New edge proposed: vanderbilt_squeeze_breakout — E8 Intelligence Research

{ "name": "vanderbilt_squeeze_breakout", "source": "Tony Crabel / Linda Raschke - opening range volatility contraction breakout", "type": "entry_engine", "rule": "Enter long on a 5-minute bar close above the 20-period opening-range high if the prior 5-minute closing range (highest close - lowest close of last 20 bars) is below 0.4 * ATR(14) of the prior daily bar; enter short on a close below the opening-range low under the same contraction condition.", "pseudocode": "OR_high = highest(high, 20); OR_low = lowest(low, 20); range = highest(close,20) - lowest(close,20); if range < 0.4 * ATR(14)[1] and close > OR_high then long; if range < 0.4 * ATR(14)[1] and close < OR_low then short; exit on opposite signal or end of session.", "why_it_works": "Volatility contraction (squeeze) precedes expansion, and a breakout from a narrow range tends to have follow-through due to accumulated orders." } Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com