New edge proposed: markov_regime_transition_after_two_sigma_close — E8 Intelligence Research
Year: 2026
Type: preprint
Abstract: { "name": "markov_regime_transition_after_two_sigma_close", "source": "Markov switching / regime transition models (Hamilton 1989; applied to FX session regimes)", "type": "entry_engine", "rule": "When price closes beyond 2 standard deviations of a 50-bar rolling mean and the prior bar closed inside 1 sigma, enter in the direction of the close at the next bar open, with 1.5xATR(14) stop and 2R target.", "pseudocode": "sigma = std(close, 50); mu = mean(close, 50);\nz = (close - mu)/sigma;\nprev_z = (close[1] - mean(close,50)[1]) / std(close,50)[1];\nif abs(z) > 2 and abs(prev_z) < 1:\n side = sign(z)\n entry = next open\n stop = entry - side*1.5*ATR(14)\n target = entry + side*2*(entry-stop)", "why_it_works": "Regime-switching theory implies that a close leaving the quiet 1-sigma band and immediately piercing the 2-sigma boundary signals a low-probability-of-reversion state transition, so the breakout is statistically more likely to extend than mean-revert." } 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: W7224898163