Risk Conditions
Detects sudden price expansion combined with volatility spikes.
Highlights environments where execution and risk become unstable.
Visual background cues are used for awareness only.
Execution Context (VWAP)
Measures price distance from VWAP.
Used to assess execution efficiency rather than direction.
Helps identify stretched conditions relative to average traded price.
Correlation Structure
Evaluates short-term return correlations.
Detects when price behavior becomes less predictable.
Flags structural instability rather than trend direction.
Visualization
The indicator plots:
Quant Alpha (scaled) with directional coloring
Volatility smile deviation
Price vs VWAP distance
Correlation structure
Signal markers indicate Quant Alpha zero-cross events and risk conditions.
Dashboard
A compact dashboard summarizes:
Trend filter state
Quant Alpha polarity and value
Individual factor readings
Current action state (Buy / Sell / Wait / Risk)
The dashboard provides a real-time snapshot of internal model conditions.
Usage Notes
Designed for analytical interpretation and research.
Best used alongside price action and risk management tools.
Factor behavior depends on instrument liquidity and volatility.
Not optimized for illiquid or irregular markets.
Disclaimer
This script is provided for educational and analytical purposes only.
It does not provide financial, investment, or trading advice.
All outputs should be independently validated before making any trading decisions.
ORB Fusion🎯 CORE INNOVATION: INSTITUTIONAL ORB FRAMEWORK WITH FAILED BREAKOUT INTELLIGENCE
ORB Fusion represents a complete institutional-grade Opening Range Breakout system combining classic Market Profile concepts (Initial Balance, day type classification) with modern algorithmic breakout detection, failed breakout reversal logic, and comprehensive statistical tracking. Rather than simply drawing lines at opening range extremes, this system implements the full trading methodology used by professional floor traders and market makers—including the critical concept that failed breakouts are often higher-probability setups than successful breakouts .
The Opening Range Hypothesis:
The first 30-60 minutes of trading establishes the day's value area —the price range where the majority of participants agree on fair value. This range is formed during peak information flow (overnight news digestion, gap reactions, early institutional positioning). Breakouts from this range signal directional conviction; failures to hold breakouts signal trapped participants and create exploitable reversals.
Why Opening Range Matters:
1. Information Aggregation : Opening range reflects overnight news, pre-market sentiment, and early institutional orders. It's the market's initial "consensus" on value.
2. Liquidity Concentration : Stop losses cluster just outside opening range. Breakouts trigger these stops, creating momentum. Failed breakouts trap traders, forcing reversals.
3. Statistical Persistence : Markets exhibit range expansion tendency —when price accepts above/below opening range with volume, it often extends 1.0-2.0x the opening range size before mean reversion.
4. Institutional Behavior : Large players (market makers, institutions) use opening range as reference for the day's trading plan. They fade extremes in rotation days and follow breakouts in trend days.
Historical Context:
Opening Range Breakout methodology originated in commodity futures pits (1970s-80s) where floor traders noticed consistent patterns: the first 30-60 minutes established a "fair value zone," and directional moves occurred when this zone was violated with conviction. J. Peter Steidlmayer formalized this observation in Market Profile theory, introducing the "Initial Balance" concept—the first hour (two 30-minute periods) defining market structure.
📊 OPENING RANGE CONSTRUCTION
Four ORB Timeframe Options:
1. 5-Minute ORB (0930-0935 ET):
Captures immediate market direction during "opening drive"—the explosive first few minutes when overnight orders hit the tape.
Use Case:
• Scalping strategies
• High-frequency breakout trading
• Extremely liquid instruments (ES, NQ, SPY)
Characteristics:
• Very tight range (often 0.2-0.5% of price)
• Early breakouts common (7 of 10 days break within first hour)
• Higher false breakout rate (50-60%)
• Requires sub-minute chart monitoring
Psychology: Captures panic buyers/sellers reacting to overnight news. Range is small because sample size is minimal—only 5 minutes of price discovery. Early breakouts often fail because they're driven by retail FOMO rather than institutional conviction.
2. 15-Minute ORB (0930-0945 ET):
Balances responsiveness with statistical validity. Captures opening drive plus initial reaction to that drive.
Use Case:
• Day trading strategies
• Balanced scalping/swing hybrid
• Most liquid instruments
Characteristics:
• Moderate range (0.4-0.8% of price typically)
• Breakout rate ~60% of days
• False breakout rate ~40-45%
• Good balance of opportunity and reliability
Psychology: Includes opening panic AND the first retest/consolidation. Sophisticated traders (institutions, algos) start expressing directional bias. This is the "Goldilocks" timeframe—not too reactive, not too slow.
3. 30-Minute ORB (0930-1000 ET):
Classic ORB timeframe. Default for most professional implementations.
Use Case:
• Standard intraday trading
• Position sizing for full-day trades
• All liquid instruments (equities, indices, futures)
Characteristics:
• Substantial range (0.6-1.2% of price)
• Breakout rate ~55% of days
• False breakout rate ~35-40%
• Statistical sweet spot for extensions
Psychology: Full opening auction + first institutional repositioning complete. By 10:00 AM ET, headlines are digested, early stops are hit, and "real" directional players reveal themselves. This is when institutional programs typically finish their opening positioning.
Statistical Advantage: 30-minute ORB shows highest correlation with daily range. When price breaks and holds outside 30m ORB, probability of reaching 1.0x extension (doubling the opening range) exceeds 60% historically.
4. 60-Minute ORB (0930-1030 ET) - Initial Balance:
Steidlmayer's "Initial Balance"—the foundation of Market Profile theory.
Use Case:
• Swing trading entries
• Day type classification
• Low-frequency institutional setups
Characteristics:
• Wide range (0.8-1.5% of price)
• Breakout rate ~45% of days
• False breakout rate ~25-30% (lowest)
• Best for trend day identification
Psychology: Full first hour captures A-period (0930-1000) and B-period (1000-1030). By 10:30 AM ET, all early positioning is complete. Market has "voted" on value. Subsequent price action confirms (trend day) or rejects (rotation day) this value assessment.
Initial Balance Theory:
IB represents the market's accepted value area . When price extends significantly beyond IB (>1.5x IB range), it signals a Trend Day —strong directional conviction. When price remains within 1.0x IB, it signals a Rotation Day —mean reversion environment. This classification completely changes trading strategy.
🔬 LTF PRECISION TECHNOLOGY
The Chart Timeframe Problem:
Traditional ORB indicators calculate range using the chart's current timeframe. This creates critical inaccuracies:
Example:
• You're on a 5-minute chart
• ORB period is 30 minutes (0930-1000 ET)
• Indicator sees only 6 bars (30min ÷ 5min/bar = 6 bars)
• If any 5-minute bar has extreme wick, entire ORB is distorted
The Problem Amplifies:
• On 15-minute chart with 30-minute ORB: Only 2 bars sampled
• On 30-minute chart with 30-minute ORB: Only 1 bar sampled
• Opening spike or single large wick defines entire range (invalid)
Solution: Lower Timeframe (LTF) Precision:
ORB Fusion uses `request.security_lower_tf()` to sample 1-minute bars regardless of chart timeframe:
```
For 30-minute ORB on 15-minute chart:
- Traditional method: Uses 2 bars (15min × 2 = 30min)
- LTF Precision: Requests thirty 1-minute bars, calculates true high/low
```
Why This Matters:
Scenario: ES futures, 15-minute chart, 30-minute ORB
• Traditional ORB: High = 5850.00, Low = 5842.00 (range = 8 points)
• LTF Precision ORB: High = 5848.50, Low = 5843.25 (range = 5.25 points)
Difference: 2.75 points distortion from single 15-minute wick hitting 5850.00 at 9:31 AM then immediately reversing. LTF precision filters this out by seeing it was a fleeting wick, not a sustained high.
