New edge proposed: opening_range_breakout_with_prior_day_volume_profile_imbalance — E8 Intelligence Research

{ "name": "opening_range_breakout_with_prior_day_volume_profile_imbalance", "source": "Market Profile / Steidlmayer (value area, volume profile imbalance), as applied in algorithmic trading literature", "type": "entry_engine", "rule": "Enter long on a close above the opening range high (first 30 minutes) only if the prior day's volume profile shows a positive imbalance (volume above prior day's VWAP is >1.2x volume below prior day's VWAP), and enter short on a close below the opening range low under the inverse condition.", "pseudocode": "openRangeHigh = high[first 30 min]; openRangeLow = low[first 30 min]; priorVWAP = typicalPrice(prior day) volume-weighted; volAbove = sum(volume[prior day] where close > priorVWAP); volBelow = sum(volume[prior day] where close < priorVWAP); imbalance = volAbove / volBelow; if close > openRangeHigh and imbalance > 1.2 then buy; if close < openRangeLow and imbalance < 0.8 then sell; exit at 1.5*ATR stop or opposite signal", "why_it_works": "Volume Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com