New edge proposed: volume_weighted_momentum_divergence — E8 Intelligence Research

Abstract

{ "name": "volume_weighted_momentum_divergence", "source": "Larry Williams / MarketWizard known divergence principle", "type": "entry_engine", "rule": "Buy when price makes a lower low below previous 20-bar low while 20-period volume-weighted momentum (VWAP-based) makes a higher low, and sell when price makes a higher high above previous 20-bar high while volume-weighted momentum makes a lower high.", "pseudocode": "vWM = (close - vwap) * volume; momentum20 = SMA(vWM, 20); if low < lowest(low, 20)[1] and momentum20 > lowest(momentum20, 20)[1] then buy; if high > highest(high, 20)[1] and momentum20 < highest(momentum20, 20)[1] then sell;", "why_it_works": "Weighting momentum by volume filters out false divergences and captures institutional absorption at extremes." } Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com