New edge proposed: prior_session_open_volume_profile_poc_reversion — E8 Intelligence Research

{ "name": "prior_session_open_volume_profile_poc_reversion", "source": "Market Profile / Volume Profile literature (Steidlmayer, Dalton)", "type": "filter_flag", "rule": "Only take long entries if current price is below the prior session's volume-weighted average price and the current bar's close is above the prior session's point-of-control price by at least 0.1 ATR, or short vice versa; else skip.", "pseudocode": "if session == new_day:\n prev_poc = argmax(volume_at_price, prev_session)\n prev_vwap = sum(typical*volume)/sum(volume, prev_session)\nif signal_long:\n pass if price < prev_vwap and close > prev_poc + 0.1*ATR\n else skip\nif signal_short:\n pass if price > prev_vwap and close < prev_poc - 0.1*ATR\n else skip", "why_it_works": "Filters entries to align with the market's prior value area, avoiding trades against the dominant volume concentration until a reclaim of the POC confirms a shift in control." }

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