New edge proposed: session_open_gap_fill_with_direction_bias — E8 Intelligence Research

{ "name": "session_open_gap_fill_with_direction_bias", "source": "Toby Crabel - Day Trading with Short Term Price Patterns and Opening Range Breakout (ORB) literature", "type": "entry_engine", "rule": "At the start of a new trading session, if the open gaps above the previous session's high by at least 0.3*ATR(14), then enter short at the open if the first 30-minute price action fails to make a new high above the open + 0.1*ATR(14); exit when price fills the gap to the previous session's high.", "pseudocode": "if session_open > prev_session_high + 0.3*ATR14: high_30 = highest(high, 30min) if high_30 <= session_open + 0.1*ATR14: entry = session_open stop = session_open + 0.1*ATR14 target = prev_session_high # gap fill trade = short else: no_trade", "why_it_works": "Gaps above prior highs often represent overextension, and the failure to extend within the first 30 minutes signals exhaustion and reversion to fill the gap, a classic mean-reversion e Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com