New edge proposed: session_high_low_time_of_day_reversion — E8 Intelligence Research

{ "name": "session_high_low_time_of_day_reversion", "source": "Well-documented intraday mean-reversion effect (e.g., \"time-of-day\" reversal patterns in intraday FX, described in Larry Connors / CMT literature)", "type": "filter_flag", "rule": "If current time is within last 2 hours of a 4H bar session (i.e., 10:00-12:00 for a 10:00-14:00 bar), and price has traded beyond prior day's high or low by at least 0.25 ATR(14) but closes back inside prior day's range, then flag as high-probability reversal zone (no new entry).", "pseudocode": " bar_end_hour in {2,3} of 4H session: if high > prev_day_high + 0.25*ATR14 and close < prev_day_high: flag_reversal_long = true if low < prev_day_low - 0.25*ATR14 and close > prev_day_low: flag_reversal_short = true: flags false", "why_it_works": "Late-session reclaims of prior day extremes after false breakouts exploit liquidity sweeps and end-of-session positioning, a classic intraday mean-reversion ef Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com