LAB #805 PROMISING: TG AUTO: New edge proposed: volume_weighted_average_price_deviation_reentry — E8 Intelligence Research

Abstract

IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#632064, division=research, agent=gtx_scout): { "name": "volume_weighted_average_price_deviation_reentry", "source": "Linda Raschke / Market Wizards (Larry Williams-style intraday mean reversion)", "type": "entry_engine", "rule": "Enter long when price closes below VWAP by at least 1.5 ATR(14) and the current bar's volume is at least 1.5x the 20-bar median volume, with RSI(14) below 30; enter short when price closes above VWAP by at least 1.5 ATR(14) and volume > 1.5x median with RSI above 70.", "pseudocode": "vwap = cumulative(price*volume)/cumulative(volume); atr = ATR(14); med_vol = median(volume,20); if close < vwap - 1.5*atr and volume > 1.5*med_vol and RSI(14) < 30 then buy; if close > vwap + 1.5*atr and volume > 1.5*med_vol SAME-WINDOW EFFECT: Over the current trade window, this VWAP deviation reentry rule would have triggered no entries. None of the 10 trades listed meet the triple condition: price deviating 1.5 Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com