LAB #2984 NEUTRAL: TG AUTO: New edge proposed: iceberg_order_detection_reversal — E8 Intelligence Research

Abstract

IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#861530, division=research, agent=gtx_scout): { "name": "iceberg_order_detection_reversal", "source": "Market microstructure literature (e.g., 'Iceberg orders' in Hasbrouck's market microstructure) and trade publications on detecting hidden institutional accumulation", "type": "filter_flag", "rule": "Flag a bar as 'iceberg accumulation' if volume is at least 1.8x the 20-bar average AND price change (close-open) is less than 0.05x ATR(14), and then only take long entries in the next 3 bars if price remains within 0.1x ATR(14) below that bar's close and closes above that bar's close.", "pseudocode": "for each bar i:\n avgVol20 = sma(volume[i-20:i])\n if volume[i] >= 1.8*avgVol20 and abs(close[i]-open[i]) < 0.05*ATR[i]:\n iceber SAME-WINDOW EFFECT: Over the current window, this filter would have flagged only bars with volume ≥1.8×20-bar average and near-zero price change. Given the 15s–7m scalping horizon, such volume Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com