New edge proposed: opening_range_breakout_with_first_hour_close_proximity_filter — E8 Intelligence Research

{ "name": "opening_range_breakout_with_first_hour_close_proximity_filter", "source": "Linda Raschke / Larry Williams - Opening Range Breakout (ORB) refined with first-hour close proximity", "type": "filter_flag", "rule": "Only trade if at the end of the first 1-hour OHLC bar, the bar's close is within 0.25 ATR (14-period) of its high (for long) or within 0.25 ATR of its low (for short) AND the bar's range is less than 1.5 times the previous 5-bar average range.", "pseudocode": "for each 1H bar after 2 years of 5min data: if bar.time == session_start+1h: atr14 = ATR(14) on 1H bars avg_range = SMA(TR,5)[previous bar] if direction == long: close_within = (high - close) <= 0.25*atr14 if direction == short: close_within = (close - low) <= 0.25*atr14 range_ok = (high-low) <= 1.5*avg_range if close_within and range_ok: allow long/short ORB entry on next 5min bar", "why_it_works": "A first-hour close near the range extreme with contained volatility indicates true direc Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com