Arkham ORB Indicator 3.8

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15-Minute ORB Breakout Indicator with Volume Confirmation & Dynamic Risk Management
This closed-source indicator identifies high-probability breakout opportunities during the New York session open (8:30-9:30 AM ET) using a systematic Opening Range Breakout methodology combined with volume validation and adaptive volatility-based risk management.

Core Methodology - How It Works

Opening Range Framework
The indicator establishes the Opening Range by tracking the high and low of the first 15 minutes of the trading session (8:30-8:45 AM ET). This range represents the initial price discovery zone where early participants establish equilibrium. Breakouts above the high or below the low signal potential directional moves as liquidity enters the market during the full NY session.

Volume-Based Breakout Validation
To distinguish genuine breakouts from false moves, the indicator employs a rolling volume analysis system. It calculates a 12-period median of volume and applies a 1.2x threshold multiplier. Only price movements accompanied by volume exceeding this threshold are flagged as valid breakout signals. This approach filters out low-conviction breakouts that often occur in choppy, low-participation conditions and significantly reduces false signals at ORB levels.

Adaptive Volatility-Based Stop Loss Calculation
Unlike fixed-point stop losses, this indicator uses a dynamic calculation based on a 10-day lookback of historical ORB ranges. The stop loss is derived by analyzing recent Opening Range sizes and applying a 0.5x multiplier to the average. This creates three key advantages:

Compression adaptation: When recent ORBs shrink (low volatility), stops automatically tighten to reduce risk exposure
Expansion adaptation: When recent ORBs expand (high volatility), stops widen to prevent premature exits on legitimate moves
Hybrid intelligence: The system detects outlier volatility days by comparing current ORB size to the 10-day average. When divergence exceeds 50%, it recognizes abnormal conditions and adjusts stop placement accordingly rather than blindly using historical averages

Multi-Entry Risk Framework
The indicator recognizes that different traders enter at different points relative to the ORB level. It provides simultaneous risk calculations for three entry strategies:

Direct ORB Entry (0-point offset): Immediate breakout entries at the ORB high/low
Pullback Entry 1 (default 5.5 points): Conservative entries waiting for initial retracements
Pullback Entry 2 (default 11.0 points): Deeper retest entries for very conservative approaches

Each entry type displays independently calculated metrics (stop loss distance, contract sizing, take profit levels) that account for the actual entry point's distance from the ORB level. This ensures accurate position sizing and risk/reward ratios regardless of which entry method you use.

Smart Volatility Detection & Alerts
The indicator continuously compares the current day's ORB size against the 10-day historical average. When divergence exceeds a configurable threshold (default 50%), it alerts you to abnormal market conditions:

Compression warnings: When today's ORB is 50%+ smaller than average (potential low-volatility trap)
Expansion warnings: When today's ORB is 50%+ larger than average (potential news event or unusual volatility)

This allows you to adjust expectations and position sizing based on whether current conditions match your backtested historical environment.

Risk Management Safeguards
Min/Max Stop Loss Caps
To prevent extreme stop placements in unusual conditions:

Minimum stop: 35 points (prevents overly tight stops that get hit by noise)
Maximum stop: 75 points (caps risk exposure during extreme volatility events)
Both caps are fully adjustable and can be toggled on/off

Contract Rounding & Risk Display
The indicator automatically rounds to whole contracts and displays real-time risk metrics including:

Suggested stop loss level (adjusted for entry offset + volatility)
Number of contracts (sized to your account risk parameters)
Suggested take profit level (maintains your configured risk/reward ratio)
Dollar risk and potential profit for each entry type

What Makes This Original
This indicator combines several methodological elements that work together as a cohesive risk management system:

Volume confirmation prevents trading every ORB breakout indiscriminately
Adaptive volatility stops ensure your risk scales with current market conditions, not fixed assumptions
Multi-entry framework provides accurate calculations for various entry styles without requiring separate indicators
Outlier detection warns when today's conditions deviate significantly from your backtested norms
Integrated position sizing removes the mental math from determining contracts and risk/reward

