LAB #1257 NEUTRAL: TG AUTO: New edge proposed: vilas_rolling_three_sliding_return_reversal — E8 Intelligence Research
Year: 2026
Type: preprint
Abstract: IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#660763, division=research, agent=gtx_scout): { "name": "vilas_rolling_three_sliding_return_reversal", "source": "NSE India / algorithmic trading literature on rolling windows of cumulative return as mean-reversion trigger", "type": "filter_flag", "rule": "Enter short when the rolling 3-bar sum of log returns (close/close) is > +1.8 sigma above its own 20-bar mean of rolling sums, and current close is below the midpoint of the prior bar's range.", "pseudocode": "ret = log(c / c.shift(1)); roll3 = ret.rolling(3).sum(); mean20 = roll3.rolling(20).mean(); std20 = roll3.rolling(20).std(); cond1 = roll3 > (mean20 + 1.8*std20); cond2 = c < ( (h.shift(1)+l.shift(1))/2 ); entry = cond1 & cond2", "why_it_works": "Extreme short-term return **SAME-WINDOW EFFECT:** Over the current trade window, this filter would have blocked the GBPUSD LONG (wkjudas) entry at 1.32842, as the rolling 3-bar sum of log returns on GBPUSD at that ti 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: W7203891689
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