Up gap: today open price > previous day high price
Down gap: today open price < previous day low price
Two lines below the main chart show when gaps appear. The green line represents the size of up gaps, when it crosses zero it gives a long signal. The red line - represents the size of down gaps, when it crosses zero - short signal.
Instead of having to look between multiple charts, this simply overlays the past weeks open and close should a gap appear.
Strategy flips long / short depending of indicator signals. It could cut the position by stop loss or take profit.
- ability to set stop loss and take profit in %
- ability to set delta for gaps (if you want to filter small ones)
- ability to choose strategy type. Standart: Long Up/Short Down || Inverse: Short Up/Long Down.
Backtested on BTCPERP ( FTX ) and XBTUSD (Bitmex).
It shows a low drawdown, a small number of trades and 50% of profit for the 2020.
For example, I set high delta for down gaps to filter small ones
Strategy doesn't repaint.