New edge proposed: opening_range_breakout_with_prior_day_volume_weighted_average_price_filter — 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.22823833
Primary Topic
Intelligence, Security, War Strategy
Type
preprint
Controls
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preprint

New edge proposed: opening_range_breakout_with_prior_day_volume_weighted_average_price_filter — E8 Intelligence Research

Andrew Stewart Caldin
Zenodo (CERN European Organization for Nuclear Research)
Intelligence, Security, War Strategy
preprint

New edge proposed: opening_range_breakout_with_prior_day_volume_weighted_average_price_filter — E8 Intelligence Research

Andrew Stewart Caldin
preprint en

Abstract

{ "name": "opening_range_breakout_with_prior_day_volume_weighted_average_price_filter", "source": "Derived from standard VWAP reversion logic (e.g., John Bollinger's VWAP mean reversion, or institutional desk practices) and opening range breakout concepts.", "type": "entry_engine", "rule": "Go long if the 30-minute opening range high is broken after 09:30 ET, and the prior day's VWAP (calculated from prior full session) is below the current price by at least 0.2 * ATR(14) of the prior day; go short if the mirror condition holds (break below opening range low with prior VWAP above price by 0.2 * ATR).", "pseudocode": "if bar.time >= 10:00 ET and bar.time < 16:00 ET:\n or_high = highest(high, bars_in_30min_from_open)\n or_low = lowest(low, bars_in_30min_from_open)\n prior_vwap = sum(typical_price * volume, prior_session) / sum(volume, prior_session)\n prior_atr = ATR(14) on prior session bars\n if close > or_high and prior_vwap < close - 0.2 * prior_atr: buy\n if close < or_lo Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com

Zenodo (CERN European Organization for Nuclear Research)
Intelligence, Security, War Strategy
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New edge proposed: opening_range_breakout_with_prior_day_volume_weighted_average_price_filter — E8 Intelligence Research — Andrew Stewart Caldin · Zenodo (CERN European Organization for Nuclear Research) (2026) | TGRS Research Map | TGRS