New edge proposed: volume_weighted_average_price_deviation_reentry — E8 Intelligence Research

{ "name": "volume_weighted_average_price_deviation_reentry", "source": "Linda Raschke / Market Wizards (Larry Williams-style intraday mean reversion)", "type": "entry_engine", "rule": "Enter long when price closes below VWAP by at least 1.5 ATR(14) and the current bar's volume is at least 1.5x the 20-bar median volume, with RSI(14) below 30; enter short when price closes above VWAP by at least 1.5 ATR(14) and volume > 1.5x median with RSI above 70.", "pseudocode": "vwap = cumulative(price*volume)/cumulative(volume); atr = ATR(14); med_vol = median(volume,20); if close < vwap - 1.5*atr and volume > 1.5*med_vol and RSI(14) < 30 then buy; if close > vwap + 1.5*atr and volume > 1.5*med_vol and RSI(14) > 70 then sell; stop at opposite side VWAP 00b1 0.5 ATR; target 1:1 risk-reward", "why_it_works": "Extreme deviations from VWAP with climactic volume signal temporary exhaustion, triggering mean reversion as market makers and algorithms fade the move back toward the fair value locus." Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com