New edge proposed: session_open_20min_range_breakout_with_volume_expansion — E8 Intelligence Research

{ "name": "session_open_20min_range_breakout_with_volume_expansion", "source": "Toby Crabel's 'Day Trading with Short Term Price Patterns and Opening Range Breakout'", "type": "entry_engine", "rule": "On any trading day, mark the first 20-minute opening range high/low as of 00:20; enter long on a 1-tick break above the range high, or short on a 1-tick break below the range low, provided the break bar volume is at least 1.5 times the 20-day average volume of that bar, and the previous day was a narrow-range day (NR7, i.e., the prior day's true range is the smallest in the last 7 sessions).", "pseudocode": "if time == 00:20: set OR_high = max(high[0:20]), OR_low = min(low[0:20])\nif time > 00:20 and bar_volume >= 1.5 * avg(volume[20-period]):\n if close > OR_high: go_long\n if close < OR_low: go_short\nif close <= OR_high and close >= OR_low: no signal\nif prior_day_true_range == min(last 7 true_ranges): valid_NR7 = true\nif not valid_NR7: no signal", "why_it_works": "After N Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com