New edge proposed: opening_range_breakout_with_gap_fill_bias — E8 Intelligence Research

Abstract

{ "name": "opening_range_breakout_with_gap_fill_bias", "source": "Larry Williams / day trading literature on gap fills", "type": "filter_flag", "rule": "Only take an opening-range (first 30 min) breakout long if price gapped down at open (open < prior day close) and the first bar's high does not exceed the prior day's high; only take short if gapped up and first bar's low does not break prior day's low.", "pseudocode": "if bar.timestamp == session_start: OR_high = high; OR_low = low; gap_up = open > prev_close; gap_down = open < prev_close\nif bar.timestamp < start + 30min: update OR_high/OR_low\nif bar.timestamp == start + 30min: valid_long = gap_down and first_bar_high <= prev_high; valid_short = gap_up and first_bar_low >= prev_low\nif valid_long and close > OR_high: signal = long\nif valid_short and close < OR_low: signal = short", "why_it_works": "Gaps against the prior day's directional bias often fade toward the previous close (gap fill), so going with a breakout that alig Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com