New edge proposed: opening_range_breakout_with_prior_day_volume_profile_poc_reclaim — E8 Intelligence Research

{ "name": "opening_range_breakout_with_prior_day_volume_profile_poc_reclaim", "source": "Volume Profile / Market Profile (Steidlmayer, Dalton)", "type": "filter_flag", "rule": "Only take long entry if price breaks above 20-minute opening range high AND the prior day's volume-weighted average price (VWAP) is below the opening range low; only take short entry if price breaks below opening range low AND prior day's VWAP is above opening range high.", "pseudocode": "if time==09:30: calculate OR_high, OR_low from first 4 bars;\nprior_VWAP = sum(typical_price*volume)/sum(volume) of prior day;\nif close > OR_high and prior_VWAP < OR_low: signal = long;\nif close < OR_low and prior_VWAP > OR_high: signal = short;\nelse no signal;\nreturn signal;", "why_it_works": "Prior day's VWAP acts as a major institutional anchor, and breaking the opening range in the opposite direction of that anchor filters out false breakouts that are simply mean-reverting to the prior day's average price." } Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com