New edge proposed: overnight_high_low_reversal — E8 Intelligence Research

Abstract

{ "name": "overnight_high_low_reversal", "source": "Trading the Open / George Kleinman (commodity futures) and common intraday mean-reversion literature", "type": "entry_engine", "rule": "Enter short if price at the London open (07:00 UTC) is above the prior London session's high (using 07:00-16:00 UTC sessions) by more than 0.25 ATR (14-period on current timeframe), and the first 30-minute candle after London open closes bearish; place stop at swing high of that 30-minute candle, target prior London session midpoint.", "pseudocode": "prior_session_high = highest(high, session 07:00-16:00 prev day)\nprior_session_midpoint = (prior_session_high + lowest(low, same session))/2\nif current_time == 07:00 and open_price > prior_session_high + 0.25*ATR14:\n wait for first 30-min candle close\n if close < open of that candle: # bearish close\n short_entry = close\n stop = high of that 30-min candle\n target = prior_session_midpoint\n execute short", "wh Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com