New edge proposed: baldwin_volatility_breakout_momentum_entry — E8 Intelligence Research

{ "name": "baldwin_volatility_breakout_momentum_entry", "source": "Balducci/Baldwin volatility-breakout momentum effect documented in CMT literature (Kaufman, Trading Systems and Methods) \u2014 buying when a short EMA of true range is transitioning from low to rising while price breaks recent range", "type": "entry_engine", "rule": "Enter long when close > highest high of prior 5 bars AND current true range > 1.5 \u00d7 10-bar mean true range AND 10-bar mean true range > its value 3 bars ago (expanding volatility) AND close > SMA50.", "pseudocode": "tr = max(h-l, |h-pc|, |l-pc|)\nma_tr = sma(tr, 10)\nif close > highest(high[1], 5) and tr > 1.5*ma_tr and ma_tr > ma_tr[3] and close > sma(close,50):\n enter_long(at close)\n stop = min(low[1], close - 1.5*ma_tr)\n target = close + 2*(close - stop)", "why_it_works": "Volatility expansion paired with a fresh range breakout captures the moment short-term momentum aligns with a regime shift from quiet to active, a historically Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com