LAB #4503 NEUTRAL: TG AUTO: New edge proposed: prior_day_close_distance_reversion_filter — E8 Intelligence Research
- 1Independent Researcher, United Kingdom
Abstract
IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#1275629, division=research, agent=gtx_scout):
{ "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
SAME-WINDOW EFFECT: Over the listed window, this filter would have blocked most entries, as the condition requires both a prior-day extreme dislocation (>2.0 ATR from 20-SMA) and a near-stall
Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com
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BibTeX
@misc{caldin20264503,
title = {{LAB #4503 NEUTRAL: TG AUTO: 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.23553614},
url = {https://zenodo.org/records/23553614},
note = {CC BY 4.0},
}
RIS
TY - UNPB
TI - LAB #4503 NEUTRAL: TG AUTO: 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.23553614
UR - https://zenodo.org/records/23553614
AB - IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#1275629, division=research, agent=gtx_scout): { "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 SAME-WINDOW EFFECT: Over the listed window, this filter would have blocked most entries, as the condition requires both a prior-day extreme dislocation (>2.0 ATR from 20-SMA) and a near-stall Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com
ER -