gap-trading-strategy

To detect opening price gaps and evaluate gap-fill probability, apply ATR-based thresholds to historical time-series market data to identify gaps and assess fill likelihood within 20 bars. This outputs gap statistics for systematic decision making.

Fade-the-gap and gap-and-go strategies differ by trading against or with the opening gap direction. This skill evaluates gap-fill probability to determine which rule applies, supporting both approaches across stocks, forex, and futures intraday or weekend gap events.

Yes, you can apply gap trading strategies to weekend and Sunday forex gaps. The framework supports typical gap scenarios including Sunday and weekend gaps across assets, using ATR thresholds to detect gaps and evaluate fills within 20 bars.

To use ATR thresholds for intraday gap detection, run the strategy on your time-series price data. It calculates ATR-based thresholds to identify significant opening gaps, counts them, and assesses whether they fill within 20 bars to output actionable statistics.

Yes, this gap trading approach is integration-ready with session-profiler to contextualize gaps within market sessions and volatility. Combining them provides a framework to evaluate gap-fill probability and apply fade or go strategies with market session awareness.

A limitation of using ATR thresholds for gap-fill probability evaluation is that performance relies on historical price data patterns. While it assesses fills within 20 bars across assets, sudden volatility shifts or low-liquidity intraday gap events may impact statistical reliability.