New edge proposed: volatility_compression_breakout_with_retest — E8 Intelligence Research

{ "name": "volatility_compression_breakout_with_retest", "source": "Tony Crabel / Opening Range Volatility Expansion (classic short-term trading literature)", "type": "entry_engine", "rule": "Enter long when the current 5-minute bar closes above the high of the prior 12 bars, provided the prior 12-bar range is less than 0.5 times the average 12-bar range of the last 20 such windows; stop at recent swing low, target 1.5x initial risk.", "pseudocode": "for each bar i: \n window = bars[i-12..i-1]\n avg_range = mean(high-low over last 20 windows)\n if (max(high)-min(low) < 0.5*avg_range):\n if close[i] > max(high):\n entry = close[i]\n stop = min(low over window)\n target = entry + 1.5*(entry-stop)\n signal at next bar open", "why_it_works": "Extreme volatility compression precedes explosive directional moves as passive orders accumulate, and a retest of the breakout level (implied by stop placement) filters false breakouts." } Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com