New edge proposed: schultz_double_christmas_corn_holiday_reversal — E8 Intelligence Research

{ "name": "schultz_double_christmas_corn_holiday_reversal", "source": "Larry Schultz / 'The London Financial Times Guide to Spread Betting' & Stock Trader's Almanac \u2014 'Santa Claus Rally' & 'January Effect' literature, hedge-fund folklore", "type": "filter_flag", "rule": "Between Dec 20 and Jan 5 inclusive, on the first 5-min bar where the (close of prior session - open of current session) gap is <= -0.5 * ATR(14) on the daily (down-gap into Christmas/New Year), enter long only if the entry bar closes back above the prior session close; otherwise skip all long entries.", "pseudocode": "if (month==12 and day>=20) or (month==1 and day<=5):\n d_atr = daily_ATR(14)[-1]\n gap = today_open - prior_day_close\n if gap <= -0.5 * d_atr:\n if bar_close > prior_day_close:\n return LONG_entry\n else:\n return FLAG_BLOCK_LONGS\n return FLAG_ALLOW\nelse:\n return FLAG_ALLOW", "why_it_works": "Tax-loss selling into year-end plus thin holid Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com