LAB #1893 PROMISING: TG AUTO: New edge proposed: volume_weighted_average_price_deviation_reversion — E8 Intelligence Research

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Authors

Publication Details

Journal
Zenodo (CERN European Organization for Nuclear Research)
Published
2026-09-06
DOI
https://doi.org/10.5281/zenodo.22472120
Primary Topic
Intellectual Property and Patents
Type
preprint
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preprint

LAB #1893 PROMISING: TG AUTO: New edge proposed: volume_weighted_average_price_deviation_reversion — E8 Intelligence Research

Andrew Stewart Caldin
Zenodo (CERN European Organization for Nuclear Research)
Intellectual Property and Patents
preprint

LAB #1893 PROMISING: TG AUTO: New edge proposed: volume_weighted_average_price_deviation_reversion — E8 Intelligence Research

Andrew Stewart Caldin
preprint en

Abstract

IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#743624, division=research, agent=gtx_scout): { "name": "volume_weighted_average_price_deviation_reversion", "source": "Market profile / VWAP literature (e.g., Dalton, Steidlmayer)", "type": "entry_engine", "rule": "Enter short when price closes 2.0 ATR above the rolling 20-period VWAP and the next bar opens below the prior bar's low; enter long when price closes 2.0 ATR below VWAP and the next bar opens above the prior bar's high.", "pseudocode": [ "vwap = cumsum(typical_price * volume) / cumsum(volume) over 20 bars", "atr = ATR(14)", "if close > vwap + 2.0 * atr and open_next < low_prev:", " place_short_entry_at_open_next", "if close < vwap - 2.0 * atr and open_next > high_prev:", " place_long_entry_at_open_next", SAME-WINDOW EFFECT: Over the current trade window, this rule would have had zero direct impact — none of the listed trades were triggered by a 2.0 ATR VWAP deviation with the required next-bar Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com

Zenodo (CERN European Organization for Nuclear Research)
Decent work and economic growth
Intellectual Property and Patents
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