LAB #3948 NEUTRAL: TG AUTO: New edge proposed: dual_thrust_breakout_with_volume_filter — E8 Intelligence Research

Abstract

IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#1185461, division=research, agent=gtx_scout): { "name": "dual_thrust_breakout_with_volume_filter", "source": "Trading literature / Dual Thrust by Michael Chalek", "type": "entry_engine", "rule": "Entry long when price breaks above the opening range high + k1*(max(high-low, abs(high-prev_close), abs(low-prev_close)) over the lookback period), or short below opening range low - k2*(same range), with volume on the breakout bar exceeding 1.5x the 20-bar average volume.", "pseudocode": "lookback=20, k1=0.7, k2=0.7, or_high=high[first_bar_of_session], or_low=low[first_bar], range=max(high_max-low_min, max(|high_max-prev_close|), max(|low_min-prev_close|)); upper=or_high+k1*range; lower=or_low-k2*range; if close>upper and volume>1.5*avg SAME-WINDOW EFFECT: If this entry engine had been live over the current window, it would have filtered out most of the rizzy5m/7m trades (which are momentum-based, not opening-range breakout Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com