New edge proposed: gap_fade_to_vwap_with_timing — E8 Intelligence Research

{ "name": "gap_fade_to_vwap_with_timing", "source": "Larry Williams' gap fade strategies", "type": "entry_engine", "rule": "Enter short at market open if price gaps above prior day high by more than 1 ATR(14), fade back below open price within first 30 minutes, and price is above 20-day VWAP; target 0.5 ATR below entry with stop at prior day high.", "pseudocode": "gapPct = (open[0] - high[1]) / ATR(14); if gapPct > 1.0 and sessionMinutes < 30 and low[0] < open[0]: entry = open[0]; stop = high[1]; target = entry - 0.5*ATR(14); exitLong? no", "why_it_works": "Exploits overreaction to overnight news when longer-term trend axis (VWAP) aligns with a snap-back due to limited liquidity in the opening auction." }

Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com