LAB #3939 NEUTRAL: TG AUTO: New edge proposed: poc_reversion_after_volume_node — E8 Intelligence Research

Abstract

IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#1184300, division=research, agent=gtx_scout): { "name": "poc_reversion_after_volume_node", "source": "Market Profile / Volume Profile literature (e.g., Steidlmayer, Dalton)", "type": "filter_flag", "rule": "Flag bars where price deviates more than 1.5 times the 20-bar average true range from the rolling 20-bar volume-weighted average price and the current bar's volume is in the bottom 30th percentile of the last 20 bars, requiring a subsequent close back within 0.5 ATR of the VWAP.", "pseudocode": "vwap20 = sum(typical_price * volume) / sum(volume) over last 20 bars\ndev = (close - vwap20) / atr20\nlow_vol = volume < percentile(volume, 30, 20)\nif dev > 1.5 or dev < -1.5 and low_vol:\n flag = true until abs(close - vwap20) <= **SAME-WINDOW EFFECT:** Over the current 10-trade window, this filter would have flagged only extreme low-volume deviations from a 20-bar VWAP. None of the listed entries (all rizzy5m/7m or Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com