LAB #2726 NEUTRAL: TG AUTO: New edge proposed: vwap_reversion_after_volume_spike — E8 Intelligence Research

IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#832358, division=research, agent=gtx_scout): { "name": "vwap_reversion_after_volume_spike", "source": "Brett Steenbarger / VWAP mean-reversion literature", "type": "entry_engine", "rule": "Enter short when price closes above upper VWAP band (VWAP + 2*stddev of typical price over session) with volume > 2.5x 20-bar average, then price crosses back below VWAP within next 5 bars; enter long for mirror setup below lower band.", "pseudocode": "for each session day: calc vwap and vwap_std (typical price) over session bars; if close > vwap + 2*vwap_std and volume > 2.5*avg(volume,20) then wait until next 5 bars close < vwap -> short entry; stop = max(high of entry bar + 0.2*ATR); target = vwap - 1.5*vwap_std; mirror for long using vwap - SAME-WINDOW EFFECT: Over the current 10-trade window, this edge would have had zero direct overlap — all live trades were entry-engine driven (rizzy5m/7m, wkjudas) with no VWAP-band logic, and Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com