New edge proposed: session_open_high_low_noise_spike_reversion — E8 Intelligence Research

{ "name": "session_open_high_low_noise_spike_reversion", "source": "Larry Williams / short-term mean reversion literature", "type": "filter_flag", "rule": "If the first 30 minutes of a session has its high-low range exceed 2.5 times the average 30-minute high-low range of the previous 5 sessions, then only allow short entries below the opening range low and long entries above the opening range high after a 0.3 ATR pullback from the range edge.", "pseudocode": "if session_time == 09:30-10:00: range30 = high30 - low30 avgRange = mean(range30 of last 5 sessions) if range30 > 2.5 * avgRange: setFilter = true else: setFilter = false if setFilter: if entry == long and price > ORH: entry = wait for pullback >= 0.3*ATR from ORH if entry == short and price < ORL: entry = wait for pullback >= 0.3*ATR from ORL", "why_it_works": "Extreme initial range often indicates noise/overreaction, so waiting for a clear breakout with a pullback avoids Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com