New edge proposed: volume_weighted_average_price_deviation_reversion — E8 Intelligence Research

{ "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", "exit at VWAP or after 10 bars, whichever comes first" ], "why_it_works": "Extreme deviation from volume-weighted average price is statistically overextended, and a reversal signal at the open of the next bar captures the mean-reversion snapback." } Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com