Impact on Extensions:
With inflated range (8 points vs 5.25 points):
• 1.5x extension projects +12 points instead of +7.875 points
• Difference: 4.125 points (nearly $200 per ES contract)
• Breakout signals trigger late; extension targets unreachable
Implementation:
```pinescript
getLtfHighLow() =>
float ha = request.security_lower_tf(syminfo.tickerid, "1", high)
float la = request.security_lower_tf(syminfo.tickerid, "1", low)
```
Function returns arrays of 1-minute high/low values, then finds true maximum and minimum across all samples.
When LTF Precision Activates:
Only when chart timeframe exceeds ORB session window:
• 5-minute chart + 30-minute ORB: LTF used (chart TF > session bars needed)
• 1-minute chart + 30-minute ORB: LTF not needed (direct sampling sufficient)
Recommendation: Always enable LTF Precision unless you're on 1-minute charts. The computational overhead is negligible, and accuracy improvement is substantial.
⚖️ INITIAL BALANCE (IB) FRAMEWORK
Steidlmayer's Market Profile Innovation:
J. Peter Steidlmayer developed Market Profile in the 1980s for the Chicago Board of Trade. His key insight: market structure is best understood through time-at-price (value area) rather than just price-over-time (traditional charts).
Initial Balance Definition:
IB is the price range established during the first hour of trading, subdivided into:
• A-Period : First 30 minutes (0930-1000 ET for US equities)
• B-Period : Second 30 minutes (1000-1030 ET)
A-Period vs B-Period Comparison:
The relationship between A and B periods forecasts the day:
B-Period Expansion (Bullish):
• B-period high > A-period high
• B-period low ≥ A-period low
• Interpretation: Buyers stepping in after opening assessed
• Implication: Bullish continuation likely
• Strategy: Buy pullbacks to A-period high (now support)
B-Period Expansion (Bearish):
• B-period low < A-period low
• B-period high ≤ A-period high
• Interpretation: Sellers stepping in after opening assessed
• Implication: Bearish continuation likely
• Strategy: Sell rallies to A-period low (now resistance)
B-Period Contraction:
• B-period stays within A-period range
• Interpretation: Market indecisive, digesting A-period information
• Implication: Rotation day likely, stay range-bound
• Strategy: Fade extremes, sell high/buy low within IB
IB Extensions:
Professional traders use IB as a ruler to project price targets:
Extension Levels:
• 0.5x IB : Initial probe outside value (minor target)
• 1.0x IB : Full extension (major target for normal days)
• 1.5x IB : Trend day threshold (classifies as trending)
• 2.0x IB : Strong trend day (rare, ~10-15% of days)
Calculation:
```
IB Range = IB High - IB Low
Bull Extension 1.0x = IB High + (IB Range × 1.0)
Bear Extension 1.0x = IB Low - (IB Range × 1.0)
```
Example:
ES futures:
• IB High: 5850.00
• IB Low: 5842.00
• IB Range: 8.00 points
Extensions:
• 1.0x Bull Target: 5850 + 8 = 5858.00
• 1.5x Bull Target: 5850 + 12 = 5862.00
• 2.0x Bull Target: 5850 + 16 = 5866.00
If price reaches 5862.00 (1.5x), day is classified as Trend Day —strategy shifts from mean reversion to trend following.
📈 DAY TYPE CLASSIFICATION SYSTEM
Four Day Types (Market Profile Framework):
1. TREND DAY:
Definition: Price extends ≥1.5x IB range in one direction and stays there.
Characteristics:
• Opens and never returns to IB
• Persistent directional movement
• Volume increases as day progresses (conviction building)
• News-driven or strong institutional flow
Frequency: ~20-25% of trading days
Trading Strategy:
• DO: Follow the trend, trail stops, let winners run
• DON'T: Fade extremes, take early profits
• Key: Add to position on pullbacks to previous extension level
• Risk: Getting chopped in false trend (see Failed Breakout section)
Example: FOMC decision, payroll report, earnings surprise—anything creating one-sided conviction.
2. NORMAL DAY:
Definition: Price extends 0.5-1.5x IB, tests both sides, returns to IB.
Characteristics:
• Two-sided trading
• Extensions occur but don't persist
• Volume balanced throughout day
• Most common day type
Frequency: ~45-50% of trading days
Trading Strategy:
• DO: Take profits at extension levels, expect reversals
• DON'T: Hold for massive moves
• Key: Treat each extension as a profit-taking opportunity
• Risk: Holding too long when momentum shifts
Example: Typical day with no major catalysts—market balancing supply and demand.
3. ROTATION DAY:
Definition: Price stays within IB all day, rotating between high and low.
Characteristics:
• Never accepts outside IB
• Multiple tests of IB high/low
• Decreasing volume (no conviction)
• Classic range-bound action
Frequency: ~25-30% of trading days
Trading Strategy:
• DO: Fade extremes (sell IB high, buy IB low)
• DON'T: Chase breakouts
• Key: Enter at extremes with tight stops just outside IB
• Risk: Breakout finally occurs after multiple failures
Example: [/b> Pre-holiday trading, summer doldrums, consolidation after big move.
4. DEVELOPING:
Definition: Day type not yet determined (early in session).
Usage: Classification before 12:00 PM ET when IB extension pattern unclear.
ORB Fusion's Classification Algorithm:
```pinescript
if close > ibHigh:
ibExtension = (close - ibHigh) / ibRange
direction = "BULLISH"
else if close < ibLow:
ibExtension = (ibLow - close) / ibRange
direction = "BEARISH"
if ibExtension >= 1.5:
dayType = "TREND DAY"
else if ibExtension >= 0.5:
dayType = "NORMAL DAY"
else if close within IB:
dayType = "ROTATION DAY"
```
Why Classification Matters:
Same setup (bullish ORB breakout) has opposite implications:
• Trend Day : Hold for 2.0x extension, trail stops aggressively
• Normal Day : Take profits at 1.0x extension, watch for reversal
• Rotation Day : Fade the breakout immediately (likely false)
Knowing day type prevents catastrophic errors like fading a trend day or holding through rotation.
🚀 BREAKOUT DETECTION & CONFIRMATION
Three Confirmation Methods:
1. Close Beyond Level (Recommended):
Logic: Candle must close above ORB high (bull) or below ORB low (bear).
Why:
• Filters out wicks (temporary liquidity grabs)
• Ensures sustained acceptance above/below range
• Reduces false breakout rate by ~20-30%
Example:
• ORB High: 5850.00
• Bar high touches 5850.50 (wick above)
• Bar closes at 5848.00 (inside range)
• Result: NO breakout signal
vs.
• Bar high touches 5850.50
• Bar closes at 5851.00 (outside range)
• Result: BREAKOUT signal confirmed
Trade-off: Slightly delayed entry (wait for close) but much higher reliability.
2. Wick Beyond Level:
Logic: [/b> Any touch of ORB high/low triggers breakout.
Why:
• Earliest possible entry
• Captures aggressive momentum moves
Risk:
• High false breakout rate (60-70%)
• Stop runs trigger signals
• Requires very tight stops (difficult to manage)
Use Case: Scalping with 1-2 point profit targets where any penetration = trade.
3. Body Beyond Level:
Logic: [/b> Candle body (close vs open) must be entirely outside range.
Why:
• Strictest confirmation
• Ensures directional conviction (not just momentum)
• Lowest false breakout rate
Example: Trade-off: [/b> Very conservative—misses some valid breakouts but rarely triggers on false ones.
Volume Confirmation Layer:
All confirmation methods can require volume validation:
Volume Multiplier Logic: Rationale: [/b> True breakouts are driven by institutional activity (large size). Volume spike confirms real conviction vs. stop-run manipulation.
