New edge proposed: opening_range_breakout_with_volume_weighted_average_price_trend_filter_duplicate — E8 Intelligence Research

{ "name": "opening_range_breakout_with_volume_weighted_average_price_trend_filter_duplicate", "source": "Generic ORB literature (Elder, Al Brooks) with VWAP trend filter", "type": "entry_engine", "rule": "Enter long if price breaks above the first 30-minute opening range high AND close of breakout bar is above the session VWAP (which must have positive slope over last 10 bars); enter short if price breaks below opening range low AND close is below VWAP with negative VWAP slope; stop at opposite range extreme; target at 1.5x range", "pseudocode": "range_high = highest_high(first 6 bars); range_low = lowest_low(first 6 bars); vwap = cumulative_typical_price_volume / cumulative_volume; slope = (vwap[0] - vwap[10]) / 10; if close > range_high and close > vwap and slope > 0: long; if close < range_low and close < vwap and slope < 0: short; stop = range_low (long) / range_high (short); target = entry + 1.5*(range_high-range_low) (long) / entry - 1.5*(range_high-range_low) (short)", "wh Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com