New edge proposed: opening_range_breakout_with_volume_weighted_average_price_reversion — E8 Intelligence Research
Abstract
{ "name": "opening_range_breakout_with_volume_weighted_average_price_reversion", "source": "Trading literature: VWAP reversion strategies (e.g., 'VWAP Trading' by Brian Shannon) combined with opening range breakout (ORB) concepts", "type": "entry_engine", "rule": "Enter long when the 5-minute bar open occurs above the prior day's VWAP, the price breaks above the opening range high of the first 30 minutes, and the first hourly VWAP (calculated from the session open to 30 minutes) is below the opening range high; enter short for the symmetric condition.", "pseudocode": "for each bar after 30 minutes: \n compute session_vwap = cumulative_vwap(start_of_day, current_bar)\n compute opening_range_high = highest(high, first 6 bars of session)\n compute opening_range_low = lowest(low, first 6 bars)\n if bar closes above opening_range_high:\n if session_vwap < opening_range_high: # bullish confirmation (vwap below breakout level)\n buy at next bar open with stop at opening_rang Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com