Statistical Impact: [/b>
• Breakouts with volume confirmation: ~65% success rate
• Breakouts without volume: ~45% success rate
• Difference: 20 percentage points edge
Implementation Note: [/b>
Volume confirmation adds complexity—you'll miss breakouts that work but lack volume. However, when targeting 1.5x+ extensions (ambitious goals), volume confirmation becomes critical because those moves require sustained institutional participation.
Recommended Settings by Strategy: [/b>
Scalping (1-2 point targets): [/b>
• Method: Close
• Volume: OFF
• Rationale: Quick in/out doesn't need perfection
Intraday Swing (5-10 point targets): [/b>
• Method: Close
• Volume: ON (1.5x multiplier)
• Rationale: Balance reliability and opportunity
Position Trading (full-day holds): [/b>
• Method: Body
• Volume: ON (2.0x multiplier)
• Rationale: Must be certain—large stops require high win rate
🔥 FAILED BREAKOUT SYSTEM
The Core Insight: [/b>
Failed breakouts are often more profitable [/b> than successful breakouts because they create trapped traders with predictable behavior.
Failed Breakout Definition: [/b>
A breakout that:
1. Initially penetrates ORB level with confirmation
2. Attracts participants (volume spike, momentum)
3. Fails to extend (stalls or immediately reverses)
4. Returns inside ORB range within N bars
Psychology of Failure: [/b>
When breakout fails:
• Breakout buyers are trapped [/b>: Bought at ORB high, now underwater
• Early longs reduce: Take profit, fearful of reversal
• Shorts smell blood: See failed breakout as reversal signal
• Result: Cascade of selling as trapped bulls exit + new shorts enter
Mirror image for failed bearish breakouts (trapped shorts cover + new longs enter).
Failure Detection Parameters: [/b>
1. Failure Confirmation Bars (default: 3): [/b>
How many bars after breakout to confirm failure?
Logic: Settings: [/b>
• 2 bars: Aggressive failure detection (more signals, more false failures)
• 3 bars Balanced (default)
• 5-10 bars: Conservative (wait for clear reversal)
Why This Matters:
Too few bars: You call "failed breakout" when price is just consolidating before next leg.
Too many bars: You miss the reversal entry (price already back in range).
2. Failure Buffer (default: 0.1 ATR): [/b>
How far inside ORB must price return to confirm failure?
Formula: Why Buffer Matters: clear rejection [/b> (not just hovering at level).
Settings: [/b>
• 0.0 ATR: No buffer, immediate failure signal
• 0.1 ATR: Small buffer (default) - filters noise
• [b>0.2-0.3 ATR: Large buffer - only dramatic failures count
Example: Reversal Entry System: [/b>
When failure confirmed, system generates complete reversal trade:
For Failed Bull Breakout (Short Reversal): [/b>
Entry: [/b> Current close when failure confirmed
Stop Loss: [/b> Extreme high since breakout + 0.10 ATR padding
Target 1: [/b> ORB High - (ORB Range × 0.5)
Target 2: Target 3: [/b> ORB High - (ORB Range × 1.5)
Example:
• ORB High: 5850, ORB Low: 5842, Range: 8 points
• Breakout to 5853, fails, reverses to 5848 (entry)
• Stop: 5853 + 1 = 5854 (6 point risk)
• T1: 5850 - 4 = 5846 (-2 points, 1:3 R:R)
• T2: 5850 - 8 = 5842 (-6 points, 1:1 R:R)
• T3: 5850 - 12 = 5838 (-10 points, 1.67:1 R:R)
[b>Why These Targets? [/b>
• T1 (0.5x ORB below high): Trapped bulls start panic
• T2 (1.0x ORB = ORB Mid): Major retracement, momentum fully reversed
• T3 (1.5x ORB): Reversal extended, now targeting opposite side
Historical Performance: [/b>
Failed breakout reversals in ORB Fusion's tracking system show:
• Win Rate: 65-75% (significantly higher than initial breakouts)
• Average Winner: 1.2x ORB range
• Average Loser: 0.5x ORB range (protected by stop at extreme)
• Expectancy: Strongly positive even with <70% win rate
Why Failed Breakouts Outperform: [/b>
1. Information Advantage: You now know what price did (failed to extend). Initial breakout trades are speculative; reversal trades are reactive to confirmed failure.
2. Trapped Participant Pressure: Every trapped bull becomes a seller. This creates sustained pressure.
3. Stop Loss Clarity: Extreme high is obvious stop (just beyond recent high). Breakout trades have ambiguous stops (ORB mid? Recent low? Too wide or too tight).
4. Mean Reversion Edge: Failed breakouts return to value (ORB mid). Initial breakouts try to escape value (harder to sustain).
Critical Insight: [/b>
"The best trade is often the one that trapped everyone else."
Failed breakouts create asymmetric opportunity because you're trading against [/b> trapped participants rather than with [/b> them. When you see a failed breakout signal, you're seeing real-time evidence that the market rejected directional conviction—that's exploitable.
📐 FIBONACCI EXTENSION SYSTEM
Six Extension Levels: [/b>
Extensions project how far price will travel after ORB breakout. Based on Fibonacci ratios + empirical market behavior.
1. 1.272x (27.2% Extension): [/b>
Formula: [/b> ORB High/Low + (ORB Range × 0.272)
Psychology: [/b> Initial probe beyond ORB. Early momentum + trapped shorts (on bull side) covering.
Probability of Reach: [/b> ~75-80% after confirmed breakout
Trading: [/b>
• First resistance/support after breakout
• Partial profit target (take 30-50% off)
• Watch for rejection here (could signal failure in progress)
Why 1.272? [/b> Related to harmonic patterns (1.272 is √1.618). Empirically, markets often stall at 25-30% extension before deciding whether to continue or fail.
2. 1.5x (50% Extension):
Formula: [/b> ORB High/Low + (ORB Range × 0.5)
Psychology: [/b> Breakout gaining conviction. Requires sustained buying/selling (not just momentum spike).
Probability of Reach: [/b> ~60-65% after confirmed breakout
Trading: [/b>
• Major partial profit (take 50-70% off)
• Move stops to breakeven
• Trail remaining position
Why 1.5x? [/b> Classic halfway point to 2.0x. Markets often consolidate here before final push. If day type is "Normal," this is likely the high/low for the day.
3. 1.618x (Golden Ratio Extension): [/b>
Formula: [/b> ORB High/Low + (ORB Range × 0.618)
Psychology: [/b> Strong directional day. Institutional conviction + retail FOMO.
Probability of Reach: [/b> ~45-50% after confirmed breakout
Trading: [/b>
• Final partial profit (close 80-90%)
• Trail remainder with wide stop (allow breathing room)
Why 1.618? [/b> Fibonacci golden ratio. Appears consistently in market geometry. When price reaches 1.618x extension, move is "mature" and reversal risk increases.
4. 2.0x (100% Extension): [/b>
Formula: ORB High/Low + (ORB Range × 1.0)
Psychology: [/b> Trend day confirmed. Opening range completely duplicated.
Probability of Reach: [/b> ~30-35% after confirmed breakout
Trading: Why 2.0x? [/b> Psychological level—range doubled. Also corresponds to typical daily ATR in many instruments (opening range ~ 0.5 ATR, daily range ~ 1.0 ATR).
5. 2.618x (Super Extension):
Formula: [/b> ORB High/Low + (ORB Range × 1.618)
Psychology: [/b> Parabolic move. News-driven or squeeze.
Probability of Reach: [/b> ~10-15% after confirmed breakout
[b>Trading: Why 2.618? [/b> Fibonacci ratio (1.618²). Rare to reach—when it does, move is extreme. Often precedes multi-day consolidation or reversal.
