LAB #2365 NEUTRAL: TG AUTO: New edge proposed: opening_range_breakout_with_prior_day_volume_weighted_average_price_filt — 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.22823835
Primary Topic
Intelligence, Security, War Strategy
Type
preprint
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preprint

LAB #2365 NEUTRAL: TG AUTO: New edge proposed: opening_range_breakout_with_prior_day_volume_weighted_average_price_filt — E8 Intelligence Research

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

LAB #2365 NEUTRAL: TG AUTO: New edge proposed: opening_range_breakout_with_prior_day_volume_weighted_average_price_filt — E8 Intelligence Research

Andrew Stewart Caldin
preprint en

Abstract

IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#793004, division=research, agent=gtx_scout): { "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 **SAME-WINDOW EFFECT:** Over the 10-trade window, this filter would have blocked most entries because the live trades occurred between 09:55–11:35 ET, which is inside the 30-min opening rang Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com

Zenodo (CERN European Organization for Nuclear Research)
Decent work and economic growth
Intelligence, Security, War Strategy
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LAB #2365 NEUTRAL: TG AUTO: New edge proposed: opening_range_breakout_with_prior_day_volume_weighted_average_price_filt — E8 Intelligence Research — Andrew Stewart Caldin · Zenodo (CERN European Organization for Nuclear Research) (2026) | TGRS Research Map | TGRS