New edge proposed: volume_weighted_average_price_touch_and_reverse — E8 Intelligence Research

{ "name": "volume_weighted_average_price_touch_and_reverse", "source": "Brett Steenbarger / John Carter (Trading Price Action Trends)", "type": "filter_flag", "rule": "Enter reversal when price touches the 20-period VWAP (anchored at session open) with RSI(14) > 70 (long) or < 30 (short) and next bar closes back beyond the touch bar, volume > 1.5 * average over last 20 bars, and bar range > 1.5 * ATR(14).", "pseudocode": "if bar.t >= session_open and bar.t <= session_close:\n vwap = sum(typical_price * volume) / sum(volume) from session_open to current bar\n rsi14 = RSI(close, 14)\n atr14 = ATR(14)\n range = high - low\n avg_vol = SMA(volume, 20)\n if (low <= vwap <= high) and ((rsi14 > 70) or (rsi14 < 30)):\n if range > 1.5 * atr14 and volume > 1.5 * avg_vol:\n if close > high[-1] (for long) or close < low[-1] (for short):\n signal = 1 (long if rsi<30) or -1 (short if rsi>70)", "why_it_works": "VWAP acts as a magnet for institut Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com