6. 3.0x (Extreme Extension): [/b>
Formula: [/b> ORB High/Low + (ORB Range × 2.0)
Psychology: [/b> Market melt-up/crash. Only in extreme events.
[b>Probability of Reach: [/b> <5% after confirmed breakout
Trading: [/b>
• Close immediately if reached
• These are outlier events (black swans, flash crashes, squeeze-outs)
• Holding for more is greed—take windfall profit
Why 3.0x? [/b> Triple opening range. So rare it's statistical noise. When it happens, it's headline news.
Visual Example:
ES futures, ORB 5842-5850 (8 point range), Bullish breakout:
• ORB High : 5850.00 (entry zone)
• 1.272x : 5850 + 2.18 = 5852.18 (first resistance)
• 1.5x : 5850 + 4.00 = 5854.00 (major target)
• 1.618x : 5850 + 4.94 = 5854.94 (strong target)
• 2.0x : 5850 + 8.00 = 5858.00 (trend day)
• 2.618x : 5850 + 12.94 = 5862.94 (extreme)
• 3.0x : 5850 + 16.00 = 5866.00 (parabolic)
Profit-Taking Strategy:
Optimal scaling out at extensions:
• Breakout entry at 5850.50
• 30% off at 1.272x (5852.18) → +1.68 points
• 40% off at 1.5x (5854.00) → +3.50 points
• 20% off at 1.618x (5854.94) → +4.44 points
• 10% off at 2.0x (5858.00) → +7.50 points
[b>Average Exit: Conclusion: [/b> Scaling out at extensions produces 40% higher expectancy than holding for home runs.
📊 GAP ANALYSIS & FILL PSYCHOLOGY
[b>Gap Definition: [/b>
Price discontinuity between previous close and current open:
• Gap Up : Open > Previous Close + noise threshold (0.1 ATR)
• Gap Down : Open < Previous Close - noise threshold
Why Gaps Matter: [/b>
Gaps represent unfilled orders [/b>. When market gaps up, all limit buy orders between yesterday's close and today's open are never filled. Those buyers are "left behind." Psychology: they wait for price to return ("fill the gap") so they can enter. This creates magnetic pull [/b> toward gap level.
Gap Fill Statistics (Empirical): [/b>
• Gaps <0.5% [/b>: 85-90% fill within same day
• Gaps 0.5-1.0% [/b>: 70-75% fill within same day, 90%+ within week
• Gaps >1.0% [/b>: 50-60% fill within same day (major news often prevents fill)
Gap Fill Strategy: [/b>
Setup 1: Gap-and-Go
Gap opens, extends away from gap (doesn't fill).
• ORB confirms direction away from gap
• Trade WITH ORB breakout direction
• Expectation: Gap won't fill today (momentum too strong)
Setup 2: Gap-Fill Fade
Gap opens, but fails to extend. Price drifts back toward gap.
• ORB breakout TOWARD gap (not away)
• Trade toward gap fill level
• Target: Previous close (gap fill complete)
Setup 3: Gap-Fill Rejection
Gap fills (touches previous close) then rejects.
• ORB breakout AWAY from gap after fill
• Trade away from gap direction
• Thesis: Gap filled (orders executed), now resume original direction
[b>Example: Scenario A (Gap-and-Go):
• ORB breaks upward to $454 (away from gap)
• Trade: LONG breakout, expect continued rally
• Gap becomes support ($452)
Scenario B (Gap-Fill):
• ORB breaks downward through $452.50 (toward gap)
• Trade: SHORT toward gap fill at $450.00
• Target: $450.00 (gap filled), close position
Scenario C (Gap-Fill Rejection):
• Price drifts to $450.00 (gap filled) early in session
• ORB establishes $450-$451 after gap fill
• ORB breaks upward to $451.50
• Trade: LONG breakout (gap is filled, now resume rally)
ORB Fusion Integration: [/b>
Dashboard shows:
• Gap type (Up/Down/None)
• Gap size (percentage)
• Gap fill status (Filled ✓ / Open)
This informs setup confidence:
• ORB breakout AWAY from unfilled gap: +10% confidence (gap becomes support/resistance)
• ORB breakout TOWARD unfilled gap: -10% confidence (gap fill may override ORB)
[b>📈 VWAP & INSTITUTIONAL BIAS [/b>
[b>Volume-Weighted Average Price (VWAP): [/b>
Average price weighted by volume at each price level. Represents true "average" cost for the day.
[b>Calculation: Institutional Benchmark [/b>: Institutions (mutual funds, pension funds) use VWAP as performance benchmark. If they buy above VWAP, they underperformed; below VWAP, they outperformed.
2. [b>Algorithmic Target [/b>: Many algos are programmed to buy below VWAP and sell above VWAP to achieve "fair" execution.
3. [b>Support/Resistance [/b>: VWAP acts as dynamic support (price above) or resistance (price below).
[b>VWAP Bands (Standard Deviations): [/b>
• [b>1σ Band [/b>: VWAP ± 1 standard deviation
- Contains ~68% of volume
- Normal trading range
- Bounces common
• [b>2σ Band [/b>: VWAP ± 2 standard deviations
- Contains ~95% of volume
- Extreme extension
- Mean reversion likely
ORB + VWAP Confluence: [/b>
Highest-probability setups occur when ORB and VWAP align:
Bullish Confluence: [/b>
• ORB breakout upward (bullish signal)
• Price above VWAP (institutional buying)
• Confidence boost: +15%
Bearish Confluence: [/b>
• ORB breakout downward (bearish signal)
• Price below VWAP (institutional selling)
• Confidence boost: +15%
[b>Divergence Warning:
• ORB breakout upward BUT price below VWAP
• Conflict: Breakout says "buy," VWAP says "sell"
• Confidence penalty: -10%
• Interpretation: Retail buying but institutions not participating (lower quality breakout)
📊 MOMENTUM CONTEXT SYSTEM
[b>Innovation: Candle Coloring by Position
Rather than fixed support/resistance lines, ORB Fusion colors candles based on their [b>relationship to ORB :
[b>Three Zones: [/b>
1. Inside ORB (Blue Boxes): [/b>
[b>Calculation:
• Darker blue: Near extremes of ORB (potential breakout imminent)
• Lighter blue: Near ORB mid (consolidation)
[b>Trading: [/b> Coiled spring—await breakout.
[b>2. Above ORB (Green Boxes):
[b>Calculation: 3. Below ORB (Red Boxes):
Mirror of above ORB logic.
[b>Special Contexts: [/b>
[b>Breakout Bar (Darkest Green/Red): [/b>
The specific bar where breakout occurs gets maximum color intensity regardless of distance. This highlights the pivotal moment.
[b>Failed Breakout Bar (Orange/Warning): [/b>
When failed breakout is confirmed, that bar gets orange/warning color. Visual alert: "reversal opportunity here."
[b>Near Extension (Cyan/Magenta Tint): [/b>
When price is within 0.5 ATR of an extension level, candle gets tinted cyan (bull) or magenta (bear). Indicates "target approaching—prepare to take profit."
[b>Why Visual Context? [/b>
Traditional indicators show lines. ORB Fusion shows [b>context-aware momentum [/b>. Glance at chart:
• Lots of blue? Consolidation day (fade extremes).
• Progressive green? Trend day (follow).
• Green then orange? Failed breakout (reversal setup).
This visual language communicates market state instantly—no interpretation needed.
