New edge proposed: opening_range_breakout_with_prior_day_value_area_high_low_filter — E8 Intelligence Research

Abstract

{ "name": "opening_range_breakout_with_prior_day_value_area_high_low_filter", "source": "Market Profile / Volume Profile (Steidlmayer, Dalton)", "type": "entry_engine", "rule": "Long when price breaks above the opening range high (first 30 minutes) after the prior day's value area high (VAH) if the opening range high is below prior VAH, and short when price breaks below the opening range low after the prior day's value area low (VAL) if opening range low is above prior VAL, with a stop at the opposite side of the opening range and a target at the prior day's VAH/VAL (for long/short respectively).", "pseudocode": "prior_day_bars = bars from previous day\nvalue_area = compute_volume_profile(prior_day_bars, 70%)\nVAH = value_area.high; VAL = value_area.low\nor_bars = first 6 bars of current day (30min on 5min chart)\nor_high = max(or_bars.high); or_low = min(or_bars.low)\nif current_price > or_high and or_high < VAH:\n entry = long, stop = or_low, target = VAH\nif current_price < or Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com