New edge proposed: prior_day_close_relative_strength_continuation — E8 Intelligence Research

Abstract

{ "name": "prior_day_close_relative_strength_continuation", "source": "Trading literature / well-documented effect: close relative to prior day's range predicts next period direction in FX/gold (e.g., 'overnight gap and close strength' effect)", "type": "entry_engine", "rule": "Enter long at open of next bar if prior day's close is in top 20% of its daily range and current bar opens above prior day's high; enter short at open if prior day's close is in bottom 20% and current bar opens below prior day's low; exit after 3 bars or 1 ATR profit target.", "pseudocode": "for daily_bars in data:\n rng = high - low\n if close < low + 0.2*rng:\n bias = -1\n elif close > high - 0.2*rng:\n bias = +1\n else: skip\n next_open = next bar open\n if bias==+1 and next_open > daily_high:\n entry = next_open\n target = entry + 1*ATR(14)\n stop = entry - 1*ATR(14)\n exit after 3 bars\n if bias==-1 and next_open < daily_low:\n entry = next_open\n target = Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com