New edge proposed: opening_range_breakout_with_vwap_alignment — E8 Intelligence Research

{ "name": "opening_range_breakout_with_vwap_alignment", "source": "Crabel, Toby (Day Trading with Short Term Price Patterns) and widely used VWAP mean-reversion/trend literature", "type": "entry_engine", "rule": "Long on 5-minute bar close above opening range high (first 30 minutes) only if price is above the day's VWAP and VWAP slope is positive over the last 12 bars; short on close below opening range low with price below VWAP and negative VWAP slope.", "pseudocode": "if bar.time >= session_start+30min and not in_position: or_high = max(high of first 6 five-min bars) or_low = min(low of first 6 five-min bars) vwap = cumulative_typical_price_volume / cumulative_volume vwap_slope = (vwap_now - vwap_12bars_ago) > 0 if close > or_high and close > vwap and vwap_slope: long_entry = true if close < or_low and close < vwap and not vwap_slope: short_entry = true", "why_it_works": "VWAP acts as a institutional benchmark; breakout in the same direction as the d Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com