New edge proposed: three_day_high_low_breakout_reversal — E8 Intelligence Research

Abstract

{ "name": "three_day_high_low_breakout_reversal", "source": "Larry Williams' 'Long-Term Secrets to Short-Term Trading' (three-day high/low reversal pattern)", "type": "entry_engine", "rule": "If today's low is the lowest low of the last 3 days AND the close is above the prior day's high, go long at the close; if today's high is the highest high of the last 3 days AND the close is below the prior day's low, go short at the close. Exit on the close of the next day or when an opposite signal occurs.", "pseudocode": "// Compute yesterday and 2-day ago high/low\nprev2_high = high[2]; prev2_low = low[2];\nprev_high = high[1]; prev_low = low[1];\n// Condition: today is the lowest low of 3 days (including today)\nif low[0] < prev_low and low[0] < prev2_low and \n close[0] > prev_high:\n signal = long\nelif high[0] > prev_high and high[0] > prev2_high and \n close[0] < prev_low:\n signal = short\nelse:\n signal = none\n// Exit: close next bar (or reverse if opposite signal o Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com