New edge proposed: overnight_range_breakout_fade — E8 Intelligence Research

{ "name": "overnight_range_breakout_fade", "source": "Larry Williams' 'Long-Term Secrets to Short-Term Trading' - overnight range fade", "type": "entry_engine", "rule": "If the sum of the absolute open-to-high and open-to-low ranges of the first 30 minutes (or equivalent session-start period) exceeds 1.2 times the average 30-minute range over the last 5 sessions, fade the breakout beyond the 30-minute high or low using a 50% retracement of the 30-minute range as the entry trigger, with a stop at the extreme of the 30-minute range and a target at the prior day's close.", "pseudocode": "for each bar in first 30min: rng30 = (high-low) of first 30min30 = average(rng30, last 5 sessions) rng30 > 1.2 * avgRng30: upper = high of first 30min, lower = low of first 30min mid = (upper+lower)/2 if price breaks above upper then wait for pullback to mid, enter short if price breaks below lower then wait for pullback to mid, enter long stop = upper (for short) or lower Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com