New edge proposed: tick_rule_bvp_trend_confirm — E8 Intelligence Research
Year: 2026
Type: preprint
Abstract: { "name": "tick_rule_bvp_trend_confirm", "source": "Easley, Lopez de Prado, O'Hara 'The Volume Clock' / Bulk Volume Classification literature", "type": "filter_flag", "rule": "For a long trade, require cumulative signed-volume proxy BVP = sum(sign(close-open) * volume) over the prior 20 bars to be positive AND the current bar's |close-open| bar direction to agree with the 20-bar sign; for shorts, require both negative.", "pseudocode": "bvp = sum( sign(close[i]-open[i]) * volume[i] for i in last 20 bars )\nbar_dir = sign(close[now]-open[now])\nif side=='long':\n allow = (bvp > 0) and (bar_dir > 0)\nelif side=='short':\n allow = (bvp < 0) and (bar_dir < 0)\nreturn allow", "why_it_works": "Aggregated bar-direction-weighted volume approximates net taker order-flow imbalance, so requiring trend agreement filters entries against hidden supply/demand pressure that price alone cannot reveal." } 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: W7224998005