Liquidity sweep, structure shift, fair value gap

long when time >= 09:45 and time < 11:30 and within(low < prev_low, 15) and close > prev_low and low > prev(high, 2) and close > prev(highest(high, 15)); short when time >= 09:45 and time < 11:30 and within(high > prev_high, 15) and close < prev_high and high < prev(low, 2) and close < prev(lowest(low, 15)); target +0.4%; stop -0.2%; exit at 12:00; size fraction 0.5; max 1 per ticker/day

Results

Main figures are after costs; the grey line under each is the same strategy with zero slippage and commission.

By market regime

After-cost daily returns by market regime. Labels use only information up to the prior close. An edge that lives in one regime is a bet on that regime continuing.

Cost sensitivity

Before costs the average trade made +0.58 bps. It breaks even at about 0.29 bps slippage per side; this run assumed 1 bps. The rows below re-run the same signals at other slippage levels.

Equity curve

Drawdown (after costs)

Per ticker

Run details

Run

20261020-225558-liquidity-sweep-structure-shift-fvg

Tickers

SPY, QQQ

Date range

2016-01-04 – 2022-08-31

Bar size

1m

Starting capital

$100,000.00

Position size

50% of equity

Execution

next open fills; up to 2 position(s), 1 per ticker; flat by 15:55

Costs

1 bps slippage per side, $0/share commission

Code

0ffbedb25f

Exit reasons

stop: 488, exit at: 416, target: 225

Signals

2,488 total, 994 ignored (no room), 0 too small, 0 long/short conflicts, 365 blocked by risk limits

Trade log

Also saved as trades.csv.

The chart links open each trade on a price chart when this report is viewed through the website (python run.py).