New edge proposed: crabel_or_high_low_extension_fade — E8 Intelligence Research

{ "name": "crabel_or_high_low_extension_fade", "source": "Toby Crabel, 'Day Trading with Short Term Price Patterns and Opening Range Breakout' (1990); opening-range extension fade concept", "type": "entry_engine", "rule": "On 5min bars, if price breaks above (below) the first 30-minute high (low) by at least 0.25 \u00d7 ATR(14) on 5min but closes back inside the 30-minute range within the same 5min bar or the next bar, enter short (long) at the close of that re-entry bar, with stop at the extension extreme.", "pseudocode": "h30 = max(high[0:6]); l30 = min(low[0:6]); ATR = atr(14)\nif high[i] > h30 + 0.25*ATR and close[i] < h30:\n short_entry = close[i]; stop = high[i]\nelif low[i] < l30 - 0.25*ATR and close[i] > l30:\n long_entry = close[i]; stop = low[i]\n# exit at prior session close or fixed 2R target", "why_it_works": "Failed extensions beyond the early session range trap breakout traders, and mean-reversion pressure from their stops pushes price back toward the opening Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com