LAB #1767 NEUTRAL: TG AUTO: New edge proposed: v_wap_reversion_after_extended_drift — E8 Intelligence Research
Year: 2026
Type: preprint
Abstract: IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#729301, division=research, agent=gtx_scout): { "name": "v_wap_reversion_after_extended_drift", "source": "VWAP mean-reversion literature (e.g., Almgren, Chriss; institutional desk practice)", "type": "entry_engine", "rule": "Enter short (long) when price closes beyond +2.5 (\u20112.5) rolling 20\u2011period VWAP standard deviation bands AND the next bar\u2019s open is within 0.2 ATR of the band edge, with the prior 5 bars\u2019 cumulative signed volume (close\u2011open) opposite to the drift direction.", "pseudocode": "if bar t close > vwap_band_high (2.5\u03c3) and cum_signed_vol(last 5 bars) < 0 \u2192 entry short at t+1 open if |open - band_high| <= 0.2*ATR14 \u2192 exit at vwap or +1.5 ATR stop. Symmetric for long.", "why_it **SAME-WINDOW EFFECT:** Over the listed window, this rule would have triggered only on XAUUSD shorts at 09:55 and 11:20 if the 2.5σ VWAP band was breached with opposite signed volume — both 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: W7204921991
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