New edge proposed: smb_effect_session_bias_filter — E8 Intelligence Research

{ "name": "smb_effect_session_bias_filter", "source": "Binay, Donmez & Uysal (2017) 'The Impact of Macroeconomic News on the Intraday Seasonality of Gold Prices' + classic SMB/intraday-reversal studies; documented in Gold intraday seasonality research and 'Intraday Momentum' literature (Gao, Han, Li, Zhou 2018)", "type": "filter_flag", "rule": "Flag a long entry only if the current 4H bar's open timestamp hour (UTC) is in [08,12) and the prior 4H bar closed green; flag a short only if the hour is in [12,16) and prior 4H bar closed red \u2014 otherwise suppress the signal.", "pseudocode": "h = bar.timestamp.hour (UTC)\nprev_green = prev.close > prev.open\nprev_red = prev.close < prev.open\nlong_ok = (8 <= h < 12) and prev_green\nshort_ok = (12 <= h < 16) and prev_red\nif signal == LONG and not long_ok: reject\nif signal == SHORT and not short_ok: reject", "why_it_works": "Gold and FX exhibit a persistent intraday drift regime \u2014 positive momentum in the London-morning windo Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com