Rather than simply plotting ORB levels or using fixed stops, this system adapts to changing volatility while validating breakouts with participation metrics.
How to Use It

Apply to a 5-minute chart of futures instruments (optimized for MNQ/NQ)
Set your account risk parameters in settings (account size, risk per trade %)
Monitor the ORB formation period (8:30-8:45 AM ET) - levels will be drawn
Watch for breakout signals during 8:45-9:30 AM ET with volume confirmation
Choose your entry style from the three displayed options based on your risk tolerance
Use the suggested stops and targets from the real-time risk table
Pay attention to volatility warnings - adjust position sizing if conditions are abnormal

Fully Customizable Settings
All parameters used in the indicator's calculations are user-adjustable, allowing you to adapt the system to your trading style and risk tolerance:
ORB Configuration

ORB formation period start/end times
Entry offset distances (Entry 1 and Entry 2 point values)
Display toggles for each entry type

Volume Analysis

Volume lookback period (default: 12)
Volume multiplier threshold (default: 1.2x)
Toggle volume filtering on/off

Stop Loss Calculation

Historical lookback period (default: 10 days)
Stop loss multiplier (default: 0.5x)
Calculation method: Historical Average, Current Day ORB, or Hybrid
Minimum stop cap (default: 35 points)
Maximum stop cap (default: 75 points)
Toggle min/max caps on/off

Volatility Alerts

Divergence threshold for outlier detection (default: 50%)
Alert display toggles

Risk Management

Account size
Risk percentage per trade
Risk/reward ratio for take profit calculations

Display Options

Table positions and sizes (compact mode)
Color schemes
Show/hide individual components

This flexibility allows you to backtest different parameter combinations and optimize the indicator for current market conditions or your specific trading approach. You are in full control of the calculations - the indicator simply automates the math based on your inputs.

Ideal For
Futures traders (MNQ/NQ) seeking a systematic, rule-based approach to NY session open breakouts with pre-calculated risk parameters that automatically adapt to changing market volatility. Particularly useful for traders who want to eliminate emotional decision-making around stop placement and position sizing.

Important Disclaimers

No Financial Advice
This indicator is provided for educational and informational purposes only. It does not constitute financial advice, investment advice, trading advice, or any other sort of advice. You should not treat any of the indicator's content, outputs, or signals as such. The author is not a licensed financial advisor.

Risk Warning
Trading futures and derivatives involves substantial risk of loss and is not suitable for all investors. Past performance of any trading system or methodology is not necessarily indicative of future results. You should carefully consider whether trading is appropriate for you in light of your experience, objectives, financial resources, and other relevant circumstances.

No Performance Guarantees
While this indicator is designed to identify high-probability setups based on historical analysis, there is no guarantee of profitable results. Market conditions change, and what worked in backtesting may not work in live trading. Due to the leveraged nature of futures trading, losses can significantly exceed your initial investment.

Use at Your Own Risk
All trading decisions made based on this indicator are your sole responsibility. The author assumes no responsibility for your trading results, losses, or any damages resulting from the use of this indicator. Always use proper risk management and never risk more than you can afford to lose.

Backtesting vs. Live Trading
Results generated from backtesting may not reflect actual trading performance due to factors including but not limited to: slippage, commissions, market liquidity, emotional decision-making, and differences between historical and real-time data.

Not a Guarantee of Accuracy
While efforts have been made to ensure the indicator functions as described, no software is perfect. You are responsible for verifying the indicator's calculations and outputs before making any trading decisions.

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Additional Features & Enhancements

VWAP Alignment Filter
Volume Weighted Average Price calculation anchored to session/day/week/month with customizable sources. Serves as directional bias filter - bullish setups strengthened above VWAP, bearish below VWAP. Helps avoid counter-trend trades during strong directional moves.

