New edge proposed: volume_weighted_moving_average_deviation_mean_reversion — E8 Intelligence Research

{ "name": "volume_weighted_moving_average_deviation_mean_reversion", "source": "Traders: Linda Raschke, Mark Fisher; academic: AQR, Avellaneda-Stoikov microstructural models", "type": "entry_engine", "rule": "Enter short when closing price falls below VWAP and the cumulative distance below VWAP over the last 36 bars exceeds 2.0 standard deviations of the same rolling distance, and the most recent bar's wick retraces at least 30% back toward VWAP.", "pseudocode": "vwap = sum(volume*price)/sum(volume) over last 36 bars\ndev = (close - vwap) / stdev(close - vwap, 36)\nif close < vwap and dev < -2.0 and max(high - close, close - low) / (high - low) < 0.7 then\ntrigger_entry = True", "why_it_works": "Extreme negative VWAP deviations price mean reversion pullbacks from institutional execution anchoring." } Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com