New edge proposed: opening_range_breakout_with_previous_week_volume_profile_poc_filter — E8 Intelligence Research

Abstract

{ "name": "opening_range_breakout_with_previous_week_volume_profile_poc_filter", "source": "Derived from Market Profile / Volume Profile concepts popularized by Steidlmayer and Dalton; commonly used by CME pit traders.", "type": "filter_flag", "rule": "Only allow long entries on the current bar if the bar's high is above the previous week's volume-weighted average price (VWAP, computed from 5-min bars) AND the current price at entry is within 0.1 * ATR(14) above the previous week's POC (price of maximum volume); symmetric for short entries below previous week's POC.", "pseudocode": "prev_week_bars = bars with timestamp in previous ISO week\nprev_week_vwap = sum(typical_price*volume)/sum(volume) over prev_week_bars\nprev_week_poc = price level where volume is maximum (bin by 0.1*ATR(14))\nif long_entry_signal and low <= prev_week_poc + 0.1*ATR and close > prev_week_vwap: allow\nif short_entry_signal and high >= prev_week_poc - 0.1*ATR and close < prev_week_vwap: allow", "why_it_wo Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com