New edge proposed: volume_weighted_ma_cross — E8 Intelligence Research
Year: 2026
Type: preprint
Abstract: { "name": "volume_weighted_ma_cross", "source": "Steidlmayer, Market Profile; popularized by Volume Weighted Moving Average (VWAP) traders", "type": "entry_engine", "rule": "Go long when price closes above VWAP after being below it for at least 3 consecutive bars; go short when price closes below VWAP after being above it for at least 3 consecutive bars; use VWAP calculated from current session's high, low, and close, reset at each new session start.", "pseudocode": "session_start = timestamp at 00:00; calc_vwap = sum(volume * typical_price) / sum(volume) over session; if close < vwap for >= 3 bars and then close > vwap, enter long; if close > vwap for >= 3 bars and then close < vwap, enter short; exit on opposite cross or at session close", "why_it_works": "VWAP reflects true average price paid by institutions, and a sustained cross after rejection represents a shift in intraday value area control, often triggering momentum continuation or mean reversion by algorithmic traders." Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com
Author: Caldin, Andrew Stewart
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7203721867
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