New edge proposed: opening_range_breakout_after_quiet_auction — E8 Intelligence Research

{ "name": "opening_range_breakout_after_quiet_auction", "source": "Market Profile / Steidlmayer; also described in Peter Steidlmayer's 'Markets & Market Logic' (opening range as failed auction when narrow and low volume)", "type": "entry_engine", "rule": "If the first 30 minutes after the daily open have range < 0.5 * prior day's ATR(14) and total volume < 0.3 * average volume of the first 30 minutes over the last 10 days, then enter long on a break above the 30-minute high with a stop at the 30-minute low and exit at 2 * the 30-minute range, or enter short on a break below the 30-minute low with a stop at the 30-minute high and exit at 2 * the 30-minute range.", "pseudocode": "atr14 = ATR(14) of prior day; open_range = high_30min - low_30min; if open_range < 0.5 * atr14 and vol_30min < 0.3 * avg_vol_30min_last10days: long_entry = high_30min; stop = low_30min; target = long_entry + 2 * open_range; short_entry = low_30min; stop = high_30min; target = short_entry - 2 * open_range; e Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com