LAB #1639 NEUTRAL: TG AUTO: New edge proposed: opening_range_breakout_continuation_with_prior_day_high_low_zone — E8 Intelligence Research
Year: 2026
Type: preprint
Abstract: IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#702416, division=research, agent=gtx_scout): { "name": "opening_range_breakout_continuation_with_prior_day_high_low_zone", "source": "Curtis Faith / Turtle Trading rules; also documented in Larry Harris's market microstructure literature", "type": "entry_engine", "rule": "Enter long if price breaks above the opening range high (first 60 minutes) by 0.25 ATR and the prior day's high is within 0.5 ATR above the opening range high, with volume > 1.5x 20-bar average; enter short similarly on breakdown below opening range low with prior day's low within 0.5 ATR below.", "pseudocode": "opening_range_high = highest(high, 12) # 12 five-min bars = 1 hour\nopening_range_low = lowest(low, 12)\natr20 = atr(20)\ntarget_vol = 1.5 * sma(volume SAME-WINDOW EFFECT: Over the current window, this rule would have filtered out most of the rizzy5m entries, as none of them reference prior-day high/low proximity or volume confirmation. The 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: W7204117795
Cites:
Cited by:
Related to: