New edge proposed: vortex_breakout_surge_filter — E8 Intelligence Research

{ "name": "vortex_breakout_surge_filter", "source": "Welles Wilder's Average Directional Index / Vortex Indicator (Etienne Botes & Douglas Siepman, 'Vortex Indicator' Technical Analysis of Stocks & Commodities, 2010)", "type": "filter_flag", "rule": "When the 14-period Vortex Indicator's +VI line is above the -VI line and both are above 1.0, and the current bar's close is above the prior 5-bar high, allow only long entries; allow only short entries under the mirrored condition.", "pseudocode": "vi_plus = sum(abs(high - prev_low),14) / sum(abs(close - prev_close),14)\nvi_minus = sum(abs(low - prev_high),14) / sum(abs(close - prev_close),14)\nif (vi_plus > vi_minus and vi_plus > 1.0) and close > highest(high,5)[1]: long_allowed = true\nif (vi_minus > vi_plus and vi_minus > 1.0) and close < lowest(low,5)[1]: short_allowed = true\nif neither condition matched: skip bar", "why_it_works": "The Vortex Indicator measures true directional trend strength; combined with a 5-bar breakout it

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