New edge proposed: range_expansion_index_reversion_after_volume_climax — E8 Intelligence Research

{ "name": "range_expansion_index_reversion_after_volume_climax", "source": "Toby Crabel / Richard Wyckoff (volume climax reversal)", "type": "entry_engine", "rule": "Enter short/long when the 14-period Range Expansion Index (REI) exceeds +60 or below -60, the last bar's volume is at least 2.5 times the 20-bar average volume, and the next bar's open is in the opposite direction of the prior close (e.g., if REI > +60 and prior close was near high, enter short on next bar open if price gaps or opens lower).", "pseudocode": "for each bar t:\n if REI(14) > 60 and volume[t] > 2.5 * SMA(volume,20)[t] and close[t] > open[t] and low[t] > low[t-1] and open[t+1] < close[t]:\n signal = short\n if REI(14) < -60 and volume[t] > 2.5 * SMA(volume,20)[t] and close[t] < open[t] and high[t] < high[t-1] and open[t+1] > close[t]:\n signal = long\n exit at opposite signal or after 5 bars (or stop loss = 1.5 * ATR(14))", "why_it_works": "Extreme REI readings indicate overbought/oversold moment Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com