HTF Market State Filter
Dual EMAs (20/50 period on 15-minute) determine overall market direction. Analyzes whether EMAs are trending (diverging) or ranging (converging within 10 points). Filters breakouts in choppy conditions where ORB breaks may be less reliable.

Fair Value Gap Detection
Automatically identifies price inefficiencies - bullish FVG (candle low above previous high) or bearish FVG (candle high below previous low). Displays up to 50 FVG boxes, filters filled gaps. Works with ORB levels as high-probability entry zones.

Break and Retest Logic
Tracks break-and-retest patterns using 10-bar lookback. Identifies when price breaks and pulls back to retest key levels. Combined with volume + HTF alignment creates multi-layered validation.

EMA Confirmation System
Three EMAs (8, 13, 21) provide trend confirmation. Alignment with ORB direction + HTF bias adds confluence. Helps identify pullback entry zones - pullback to EMA 8/13 provides lower-risk entries.

Session Reference Levels
Tracks Previous Day High/Low (PDH/PDL) and London Session High/Low (LSH/LSL) as support/resistance. Session extremes act as magnets/barriers for ORB breakouts, adding context when aligned.

1-Minute Confirmations
Optional micro-structure patterns: 1M Engulfing (candle engulfs ORB), 1M Inside Bar (consolidation at ORB), 1M 3-Bar (test patterns). Helps time precise entries.

Enhanced Visuals
- ORB Midline: 50% reference
- Entry Lines: 10.5pt pullback zones (white)
- Limit Lines: 5.5pt tighter entries (orange)
- 50%/100% Deviation Lines: Expansion zones (blue/purple)
- Large Breakout Markers: Volume-confirmed breaks
- 30-Day Historical ORB levels

How Components Work Together
Multi-factor confirmation system:
1. Time: 8:45-9:30 AM ET
2. ORB break + volume (large marker)
3. HTF trending (not ranging)
4. VWAP alignment
5. FVG context
6. Entry: Direct/5.5pt/10.5pt pullback
7. EMAs guide pullback timing

Skip when:
- Breakout vs VWAP (counter-trend)
- No volume surge (weak)
- HTF ranging (choppy)
- Extreme volatility (reduce size)

Key Settings

VWAP: Source (H+L+C)/3, Anchor (Session/Day/Week/Month)
HTF: 15min timeframe, EMA 20/50, 10pt ranging threshold
FVG: Max 50 boxes, remove filled, color customizable
Breakout: 100pt marker distance, 10-bar retest lookback
Session Levels: PDH/PDL, LSH/LSL (08:00-11:00)
EMAs: 8/13/21 lengths, customizable colors/width
Dashboard: 1H/4H EMA200 status, compact modes
Visuals: Midline, entry lines, deviation lines, 30-day history

Updated Defaults:
- Volume: 20-period, 1.5x multiplier (was 12, 1.2x)
- Stops: 30-70pt caps (was 35-75pt)
- Entry 2: 10.5pt offset (was 11.0pt)

Usage Workflow

Pre-Market:
- Check PDH/PDL proximity
- Review 1H/4H EMA200 status
- Note 10-day avg ORB

Formation (8:30-8:45):
- Watch VWAP position
- Check HTF EMA status

Breakout (8:45-9:30):
- Large marker = volume confirmed
- HTF trending, not ranging
- VWAP aligned
- FVG present
- Break-retest pattern
- Select entry: Direct/5.5pt/10.5pt
- Use EMAs for pullback timing

Management:
- EMA alignment adds confidence
- Deviation lines for scaling
- Trail with EMA 8/13

Avoid:
- Small marker only (no volume)
- Against VWAP
- HTF ranging
- No retest (if conservative)
- Ignoring volatility alerts

What Makes This Original
Comprehensive filtering: Volume + VWAP + HTF + FVG + Break-Retest + EMAs + Session levels. Each component serves as additional filter to distinguish quality setups. All toggleable - use as many/few as fits your style. System adapts while validating through multiple independent factors.