New edge proposed: three_day_high_low_break_with_close_retest — E8 Intelligence Research

{ "name": "three_day_high_low_break_with_close_retest", "source": "Larry Williams' 'Long-Term Secret to Short-Term Trading'; also classic Donchian channel breakout variants", "type": "entry_engine", "rule": "Enter short when price breaks below the lowest low of the prior 3 completed daily bars by 0.25*ATR(14) and then closes back above that low; enter long symmetrically on a false break above the highest high of the prior 3 days.", "pseudocode": "for each daily bar (use on intraday only after daily close): high3 = max(high[-1], high[-2], high[-3]) low3 = min(low[-1], low[-2], low[-3]) if bar low < low3 - 0.25*ATR14 and bar close > low3: signal = short if bar high > high3 + 0.25*ATR14 and bar close < high3: signal = long", "why_it_works": "Captures the well-documented 'turtle soup' effect where stops clustered beyond recent extremes are swept, followed by a reversal as the breakout fails to attract continuation." } Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com