New edge proposed: session_high_low_time_of_day_reversion — E8 Intelligence Research

@misc{caldin2026edge,
  title = {{New edge proposed: session_high_low_time_of_day_reversion — E8 Intelligence Research}},
  author = {Andrew Stewart Caldin},
  howpublished = {Zenodo},
  year = {2026},
  month = oct,
  doi = {10.5281/zenodo.23553694},
  url = {https://zenodo.org/records/23553694},
  note = {CC BY 4.0},
}

TY  - UNPB
TI  - New edge proposed: session_high_low_time_of_day_reversion — E8 Intelligence Research
AU  - Andrew Stewart Caldin
PY  - 2026
DA  - 2026/10/22
PB  - Zenodo
DO  - 10.5281/zenodo.23553694
UR  - https://zenodo.org/records/23553694
AB  - { "name": "session_high_low_time_of_day_reversion", "source": "Well-documented intraday mean-reversion effect (e.g., \"time-of-day\" reversal patterns in intraday FX, described in Larry Connors / CMT literature)", "type": "filter_flag", "rule": "If current time is within last 2 hours of a 4H bar session (i.e., 10:00-12:00 for a 10:00-14:00 bar), and price has traded beyond prior day's high or low by at least 0.25 ATR(14) but closes back inside prior day's range, then flag as high-probability reversal zone (no new entry).", "pseudocode": "\nif bar_end_hour in {2,3} of 4H session:\n if high > prev_day_high + 0.25*ATR14 and close < prev_day_high:\n flag_reversal_long = true\n if low < prev_day_low - 0.25*ATR14 and close > prev_day_low:\n flag_reversal_short = true\nelse:\n flags false", "why_it_works": "Late-session reclaims of prior day extremes after false breakouts exploit liquidity sweeps and end-of-session positioning, a classic intraday mean-reversion ef  Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com
ER  -