ES Five-Minute Fair Value Gap Short Strategy with ATR Exits

Summary

This short-only strategy is intended for five-minute E-mini S&P futures charts. It identifies a bullish fair value gap when the first candle’s high is below the third candle’s low, then requires the third candle to close below its open. A trade is allowed only when 14-period ATR is at least 2, and the strategy permits only one open position at a time.

The profit target is ATR rounded down to the nearest 0.5, while the stop distance is 1.5 times that target. The document provides the entry and exit rules but no backtest period, performance statistics, or evidence of profitability. Its constraints are specific to a short setup and the stated instrument and timeframe; the ATR threshold and gap definition may behave differently in other markets or chart intervals. Slippage, commissions, and position sizing are not evaluated in the description.

Key ideas

• A short entry requires a bullish fair value gap followed by a red third candle.
• The strategy filters out setups when 14-period ATR is below 2 and allows only one position at a time.
• The target equals ATR rounded down to the nearest 0.5, and the stop distance is 1.5 times the target.
• No performance results are supplied, and the rules are specified for five-minute E-mini S&P futures.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.