🎯 TRADE SETUP GENERATION & GRADING [/b>
[b>Algorithmic Setup Detection: [/b>
ORB Fusion continuously evaluates market state and generates current best trade setup with:
• Action (LONG / SHORT / FADE HIGH / FADE LOW / WAIT)
• Entry price
• Stop loss
• Three targets
• Risk:Reward ratio
• Confidence score (0-100)
• Grade (A+ to D)
[b>Setup Types: [/b>
[b>1. ORB LONG (Bullish Breakout): [/b>
[b>Trigger: [/b>
• Bullish ORB breakout confirmed
• Not failed
[b>Parameters:
• Entry: Current close
• Stop: ORB mid (protects against failure)
• T1: ORB High + 0.5x range (1.5x extension)
• T2: ORB High + 1.0x range (2.0x extension)
• T3: ORB High + 1.618x range (2.618x extension)
[b>Confidence Scoring:
[b>Trigger: [/b>
• Bearish breakout occurred
• Failed (returned inside ORB)
[b>Parameters: [/b>
• Entry: Close when failure confirmed
• Stop: Extreme low since breakout + 0.10 ATR
• T1: ORB Low + 0.5x range
• T2: ORB Low + 1.0x range (ORB mid)
• T3: ORB Low + 1.5x range
[b>Confidence Scoring:
[b>Trigger:
• Inside ORB
• Close > ORB mid (near high)
[b>Parameters: [/b>
• Entry: ORB High (limit order)
• Stop: ORB High + 0.2x range
• T1: ORB Mid
• T2: ORB Low
[b>Confidence Scoring: [/b>
Base: 40 points (lower base—range fading is lower probability than breakout/reversal)
[b>Use Case: [/b> Rotation days. Not recommended on normal/trend days.
[b>6. FADE LOW (Range Trade):
Mirror of FADE HIGH.
[b>7. WAIT:
[b>Trigger: [/b>
• ORB not complete yet OR
• No clear setup (price in no-man's-land)
[b>Action: [/b> Observe, don't trade.
[b>Confidence: [/b> 0 points
[b>Grading System:
```
Confidence → Grade
85-100 → A+
75-84 → A
65-74 → B+
55-64 → B
45-54 → C
0-44 → D
```
[b>Grade Interpretation: [/b>
• [b>A+ / A: High probability setup. Take these trades.
• [b>B+ / B [/b>: Decent setup. Trade if fits system rules.
• [b>C [/b>: Marginal setup. Only if very experienced.
• [b>D [/b>: Poor setup or no setup. Don't trade.
[b>Example Scenario: [/b>
ES futures:
• ORB: 5842-5850 (8 point range)
• Bullish breakout to 5851 confirmed
• Volume: 2.0x average (confirmed)
• VWAP: 5845 (price above VWAP ✓)
• Day type: Developing (too early, no bonus)
• Gap: None
[b>Setup: [/b>
• Action: LONG
• Entry: 5851
• Stop: 5846 (ORB mid, -5 point risk)
• T1: 5854 (+3 points, 1:0.6 R:R)
• T2: 5858 (+7 points, 1:1.4 R:R)
• T3: 5862.94 (+11.94 points, 1:2.4 R:R)
[b>Confidence: LONG with 55% confidence.
Interpretation: Solid setup, not perfect. Trade it if your system allows B-grade signals.
[b>📊 STATISTICS TRACKING & PERFORMANCE ANALYSIS [/b>
[b>Real-Time Performance Metrics: [/b>
ORB Fusion tracks comprehensive statistics over user-defined lookback (default 50 days):
[b>Breakout Performance: [/b>
• [b>Bull Breakouts: [/b> Total count, wins, losses, win rate
• [b>Bear Breakouts: [/b> Total count, wins, losses, win rate
[b>Win Definition: [/b> Breakout reaches ≥1.0x extension (doubles the opening range) before end of day.
[b>Example: [/b>
• ORB: 5842-5850 (8 points)
• Bull breakout at 5851
• Reaches 5858 (1.0x extension) by close
• Result: WIN
[b>Failed Breakout Performance: [/b>
• [b>Total Failed Breakouts [/b>: Count of breakouts that failed
• [b>Reversal Wins [/b>: Count where reversal trade reached target
• [b>Failed Reversal Win Rate [/b>: Wins / Total Failed
[b>Win Definition for Reversals: [/b>
• Failed bull → reversal short reaches ORB mid
• Failed bear → reversal long reaches ORB mid
[b>Extension Tracking: [/b>
• [b>Average Extension Reached [/b>: Mean of maximum extension achieved across all breakout days
• [b>Max Extension Overall [/b>: Largest extension ever achieved in lookback period
[b>Example: 🎨 THREE DISPLAY MODES
[b>Design Philosophy: [/b>
Not all traders need all features. Beginners want simplicity. Professionals want everything. ORB Fusion adapts.
[b>SIMPLE MODE: [/b>
[b>Shows: [/b>
• Primary ORB levels (High, Mid, Low)
• ORB box
• Breakout signals (triangles)
• Failed breakout signals (crosses)
• Basic dashboard (ORB status, breakout status, setup)
• VWAP
[b>Hides: [/b>
• Session ORBs (Asian, London, NY)
• IB levels and extensions
• ORB extensions beyond basic levels
• Gap analysis visuals
• Statistics dashboard
• Momentum candle coloring
• Narrative dashboard
[b>Use Case: [/b>
• Traders who want clean chart
• Focus on core ORB concept only
• Mobile trading (less screen space)
[b>STANDARD MODE:
[b>Shows Everything in Simple Plus: [/b>
• Session ORBs (Asian, London, NY)
• IB levels (high, low, mid)
• IB extensions
• ORB extensions (1.272x, 1.5x, 1.618x, 2.0x)
• Gap analysis and fill targets
• VWAP bands (1σ and 2σ)
• Momentum candle coloring
• Context section in dashboard
• Narrative dashboard
[b>Hides: [/b>
• Advanced extensions (2.618x, 3.0x)
• Detailed statistics dashboard
[b>Use Case: [/b>
• Most traders
• Balance between information and clarity
• Covers 90% of use cases
[b>ADVANCED MODE:
[b>Shows Everything:
• All session ORBs
• All IB levels and extensions
• All ORB extensions (including 2.618x and 3.0x)
• Full gap analysis
• VWAP with both 1σ and 2σ bands
• Momentum candle coloring
• Complete statistics dashboard
• Narrative dashboard
• All context metrics
[b>Use Case: [/b>
• Professional traders
• System developers
• Those who want maximum information density
[b>Switching Modes: [/b>
Single dropdown input: "Display Mode" → Simple / Standard / Advanced
Entire indicator adapts instantly. No need to toggle 20 individual settings.
📖 NARRATIVE DASHBOARD
[b>Innovation: Plain-English Market State [/b>
Most indicators show data. ORB Fusion explains what the data [b>means [/b>.
[b>Narrative Components: [/b>
[b>1. Phase: [/b>
• "📍 Building ORB..." (during ORB session)
• "📊 Trading Phase" (after ORB complete)
• "⏳ Pre-Market" (before ORB session)
[b>2. Status (Current Observation): [/b>
• "⚠️ Failed breakout - reversal likely"
• "🚀 Bullish momentum in play"
• "📉 Bearish momentum in play"
• "⚖️ Consolidating in range"
• "👀 Monitoring for setup"
[b>3. Next Level:
Tells you what to watch for:
• "🎯 1.5x @ 5854.00" (next extension target)
• "Watch ORB levels" (inside range, await breakout)
[b>4. Setup: [/b>
Current trade setup + grade:
• "LONG " (bullish breakout, A-grade)
• "🔥 SHORT REVERSAL " (failed bull breakout, A+-grade)
• "WAIT " (no setup)
[b>5. Reason: [/b>
Why this setup exists:
• "ORB Bullish Breakout"
• "Failed Bear Breakout - High Probability Reversal"
• "Range Fade - Near High"
[b>6. Tip (Market Insight):
Contextual advice:
• "🔥 TREND DAY - Trail stops" (day type is trending)
• "🔄 ROTATION - Fade extremes" (day type is rotating)
• "📊 Gap unfilled - magnet level" (gap creates target)
• "📈 Normal conditions" (no special context)
[b>Example Narrative:
```
📖 ORB Narrative
━━━━━━━━━━━━━━━━
Phase | 📊 Trading Phase
Status | 🚀 Bullish momentum in play
Next | 🎯 1.5x @ 5854.00
📈 Setup | LONG
Reason | ORB Bullish Breakout
💡 Tip | 🔥 TREND DAY - Trail stops
```
[b>Glance Interpretation: [/b>
"We're in trading phase. Bullish breakout happened (momentum in play). Next target is 1.5x extension at 5854. Current setup is LONG with A-grade. It's a trend day, so trail stops (don't take early profits)."
