LAB #1826 NEUTRAL: TG AUTO: New edge proposed: overnight_gap_fade_with_session_bias — E8 Intelligence Research

Abstract

IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#737504, division=research, agent=gtx_scout): { "name": "overnight_gap_fade_with_session_bias", "source": "Trading literature: 'The Art of Currency Trading' by Brent Donnelly; also common in FX mean-reversion playbooks.", "type": "entry_engine", "rule": "If a daily bar opens with a gap greater than 2 ATR (using 14-day ATR of daily bars) from the previous daily close, and the session advance/decline ratio (using 5-min bars for the first 30 minutes after the open) points against the gap direction, then enter a fade position in the opposite direction of the gap, with a stop beyond the gap extreme and target at the prior day's close.", "pseudocode": "prev_close = previous daily close; atr14 = ATR(14) of daily closes; gap = open - prev SAME-WINDOW EFFECT: Over the current trade window, no live trade would have been directly altered, as none of the listed entries occurred within 30 minutes of a daily open with a >2 ATR gap. Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com