New edge proposed: keltner_squeeze_ttm_breakout — E8 Intelligence Research

{ "name": "keltner_squeeze_ttm_breakout", "source": "John Carter / TTM Squeeze (Mastering the Trade, 2005)", "type": "entry_engine", "rule": "When Bollinger Bands (20, 2.0) are entirely inside Keltner Channels (20, 1.5 ATR) on a closed bar, then take a breakout entry on the next bar in the direction of the close beyond the prior bar's BB range once the squeeze releases (BB re-expands outside KC), with stop at the opposite KC band and target 2x the squeeze-range.", "pseudocode": "bb_up, bb_dn = SMA(close,20) +/- 2*STD(close,20)\nkc_up, kc_dn = SMA(close,20) +/- 1.5*ATR(20)\nsq = (bb_up < kc_up) and (bb_dn > kc_dn)\nif sq[-1] and not sq[0]: # release bar\n if close[0] > bb_up[-1]: enter_long(stop=kc_dn[0], tp=close[0]+2*(bb_up[-1]-bb_dn[-1]))\n elif close[0] < bb_dn[-1]: enter_short(stop=kc_up[0], tp=close[0]-2*(bb_up[-1]-bb_dn[-1]))", "why_it_works": "Compression of realized volatility below an ATR-scaled envelope signals energy buildup; the first directional expansion out Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com