New edge proposed: prior_day_close_distance_reversion_filter — E8 Intelligence Research

@misc{caldin2026edge,
  title = {{New edge proposed: prior_day_close_distance_reversion_filter — E8 Intelligence Research}},
  author = {Andrew Stewart Caldin},
  howpublished = {Zenodo},
  year = {2026},
  month = oct,
  doi = {10.5281/zenodo.23553612},
  url = {https://zenodo.org/records/23553612},
  note = {CC BY 4.0},
}

TY  - UNPB
TI  - New edge proposed: prior_day_close_distance_reversion_filter — E8 Intelligence Research
AU  - Andrew Stewart Caldin
PY  - 2026
DA  - 2026/10/22
PB  - Zenodo
DO  - 10.5281/zenodo.23553612
UR  - https://zenodo.org/records/23553612
AB  - { "name": "prior_day_close_distance_reversion_filter", "source": "Mean-reversion literature / Larry Connors & Cesar Alvarez (Short-Term Trading Strategies That Work)", "type": "filter_flag", "rule": "Enter only when current price is within 0.1 ATR (14-period) above or below prior day's close, and the prior day's close was beyond 2.0 ATR from its 20-day moving average (using ATR of prior day).", "pseudocode": "atr14 = ATR(14); prior_close = close[1]; prior_atr = ATR(14)[1]; sma20_close = SMA(close,20)[1]; dist_from_sma = abs(prior_close - sma20_close) / prior_atr; current_dist = abs(close - prior_close) / atr14; if (current_dist <= 0.1 AND dist_from_sma > 2.0) then filter=true;", "why_it_works": "Extreme prior-day dislocation from its 20-day mean followed by a stall near prior close suggests fading the extended move is statistically favored based on short-term reversion studies." }  Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com
ER  -