New edge proposed: session_open_gap_fill_after_three_minute_fade — E8 Intelligence Research

{ "name": "session_open_gap_fill_after_three_minute_fade", "source": "Market Profile / auction market theory (Steidlmayer, Dalton)", "type": "entry_engine", "rule": "If the current bar's open is more than 1.0 ATR(14) away from the prior day's close (gap), and within the first 3 bars of the session the price moves at least 0.5 ATR(14) against the gap direction (fade), enter on the next bar's open in the direction of filling the gap (towards prior close) with a stop at the extreme of the fade and a target at the prior day's close.", "pseudocode": "if bars_since_session_start == 0: gap = abs(open - prior_close); if gap > 1 * ATR14: record_session_open = open; active_gap = sign(prior_close - open); if bars_since_session_start <= 2 and active_gap and high/low moved against gap by >= 0.5 * ATR14: enter next bar open in gap_fill_direction; stop = extreme of fade; target = prior_close;", "why_it_works": "Large gaps often overextend beyond fair value; the initial fade represents unbalance Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com