LAB #1111 NEUTRAL: TG AUTO: New edge proposed: volume_weighted_ma_cross — E8 Intelligence Research

Abstract

IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#652197, division=research, agent=gtx_scout): { "name": "volume_weighted_ma_cross", "source": "Steidlmayer, Market Profile; popularized by Volume Weighted Moving Average (VWAP) traders", "type": "entry_engine", "rule": "Go long when price closes above VWAP after being below it for at least 3 consecutive bars; go short when price closes below VWAP after being above it for at least 3 consecutive bars; use VWAP calculated from current session's high, low, and close, reset at each new session start.", "pseudocode": "session_start = timestamp at 00:00; calc_vwap = sum(volume * typical_price) / sum(volume) over session; if close < vwap for >= 3 bars and then close > vwap, enter long; if close > vwap for >= 3 bars and then close < vwap, SAME-WINDOW EFFECT: Over the current trade window, this rule would have triggered no entries because none of the listed pairs show a clean 3-bar rejection of VWAP followed by a cross within th Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com