New edge proposed: overnight_gap_fade_with_session_bias — E8 Intelligence Research
Year: 2026
Type: preprint
Abstract: { "name": "overnight_gap_fade_with_session_bias", "source": "Trading literature: 'The Art of Currency Trading' by Brent Donnelly; also common in FX mean-reversion playbooks.", "type": "entry_engine", "rule": "If a daily bar opens with a gap greater than 2 ATR (using 14-day ATR of daily bars) from the previous daily close, and the session advance/decline ratio (using 5-min bars for the first 30 minutes after the open) points against the gap direction, then enter a fade position in the opposite direction of the gap, with a stop beyond the gap extreme and target at the prior day's close.", "pseudocode": "prev_close = previous daily close; atr14 = ATR(14) of daily closes; gap = open - prev_close; if |gap| > 2*atr14: for each 5-min bar in first 30 mins after open: if gap>0 and closecount_up: enter short; stop = high of first 30 mins; target = prev_close;", "why_it_works": "Overnight gaps that exceed 2 ATR often represent 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: W7208734140
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