New edge proposed: opening_range_breakout_with_prior_day_high_low_filter — E8 Intelligence Research

Abstract

{ "name": "opening_range_breakout_with_prior_day_high_low_filter", "source": "Toby Crabel, 'Day Trading with Short Term Price Patterns and Opening Range Breakout'", "type": "entry_engine", "rule": "Enter long on a 5-minute close above the opening range high (first 30 minutes high) if the prior day's range is greater than 1.5 * 20-day average true range, and the current price is above prior day's high; enter short on a 5-minute close below opening range low if prior day's range is greater than 1.5 * ATR20 and price is below prior day's low; stop at opening range midpoint, target 1.5 * opening range size.", "pseudocode": "if bar.is_first_30_min: update OR_high/low\nif bar.5min_close > OR_high and prior_day_range > 1.5*ATR20 and close > prior_day_high:\n long_signal = true\n stop = (OR_high+OR_low)/2\n target = entry + 1.5*(OR_high-OR_low)\nif bar.5min_close < OR_low and prior_day_range > 1.5*ATR20 and close < prior_day_low:\n short_signal = true\n stop = (OR_high+OR_low)/2\n t Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com