LAB #1857 NEUTRAL: TG AUTO: New edge proposed: market_microstructure_volume_weighted_average_price_reversion — E8 Intelligence Research
Year: 2026
Type: preprint
Abstract: IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#740545, division=research, agent=gtx_scout): { "name": "market_microstructure_volume_weighted_average_price_reversion", "source": "Market microstructure literature (e.g., Hasbrouck) and VWAP mean-reversion strategies used by intraday traders", "type": "entry_engine", "rule": "Enter short when price crosses below the rolling 20-period VWAP after having been above it for at least 10 consecutive bars and current bar volume > 1.5 * 20-bar average volume; enter long on symmetric cross above.", "pseudocode": "if bar_count >= 20:\n vwap = sum(typical_price * volume) / sum(volume) for last 20 bars\n if prev_close > prev_vwap and close < vwap and volume > 1.5 * avg_volume_20:\n signal = short\n if prev_close < prev_vwap and close > SAME-WINDOW EFFECT: Over the current live window, this rule would have triggered only on the GBPUSD SHORT at 1.34508 (price crossing below 20-bar VWAP after 10+ bars above, with volume spike). 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: W7208833864
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