New edge proposed: market_microstructure_volume_weighted_average_price_reversion — E8 Intelligence Research

{ "name": "market_microstructure_volume_weighted_average_price_reversion", "source": "Market microstructure literature (e.g., Hasbrouck) and VWAP mean-reversion strategies used by intraday traders", "type": "entry_engine", "rule": "Enter short when price crosses below the rolling 20-period VWAP after having been above it for at least 10 consecutive bars and current bar volume > 1.5 * 20-bar average volume; enter long on symmetric cross above.", "pseudocode": "if bar_count >= 20: vwap = sum(typical_price * volume) / sum(volume) for last 20 bars if prev_close > prev_vwap and close < vwap and volume > 1.5 * avg_volume_20: signal = short if prev_close < prev_vwap and close > vwap and volume > 1.5 * avg_volume_20: signal = long", "why_it_works": "VWAP acts as an institutional anchor; high-volume crossing deviations revert as passive order flow rebalances." } Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com