New edge proposed: opening_range_breakout_with_volume_weighted_average_price_reclaim — E8 Intelligence Research

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Authors

Publication Details

Journal
Zenodo (CERN European Organization for Nuclear Research)
Published
2026-09-18
DOI
https://doi.org/10.5281/zenodo.22823918
Primary Topic
Competitive and Knowledge Intelligence
Type
preprint
Controls
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preprint

New edge proposed: opening_range_breakout_with_volume_weighted_average_price_reclaim — E8 Intelligence Research

Andrew Stewart Caldin
Zenodo (CERN European Organization for Nuclear Research)
Competitive and Knowledge Intelligence
preprint

New edge proposed: opening_range_breakout_with_volume_weighted_average_price_reclaim — E8 Intelligence Research

Andrew Stewart Caldin
preprint en

Abstract

{ "name": "opening_range_breakout_with_volume_weighted_average_price_reclaim", "source": "VWAP-based mean reversion and breakout logic from Larry Williams and institutional trading literature", "type": "entry_engine", "rule": "Enter long when the 5-minute closing price breaks above the 20-period opening range high (first 20 bars of the session) and the price is above the session VWAP, with the VWAP within 1 ATR of the opening range low; enter short on the symmetric short condition.", "pseudocode": "if bar_index_in_session < 20: track session_high, session_low, session_vwap\nif bar_index_in_session >= 20:\n if close > session_high and session_vwap > opening_range_low - 1*ATR(14):\n buy_at_market\n if close < session_low and session_vwap < opening_range_high + 1*ATR(14):\n sell_at_market", "why_it_works": "Breaks of the opening range combined with VWAP alignment filter out false breakouts and capitalize on institutional order flow dominance in the direction of the trend." } Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com

Zenodo (CERN European Organization for Nuclear Research)
Competitive and Knowledge Intelligence
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New edge proposed: opening_range_breakout_with_volume_weighted_average_price_reclaim — E8 Intelligence Research — Andrew Stewart Caldin · Zenodo (CERN European Organization for Nuclear Research) (2026) | TGRS Research Map | TGRS