Open Interest-RSI + Funding + Fractal Divergences

The Open Interest-RSI + Funding + Fractal Divergences indicator is a multi-factor oscillator that fuses Open Interest RSI, real-time Funding Rate data, and price/OI fractal divergences to identify market exhaustion and potential mean-reversion points. By combining crowd positioning with leverage costs and price action, it highlights areas where market conviction contradicts price movement.

Usage

The script is primarily designed for liquid perpetual futures markets (e.g., BTC, ETH) where Open Interest (OI) and Funding Rate data are available. It generates BUY/SELL signals based on fractal divergences between price and the OI-RSI, which are plotted both in the indicator pane and as an overlay on the main price chart.

Users can employ the indicator to spot:

• Overcrowded Positions: High funding rates combined with rising OI-RSI suggest a crowded trade prone to exhaustion.
• Divergence Trades: When price makes a new high but the OI-RSI makes a lower high, it suggests declining conviction in the trend.
• Funding Filters: Signals can be filtered based on Funding Rate thresholds to ensure trades are only taken when leverage costs support the contrarian view.

Details

The tool utilizes several key components for its analysis:

• OI-RSI: Instead of measuring price momentum, this applies the RSI formula to Open Interest data to track the conviction behind position changes.
• Funding Rate Dynamics: The script can retrieve various metrics including raw Funding Rates, Premium Index, and Average Premium. It supports lower-timeframe aggregation (1-minute) to provide a smoother, more responsive intraday view of leverage costs.
• Fractal Logic: Divergences are calculated using a specific "Fractal period n." A signal is confirmed only after 'n' bars have passed to ensure a swing point is actually formed, preventing repainting.
• Filtering Logic: The optional Funding filter hides long signals when funding is excessively positive and short signals when funding is excessively negative, helping traders avoid fading a move that still has significant momentum.

Settings

RSI / Divergence

• RSI length: Sets the period for the Open Interest RSI calculation.
• High-OI / Low-OI level: Defines the overbought (70) and oversold (30) reference lines for the OI-RSI curve.
• Fractal period n: The number of bars required on either side of a high/low to identify a swing point.
• Fractals to compare: Determines how many previous swing points the script scans to find divergences.
• Max visible arrows: Limits the number of labels on the chart to maintain performance.

Funding Rate

• mode: Selects the data source for the funding visualization (FR, Avg Premium, Premium Index, or FR-candles).
• Visual scale (×): Multiplies raw funding data to fit within the 0-100 RSI scale.
• specify symbol: Allows users to manually input a symbol if the funding data differs from the chart ticker.
• use lower tf: When enabled, the script averages 1-minute premiums for a smoother view.

Signal Filter

• Use Funding filter: Enables or disables the filtering of signals based on funding thresholds.
• BUY / SELL threshold (%): Sets the raw percentage levels (e.g., 0.01 for 0.01%) required for a signal to trigger.

FAQ

How do I interpret the OI-RSI vs Price divergence? A bullish divergence occurs when price makes a lower low but the OI-RSI makes a higher low, suggesting that selling pressure is dissipating despite lower prices. A bearish divergence occurs when price makes a higher high but the OI-RSI makes a lower high, suggesting a lack of new buyer conviction.

Why are signals delayed by a few bars? The signals rely on fractal swing points. Because a fractal requires 'n' bars to the right to be confirmed, the signal will appear 'n' bars after the actual peak or trough. This ensures the signals are non-repainting.

How can I access Open Interest-RSI + Funding + Fractal Divergences? You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.