LAB #4117 NEUTRAL: TG AUTO: New edge proposed: volume_weighted_average_price_band_reversion_at_deviation — E8 Intelligence Research
Year: 2026
Type: preprint
Abstract: IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#1204838, division=research, agent=gtx_scout): { "name": "volume_weighted_average_price_band_reversion_at_deviation", "source": "VWAP trading literature (e.g., 'VWAP Trading Strategies' by Brian Shannon)", "type": "filter_flag", "rule": "When price closes more than 2.0x average true range (ATR, 14-period) below the rolling session VWAP (calculated from session open), and the next bar's close returns above the VWAP minus 1.0 ATR, then allow long entry on that next bar close (only between 09:30-15:00 ET, Monday-Thursday).", "pseudocode": "if session_open != prev_session_open: reset session_vwap = session_open; cum_tpv = 0; cum_vol = 0\nupdate session_vwap = cum_tpv/cum_vol (on each bar close)\nif time in 09:30-15:00 and day in Mon-T SAME-WINDOW EFFECT: Over the listed window, this filter would have had minimal direct impact — none of the live trades (GBPUSD, NZDUSD, AUDUSD, USDJPY, XAUUSD) are explicitly long entries trig 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: W7222309784
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