New edge proposed: crabel_opening_range_fade_after_volatility_contraction — E8 Intelligence Research

{ "name": "crabel_opening_range_fade_after_volatility_contraction", "source": "Toby Crabel, 'Day Trading with Short Term Price Patterns and Opening Range Breakout' (1990)", "type": "entry_engine", "rule": "On the session after a prior session whose range < 0.6 * ATR(10) of daily range, if price opens inside the prior session's range and breaks more than 0.15 * prior session range beyond the prior session extreme within the first 30 minutes, fade the breakout when price closes back inside the prior session extreme on a 5-min bar, targeting the opposite extreme.", "pseudocode": "prev_rng = high[D-1] - low[D-1]\natr10 = mean(high[-i] - low[-i]) for i in 1..10\nif prev_rng >= 0.6 * atr10: skip\nif not (low[D-1] < open[D] < high[D-1]): skip\nbreakup = high_intraday > high[D-1] + 0.15*prev_rng\nbreakdn = low_intraday < low[D-1] - 0.15*prev_rng\nif breakup and close_5m < high[D-1]: short, stop=high_intraday, tp=low[D-1]\nif breakdn and close_5m > low[D-1]: long, stop=low_intraday, tp=hig Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com