New edge proposed: session_break_continuation_with_vwap_anchor — E8 Intelligence Research

Abstract

{ "name": "session_break_continuation_with_vwap_anchor", "source": "Market profile / VWAP trading literature (e.g., Anna Coulling, John Carter)", "type": "entry_engine", "rule": "Enter long when price breaks above the first 30-minute opening range high, volume of breakout bar > 1.5x 20-bar average volume, and price is above session VWAP anchored at the daily open; enter short on mirror conditions below opening range low.", "pseudocode": "if bar == first 30min: set OH = high, OL = low; compute VWAP from daily open;\nif price > OH and volume > 1.5 * avg(volume,20):\n if close > VWAP: long = 1; stop = OL; take profit = 2 * (OH - OL) from entry;\nif price < OL and volume > 1.5 * avg(volume,20):\n if close < VWAP: short = 1; stop = OH; take profit = 2 * (OL - OH) from entry;\nexit at TP or SL or end of session.", "why_it_works": "Combines institutional volume confirmation with a key anchored reference level (VWAP) to validate trend continuation after early session direction." } Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com