New edge proposed: opening_range_breakout_with_poor_mans_volatility_squeeze — E8 Intelligence Research

{ "name": "opening_range_breakout_with_poor_mans_volatility_squeeze", "source": "Sheldon Knight / trading literature on opening range breakouts with volatility contraction", "type": "entry_engine", "rule": "If current 15-minute opening range ATR(14) is less than 0.5 * the prior day's ATR(14) (a volatility squeeze), enter on a 15-minute close above the opening range high with the 20-period EMA rising, or below the opening range low with the 20-period EMA falling; stop at the opposite side of the range, target 1.5 * range size.", "pseudocode": "\nif time == 09:45 (bar close of 15min after open):\n opening_range_high = max(high of first 15min bar)\n opening_range_low = min(low of first 15min bar)\n today_atr = ATR(14) on current 15min bars (up to now)\n prior_atr = ATR(14) on yesterday's 15min bars\n if today_atr < 0.5 * prior_atr:\n ema20 = EMA(20) on closing prices\n if close > opening_range_high and ema20 > ema20[1]:\n entry_long = close, st Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com