New edge proposed: opening_range_breakout_fade_with_session_volume_profile — E8 Intelligence Research

{ "name": "opening_range_breakout_fade_with_session_volume_profile", "source": "Derived from market microstructure literature on opening range volatility and volume profile imbalance (e.g., 'Volume Profile' by Steidlmayer; also known from institutional order flow concepts in 'Trading and Exchanges' by Larry Harris)", "type": "entry_engine", "rule": "In the first 30 minutes (opening range), compute the price zone containing 50% of the session's sell volume (initiated by trades at ask) and the analogous buy volume zone; if price spikes beyond the extreme of the 50% sell zone by 0.25 ATR with volume less than 20% above the prior 30-bar average, then enter a short with stop above that extreme and target at the 50% buy zone center, with time exit after 2 hours.", "pseudocode": "for each bar: if time_in_first_30min: accumulate volume per price level (tick volume), classify as buy/sell via bar direction (close>open => buy) after first 30min and price > upper_sell_zone_extreme_50pct + Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com