LAB #1799 NEUTRAL: TG AUTO: New edge proposed: prior_day_midpoint_gap_reversion — E8 Intelligence Research

Abstract

IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#734893, division=research, agent=gtx_scout): { "name": "prior_day_midpoint_gap_reversion", "source": "Trading literature: 'Gaps and gap fills' by Larry Pesavento / classic gap-fade studies", "type": "entry_engine", "rule": "If today's open gaps above/below prior day's midpoint by at least 0.5 ATR (of prior day), enter fade at open with stop at prior day's high/low (outside the gap side) and take profit at prior day's midpoint; if no gap, no trade.", "pseudocode": "if abs(open_today - mid_prior) >= 0.5*ATR_prior:\n if open_today > mid_prior:\n short @ open_today, stop = high_prior, target = mid_prior\n else:\n long @ open_today, stop = low_prior, target = mid_prior\nelse: no trade", "why_it_works": "Gaps beyon SAME-WINDOW EFFECT: Over the listed window, this rule would have triggered only on days where the open gapped ≥0.5 ATR from the prior midpoint. None of the listed trades (all intraday entries Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com