Complete market state communicated in 6 lines. No interpretation needed.
[b>Why This Matters:
Beginner traders struggle with "So what?" question. Indicators show lines and signals, but what does it mean [/b>? Narrative dashboard bridges this gap.
Professional traders benefit too—rapid context assessment during fast-moving markets. No time to analyze; glance at narrative, get action plan.
🔔 INTELLIGENT ALERT SYSTEM
[b>Four Alert Types: [/b>
[b>1. Breakout Alert: [/b>
[b>Trigger: [/b> ORB breakout confirmed (bull or bear)
[b>Message: [/b>
```
🚀 ORB BULLISH BREAKOUT
Price: 5851.00
Volume Confirmed
Grade: A
```
[b>Frequency: [/b> Once per bar (prevents spam)
[b>2. Failed Breakout Alert: [/b>
[b>Trigger: [/b> Breakout fails, reversal setup generated
[b>Message: [/b>
```
🔥 FAILED BULLISH BREAKOUT!
HIGH PROBABILITY SHORT REVERSAL
Entry: 5848.00
Stop: 5854.00
T1: 5846.00
T2: 5842.00
Historical Win Rate: 73%
```
[b>Why Comprehensive? [/b> Failed breakout alerts include complete trade plan. You can execute immediately from alert—no need to check chart.
[b>3. Extension Alert:
[b>Trigger: [/b> Price reaches extension level for first time
[b>Message: [/b>
```
🎯 Bull Extension 1.5x reached @ 5854.00
```
[b>Use: [/b> Profit-taking reminder. When extension hit, consider scaling out.
[b>4. IB Break Alert: [/b>
[b>Trigger: [/b> Price breaks above IB high or below IB low
[b>Message: [/b>
```
📊 IB HIGH BROKEN - Potential Trend Day
```
[b>Use: [/b> Day type classification. IB break suggests trend day developing—adjust strategy to trend-following mode.
[b>Alert Management: [/b>
Each alert type can be enabled/disabled independently. Prevents notification overload.
[b>Cooldown Logic: [/b>
Alerts won't fire if same alert type triggered within last bar. Prevents:
• "Breakout" alert every tick during choppy breakout
• Multiple "extension" alerts if price oscillates at level
Ensures: One clean alert per event.
⚙️ KEY PARAMETERS EXPLAINED
[b>Opening Range Settings: [/b>
• [b>ORB Timeframe [/b> (5/15/30/60 min): Duration of opening range window
- 30 min recommended for most traders
• [b>Use RTH Only [/b> (ON/OFF): Only trade during regular trading hours
- ON recommended (avoids thin overnight markets)
• [b>Use LTF Precision [/b> (ON/OFF): Sample 1-minute bars for accuracy
- ON recommended (critical for charts >1 minute)
• [b>Precision TF [/b> (1/5 min): Timeframe for LTF sampling
- 1 min recommended (most accurate)
[b>Session ORBs: [/b>
• [b>Show Asian/London/NY ORB [/b> (ON/OFF): Display multi-session ranges
- OFF in Simple mode
- ON in Standard/Advanced if trading 24hr markets
• [b>Session Windows [/b>: Time ranges for each session ORB
- Defaults align with major session opens
[b>Initial Balance: [/b>
• [b>Show IB [/b> (ON/OFF): Display Initial Balance levels
- ON recommended for day type classification
• [b>IB Session Window [/b> (0930-1030): First hour of trading
- Default is standard for US equities
• [b>Show IB Extensions [/b> (ON/OFF): Project IB extension targets
- ON recommended (identifies trend days)
• [b>IB Extensions 1-4 [/b> (0.5x, 1.0x, 1.5x, 2.0x): Extension multipliers
- Defaults are Market Profile standard
[b>ORB Extensions: [/b>
• [b>Show Extensions [/b> (ON/OFF): Project ORB extension targets
- ON recommended (defines profit targets)
• [b>Enable Individual Extensions [/b> (1.272x, 1.5x, 1.618x, 2.0x, 2.618x, 3.0x)
- Enable 1.272x, 1.5x, 1.618x, 2.0x minimum
- Disable 2.618x and 3.0x unless trading very volatile instruments
[b>Breakout Detection:
• [b>Confirmation Method [/b> (Close/Wick/Body):
- Close recommended (best balance)
- Wick for scalping
- Body for conservative
• [b>Require Volume Confirmation [/b> (ON/OFF):
- ON recommended (increases reliability)
• [b>Volume Multiplier [/b> (1.0-3.0):
- 1.5x recommended
- Lower for thin instruments
- Higher for heavy volume instruments
[b>Failed Breakout System: [/b>
• [b>Enable Failed Breakouts [/b> (ON/OFF):
- ON strongly recommended (highest edge)
• [b>Bars to Confirm Failure [/b> (2-10):
- 3 bars recommended
- 2 for aggressive (more signals, more false failures)
- 5+ for conservative (fewer signals, higher quality)
• [b>Failure Buffer [/b> (0.0-0.5 ATR):
- 0.1 ATR recommended
- Filters noise during consolidation near ORB level
• [b>Show Reversal Targets [/b> (ON/OFF):
- ON recommended (visualizes trade plan)
• [b>Reversal Target Mults [/b> (0.5x, 1.0x, 1.5x):
- Defaults are tested values
- Adjust based on average daily range
[b>Gap Analysis:
• [b>Show Gap Analysis [/b> (ON/OFF):
- ON if trading instruments that gap frequently
- OFF for 24hr markets (forex, crypto—no gaps)
• [b>Gap Fill Target [/b> (ON/OFF):
- ON to visualize previous close (gap fill level)
[b>VWAP:
• [b>Show VWAP [/b> (ON/OFF):
- ON recommended (key institutional level)
• [b>Show VWAP Bands [/b> (ON/OFF):
- ON in Standard/Advanced
- OFF in Simple
• [b>Band Multipliers (1.0σ, 2.0σ):
- Defaults are standard
- 1σ = normal range, 2σ = extreme
[b>Day Type: [/b>
• [b>Show Day Type Analysis [/b> (ON/OFF):
- ON recommended (critical for strategy adaptation)
• [b>Trend Day Threshold [/b> (1.0-2.5 IB mult):
- 1.5x recommended
- When price extends >1.5x IB, classifies as Trend Day
[b>Enhanced Visuals:
• [b>Show Momentum Candles [/b> (ON/OFF):
- ON for visual context
- OFF if chart gets too colorful
• [b>Show Gradient Zone Fills [/b> (ON/OFF):
- ON for professional look
- OFF for minimalist chart
• [b>Label Display Mode [/b> (All/Adaptive/Minimal):
- Adaptive recommended (shows nearby labels only)
- All for information density
- Minimal for clean chart
• [b>Label Proximity [/b> (1.0-5.0 ATR):
- 3.0 ATR recommended
- Labels beyond this distance are hidden (Adaptive mode)
[b>🎓 PROFESSIONAL USAGE PROTOCOL [/b>
[b>Phase 1: Learning the System (Week 1) [/b>
[b>Goal: [/b> Understand ORB concepts and dashboard interpretation
[b>Setup: [/b>
• Display Mode: STANDARD
• ORB Timeframe: 30 minutes
• Enable ALL features (IB, extensions, failed breakouts, VWAP, gap analysis)
• Enable statistics tracking
[b>Actions: [/b>
• Paper trade ONLY—no real money
• Observe ORB formation every day (9:30-10:00 AM ET for US markets)
• Note when ORB breakouts occur and if they extend
• Note when breakouts fail and reversals happen
• Watch day type classification evolve during session
• Track statistics—which setups are working?
