New edge proposed: gap_fade_to_vwap_with_timing — E8 Intelligence Research
- 1Independent Researcher, United Kingdom
Abstract
{ "name": "gap_fade_to_vwap_with_timing", "source": "Larry Williams' gap fade strategies", "type": "entry_engine", "rule": "Enter short at market open if price gaps above prior day high by more than 1 ATR(14), fade back below open price within first 30 minutes, and price is above 20-day VWAP; target 0.5 ATR below entry with stop at prior day high.", "pseudocode": "gapPct = (open[0] - high[1]) / ATR(14); if gapPct > 1.0 and sessionMinutes < 30 and low[0] < open[0]: entry = open[0]; stop = high[1]; target = entry - 0.5*ATR(14); exitLong? no", "why_it_works": "Exploits overreaction to overnight news when longer-term trend axis (VWAP) aligns with a snap-back due to limited liquidity in the opening auction." }
Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com
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BibTeX
@misc{caldin2026edge,
title = {{New edge proposed: gap_fade_to_vwap_with_timing — E8 Intelligence Research}},
author = {Andrew Stewart Caldin},
howpublished = {Zenodo},
year = {2026},
month = oct,
doi = {10.5281/zenodo.23465208},
url = {https://zenodo.org/records/23465208},
note = {CC BY 4.0},
}
RIS
TY - UNPB
TI - New edge proposed: gap_fade_to_vwap_with_timing — E8 Intelligence Research
AU - Andrew Stewart Caldin
PY - 2026
DA - 2026/10/19
PB - Zenodo
DO - 10.5281/zenodo.23465208
UR - https://zenodo.org/records/23465208
AB - { "name": "gap_fade_to_vwap_with_timing", "source": "Larry Williams' gap fade strategies", "type": "entry_engine", "rule": "Enter short at market open if price gaps above prior day high by more than 1 ATR(14), fade back below open price within first 30 minutes, and price is above 20-day VWAP; target 0.5 ATR below entry with stop at prior day high.", "pseudocode": "gapPct = (open[0] - high[1]) / ATR(14); if gapPct > 1.0 and sessionMinutes < 30 and low[0] < open[0]: entry = open[0]; stop = high[1]; target = entry - 0.5*ATR(14); exitLong? no", "why_it_works": "Exploits overreaction to overnight news when longer-term trend axis (VWAP) aligns with a snap-back due to limited liquidity in the opening auction." } Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com
ER -