ES Five-Minute Short Strategy Using Bullish Fair Value Gaps and ATR Exits

Summary

This ES five-minute strategy looks to short after a bullish fair value gap forms, defined as the first candle’s high being below the third candle’s low, when that third candle closes down. It filters out setups when the 14-period ATR is below the stated threshold and permits only one open trade at a time.

The profit target equals ATR rounded down to the nearest half point, while the stop distance is one and a half times that target. The document provides the entry and exit rules and example target-to-stop relationships, but no backtest results or performance analysis. The script specifies a fixed order size and initial capital, yet gives no evidence that the rules have an edge. Results may depend on instrument data, execution assumptions, and how the gap and ATR levels behave across different market conditions.

Key ideas

• A short setup requires a bullish three-candle fair value gap and a bearish third candle.
• The strategy uses a 14-period ATR filter and skips trades below the stated minimum.
• The target is ATR rounded down to the nearest half point, and the stop is one and a half times the target distance.
• Only one short position may be open at a time.
• The document specifies rules but offers no performance evidence or backtest results.

Tags

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