[b>Key Learning: [/b>
• How often do breakouts reach 1.5x extension? (typically 50-60% of confirmed breakouts)
• How often do breakouts fail? (typically 30-40%)
• Which setup grade (A/B/C) actually performs best? (should see A-grade outperforming)
• What day type produces best results? (trend days favor breakouts, rotation days favor fades)
[b>Phase 2: Parameter Optimization (Week 2) [/b>
[b>Goal: [/b> Tune system to your instrument and timeframe
[b>ORB Timeframe Selection:
• Run 5 days with 15-minute ORB
• Run 5 days with 30-minute ORB
• Compare: Which captures better breakouts on your instrument?
• Typically: 30-minute optimal for most, 15-minute for very liquid (ES, SPY)
[b>Volume Confirmation Testing:
• Run 5 days WITH volume confirmation
• Run 5 days WITHOUT volume confirmation
• Compare: Does volume confirmation increase win rate?
• If win rate improves by >5%: Keep volume confirmation ON
• If no improvement: Turn OFF (avoid missing valid breakouts)
[b>Failed Breakout Bars:
[b>Goal: [/b> Develop personal trading rules based on system signals
[b>Setup Selection Rules: [/b>
Define which setups you'll trade:
• [b>Conservative: [/b> Only A+ and A grades
• [b>Balanced: [/b> A+, A, B+ grades
• [b>Aggressive: [/b> All grades B and above
Test each approach for 5-10 trades, compare results.
[b>Position Sizing by Grade: [/b>
Consider risk-weighting by setup quality:
• A+ grade: 100% position size
• A grade: 75% position size
• B+ grade: 50% position size
• B grade: 25% position size
Example: If max risk is $1000/trade:
• A+ setup: Risk $1000
• A setup: Risk $750
• B+ setup: Risk $500
This matches bet sizing to edge.
[b>Day Type Adaptation: [/b>
Create rules for different day types:
Trend Days:
• Take ALL breakout signals (A/B/C grades)
• Hold for 2.0x extension minimum
• Trail stops aggressively (1.0 ATR trail)
• DON'T fade—reversals unlikely
Rotation Days:
• ONLY take failed breakout reversals
• Ignore initial breakout signals (likely to fail)
• Take profits quickly (0.5x extension)
• Focus on fade setups (Fade High/Fade Low)
Normal Days:
• Take A/A+ breakout signals only
• Take ALL failed breakout reversals (high probability)
• Target 1.0-1.5x extensions
• Partial profit-taking at extensions
Time-of-Day Rules: [/b>
Breakouts at different times have different probabilities:
10:00-10:30 AM (Early Breakout):
• ORB just completed
• Fresh breakout
• Probability: Moderate (50-55% reach 1.0x)
• Strategy: Conservative position sizing
10:30-12:00 PM (Mid-Morning):
• Momentum established
• Volume still healthy
• Probability: High (60-65% reach 1.0x)
• Strategy: Standard position sizing
12:00-2:00 PM (Lunch Doldrums):
• Volume dries up
• Whipsaw risk increases
• Probability: Low (40-45% reach 1.0x)
• Strategy: Avoid new entries OR reduce size 50%
2:00-4:00 PM (Afternoon Session):
• Late-day positioning
• EOD squeezes possible
• Probability: Moderate-High (55-60%)
• Strategy: Watch for IB break—if trending all day, follow
[b>Phase 4: Live Micro-Sizing (Month 2) [/b>
[b>Goal: [/b> Validate paper trading results with minimal risk
[b>Setup: [/b>
• 10-20% of intended full position size
• Take ONLY A+ and A grade setups
• Follow stop loss and targets religiously
[b>Execution: [/b>
• Execute from alerts OR from dashboard setup box
• Entry: Close of signal bar OR next bar market order
• Stop: Use exact stop from setup (don't widen)
• Targets: Scale out at T1/T2/T3 as indicated
[b>Tracking: [/b>
• Log every trade: Entry, Exit, Grade, Outcome, Day Type
• Calculate: Win rate, Average R-multiple, Max consecutive losses
• Compare to paper trading results (should be within 15%)
[b>Red Flags: [/b>
• Win rate <45%: System not suitable for this instrument/timeframe
• Major divergence from paper trading: Execution issues (slippage, late entries, emotional exits)
• Max consecutive losses >8: Hitting rough patch OR market regime changed
[b>Phase 5: Scaling Up (Months 3-6)
[b>Goal: [/b> Gradually increase to full position size
[b>Progression: [/b>
• Month 3: 25-40% size (if micro-sizing profitable)
• Month 4: 40-60% size
• Month 5: 60-80% size
• Month 6: 80-100% size
[b>Milestones Required to Scale Up: [/b>
• Minimum 30 trades at current size
• Win rate ≥48%
• Profit factor ≥1.2
• Max drawdown <20%
• Emotional control (no revenge trading, no FOMO)
[b>Advanced Techniques:
[b>Multi-Timeframe ORB: Assumes first 30-60 minutes establish value. Violation: Market opens after major news, price discovery continues for hours (opening range meaningless).
2. [b>Volume Indicates Conviction: ES, NQ, RTY, SPY, QQQ—high liquidity, clean ORB formation, reliable extensions
• [b>Large-Cap Stocks: AAPL, MSFT, TSLA, NVDA (>$5B market cap, >5M daily volume)
• [b>Liquid Futures: CL (crude oil), GC (gold), 6E (EUR/USD), ZB (bonds)—24hr markets benefit from session ORBs
• [b>Major Forex Pairs: [/b> EUR/USD, GBP/USD, USD/JPY—London/NY session ORBs work well
[b>Performs Poorly On: [/b>
• [b>Illiquid Stocks: <$1M daily volume, wide spreads, gappy price action
• [b>Penny Stocks: [/b> Manipulated, pump-and-dump, no real price discovery
• [b>Low-Volume ETFs: Exotic sector ETFs, leveraged products with thin volume
• [b>Crypto on Sketchy Exchanges: Wash trading, spoofing invalidates volume analysis
• [b>Earnings Days: [/b> ORB completes before earnings release, then completely resets (useless)
• Binary Event Days: FDA approvals, court rulings—discontinuous price action
[b>Known Weaknesses: [/b>
• [b>Slow Starts: ORB doesn't complete until 10:00 AM (30-min ORB). Early morning traders have no signals for 30 minutes. Consider using 15-minute ORB if this is problematic.
• [b>Failure Detection Lag: [/b> Failed breakout requires 3+ bars to confirm. By the time system signals reversal, price may have already moved significantly back inside range. Manual traders watching in real-time can enter earlier.
• [b>Extension Overshoot: [/b> System projects extensions mathematically (1.5x, 2.0x, etc.). Actual moves may stop short (1.3x) or overshoot (2.2x). Extensions are targets, not magnets.
• [b>Day Type Misclassification: [/b> Early in session, day type is "Developing." By the time it's classified definitively (often 11:00 AM+), half the day is over. Strategy adjustments happen late.
