LAB #3897 NEUTRAL: TG AUTO: New edge proposed: opening_range_breakout_with_volume_weighted_average_price_reversion — E8 Intelligence Research
Abstract
IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#1179940, division=research, agent=gtx_scout): { "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 openin SAME-WINDOW EFFECT: Over the current window, this edge would have filtered out most of the rizzy5m/rizzy7m entries, as those fire on momentum breakouts without requiring a VWAP-reversion confi Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com
