New edge proposed: opening_range_breakout_continuation_with_prior_day_high_low_zone — E8 Intelligence Research

{ "name": "opening_range_breakout_continuation_with_prior_day_high_low_zone", "source": "Curtis Faith / Turtle Trading rules; also documented in Larry Harris's market microstructure literature", "type": "entry_engine", "rule": "Enter long if price breaks above the opening range high (first 60 minutes) by 0.25 ATR and the prior day's high is within 0.5 ATR above the opening range high, with volume > 1.5x 20-bar average; enter short similarly on breakdown below opening range low with prior day's low within 0.5 ATR below.", "pseudocode": "opening_range_high = highest(high, 12) # 12 five-min bars = 1 hour\nopening_range_low = lowest(low, 12)\natr20 = atr(20)\ntarget_vol = 1.5 * sma(volume, 20)\nif high > opening_range_high + 0.25*atr20 and volume > target_vol and abs(prior_day_high - opening_range_high) < 0.5*atr20:\n buy_at_market\nif low < opening_range_low - 0.25*atr20 and volume > target_vol and abs(prior_day_low - opening_range_low) < 0.5*atr20:\n sell_at_market", "why_it Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com