• [b>Gap Assumptions: [/b> System assumes gaps want to fill. Strong trend days never fill gaps (gap becomes support/resistance forever). Blindly trading toward gaps can backfire on trend days.
• [b>Volume Data Quality: Forex doesn't have centralized volume (uses tick volume as proxy—less reliable). Crypto volume is often fake (wash trading). Volume confirmation less effective on these instruments.
• [b>Multi-Session Complexity: [/b> When using Asian/London/NY ORBs simultaneously, chart becomes cluttered. Requires discipline to focus on relevant session for current time.
[b>Risk Factors: [/b>
• [b>Opening Gaps: Large gaps (>2%) can create distorted ORBs. Opening range might be unusually wide or narrow, making extensions unreliable.
• [b>Low Volatility Environments:[/b> When VIX <12, opening ranges can be tiny (0.2-0.3%). Extensions are equally tiny. Profit targets don't justify commission/slippage.
• [b>High Volatility Environments:[/b> When VIX >30, opening ranges are huge (2-3%+). Extensions project unrealistic targets. Failed breakouts happen faster (volatility whipsaw).
• [b>Algorithm Dominance:[/b> In heavily algorithmic markets (ES during overnight session), ORB levels can be manipulated—algos pin price to ORB high/low intentionally. Breakouts become stop-runs rather than genuine directional moves.
[b>⚠️ RISK DISCLOSURE[/b>
Trading futures, stocks, options, forex, and cryptocurrencies involves substantial risk of loss and is not suitable for all investors. Opening Range Breakout strategies, while based on sound market structure principles, do not guarantee profits and can result in significant losses.
The ORB Fusion indicator implements professional trading concepts including Opening Range theory, Market Profile Initial Balance analysis, Fibonacci extensions, and failed breakout reversal logic. These methodologies have theoretical foundations but past performance—whether backtested or live—is not indicative of future results.
Opening Range theory assumes the first 30-60 minutes of trading establish a meaningful value area and that breakouts from this range signal directional conviction. This assumption may not hold during:
• Major news events (FOMC, NFP, earnings surprises)
• Market structure changes (circuit breakers, trading halts)
• Low liquidity periods (holidays, early closures)
• Algorithmic manipulation or spoofing
Failed breakout detection relies on patterns of trapped participant behavior. While historically these patterns have shown statistical edges, market conditions change. Institutional algorithms, changing market structure, or regime shifts can reduce or eliminate edges that existed historically.
Initial Balance classification (trend day vs rotation day vs normal day) is a heuristic framework, not a deterministic prediction. Day type can change mid-session. Early classification may prove incorrect as the day develops.
Extension projections (1.272x, 1.5x, 1.618x, 2.0x, etc.) are probabilistic targets derived from Fibonacci ratios and empirical market behavior. They are not "support and resistance levels" that price must reach or respect. Markets can stop short of extensions, overshoot them, or ignore them entirely.
Volume confirmation assumes high volume indicates institutional participation and conviction. In algorithmic markets, volume can be artificially high (HFT activity) or artificially low (dark pools, internalization). Volume is a proxy, not a guarantee of conviction.
LTF precision sampling improves ORB accuracy by using 1-minute bars but introduces additional data dependencies. If 1-minute data is unavailable, inaccurate, or delayed, ORB calculations will be incorrect.
The grading system (A+/A/B+/B/C/D) and confidence scores aggregate multiple factors (volume, VWAP, day type, IB expansion, gap context) into a single assessment. This is a mechanical calculation, not artificial intelligence. The system cannot adapt to unprecedented market conditions or events outside its programmed logic.
Real trading involves slippage, commissions, latency, partial fills, and rejected orders not present in indicator calculations. ORB Fusion generates signals at bar close; actual fills occur with delay. Opening range forms during highest volatility (first 30 minutes)—spreads widen, slippage increases. Execution quality significantly impacts realized results.
Statistics tracking (win rates, extension levels reached, day type distribution) is based on historical bars in your lookback window. If lookback is small (<50 bars) or market regime changed, statistics may not represent future probabilities.
Users must independently validate system performance on their specific instruments, timeframes, and broker execution environment. Paper trade extensively (100+ trades minimum) before risking capital. Start with micro position sizing (5-10% of intended size) for 50+ trades to validate execution quality matches expectations.
Never risk more than you can afford to lose completely. Use proper position sizing (0.5-2% risk per trade maximum). Implement stop losses on every single trade without exception. Understand that most retail traders lose money—sophisticated indicators do not change this fundamental reality. They systematize analysis but cannot eliminate risk.
The developer makes no warranties regarding profitability, suitability, accuracy, reliability, or fitness for any purpose. Users assume full responsibility for all trading decisions, parameter selections, risk management, and outcomes.
By using this indicator, you acknowledge that you have read, understood, and accepted these risk disclosures and limitations, and you accept full responsibility for all trading activity and potential losses.
[b>═══════════════════════════════════════════════════════════════════════════════[/b>
[b>CLOSING STATEMENT[/b>
[b>═══════════════════════════════════════════════════════════════════════════════[/b>
Opening Range Breakout is not a trick. It's a framework. The first 30-60 minutes reveal where participants believe value lies. Breakouts signal directional conviction. Failures signal trapped participants. Extensions define profit targets. Day types dictate strategy. Failed breakouts create the highest-probability reversals.
ORB Fusion doesn't predict the future—it identifies [b>structure[/b>, detects [b>breakouts[/b>, recognizes [b>failures[/b>, and generates [b>probabilistic trade plans[/b> with defined risk and reward.
The edge is not in the opening range itself. The edge is in recognizing when the market respects structure (follow breakouts) versus when it violates structure (fade breakouts). The edge is in detecting failures faster than discretionary traders. The edge is in systematic classification that prevents catastrophic errors—like fading a trend day or holding through rotation.
Most indicators draw lines. ORB Fusion implements a complete institutional trading methodology: Opening Range theory, Market Profile classification, failed breakout intelligence, Fibonacci projections, volume confirmation, gap psychology, and real-time performance tracking.
Whether you're a beginner learning market structure or a professional seeking systematic ORB implementation, this system provides the framework.
"The market's first word is its opening range. Everything after is commentary." — ORB Fusion
SVE Compression Mirror (Companion)Why This Tool Exists
Intraday markets are driven not only by direction, but by volatility state and energy dynamics. Periods of compression, expansion, and transition often determine whether price behavior favors patience, rotation, or acceleration.
The SVE Compression Mirror (Companion) was created to make volatility compression and release conditions visible in real time, helping traders understand what type of market environment is currently present before forming directional conviction.
This indicator displays a two-state compression condition consistent with that referenced by the SVE Volatility Engine, exposed here as a standalone lower-pane context display.
________________________________________
How the Indicator Is Intended to Be Used
This indicator is designed strictly as a context layer, independent of trade direction or bias.
It highlights:
• Volatility compression versus expansion
• Transitions between compressed and released states
• Momentum behavior as energy builds or dissipates
The purpose is to support environment awareness, not to predict outcomes or generate signals.
________________________________________
What Appears on the Chart
When applied, the indicator displays:
• A lower-pane histogram representing momentum behavior
• Visual markers indicating whether volatility is compressed or released
• A clean, uncluttered presentation optimized for intraday use
The display is intentionally minimal and designed to pair with other structural or decision-support tools.
________________________________________
Intended Users
This indicator is designed for:
• Intraday traders seeking clearer volatility context
• Discretionary traders who value regime awareness
• Professionals and advanced retail traders who prioritize environment over prediction
________________________________________
Disclaimer
This indicator is provided for informational and analytical purposes only and does not constitute investment advice.
