New edge proposed: poc_reversion_after_volume_node — E8 Intelligence Research

{ "name": "poc_reversion_after_volume_node", "source": "Market Profile / Volume Profile literature (e.g., Steidlmayer, Dalton)", "type": "filter_flag", "rule": "Flag bars where price deviates more than 1.5 times the 20-bar average true range from the rolling 20-bar volume-weighted average price and the current bar's volume is in the bottom 30th percentile of the last 20 bars, requiring a subsequent close back within 0.5 ATR of the VWAP.", "pseudocode": "vwap20 = sum(typical_price * volume) / sum(volume) over last 20 bars = (close - vwap20) / atr20_vol = volume < percentile(volume, 30, 20) dev > 1.5 or dev < -1.5 and low_vol: flag = true until abs(close - vwap20) <= 0.5 * atr20", "why_it_works": "Price extremes on low volume often lack conviction, and reversion to the volume-weighted average price is a mean-reversion tendency driven by market participants' fair value acceptance." } Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com