StockSharp.Strategies.0129_Overnight_Gap.py

Overnight Gap Strategy (Python Version)

Overnight Gap plays the open when price gaps significantly from the prior close due to news or after-hours activity. Large gaps often retrace partially as traders digest the move.

Testing indicates an average annual return of about 124%. It performs best in the forex market.

The strategy fades excessive gaps, entering in the opposite direction shortly after the open and closing before the session ends.

Stops are based on a percentage beyond the gap extremes to manage risk if the move continues.

Details

• Entry Criteria: indicator signal
• Long/Short: Both
• Exit Criteria: stop-loss or opposite signal
• Stops: Yes, percent based
• Default Values:
  • CandleType = 15 minute
  • StopLoss = 2%
• Filters:
  • Category: Gap
  • Direction: Both
  • Indicators: Gap
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday
  • Seasonality: No
  • Neural networks: No
  • Divergence: No
  • Risk level: Medium