New edge proposed: aronson_interval_momentum_breakout — E8 Intelligence Research

{ "name": "aronson_interval_momentum_breakout", "source": "Andrew Aronson / 'interval momentum' tests of Mebane Faber-style time-series momentum; also Rock 'n' Roll trading of Natalia 'Natalia' \u2014 well-documented 12-week/60-day time-series momentum literature (Moskowitz, Ooi, Pedersen 2012)", "type": "entry_engine", "rule": "Enter long when close > close 64 bars ago AND close > close 128 bars ago AND current close was the highest close of the last 21 bars, on any TF in {1H,4H}; enter short on the mirrored conditions.", "pseudocode": "mom64 = close - close[64];\nmom128 = close - close[128];\nhi21 = highest(high,21);\nlo21 = lowest(low,21);\nlong = mom64>0 and mom128>0 and close==hi21;\nshort = mom64<0 and mom128<0 and close==lo21;\nreturn long, short", "why_it_works": "Time-series momentum across multiple lookbacks isolates persistent trend regimes where the most recent breakout of a 1-month extreme confirms the longer-horizon drift is still intact." } Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com