Gap-Fill Mean Reversion with Trend, Volume, and RSI Filters

Summary

This intraday approach seeks reversals after gaps between the prior daily close and the current daily open. It describes a minimum gap threshold, then combines a three-candle progression, the relationship between 50- and 200-period EMAs, and an optional volume-above-average condition. Short entries additionally require an RSI reading above a threshold. ATR-based stops and targets, a dollar cap on stop distance, a trailing exit after a favorable move, and a maximum holding period are described as risk controls.

The document reports an approximately 46% win rate and a 2:1 risk-reward ratio, and claims positive backtest returns, but supplies no underlying trade count, period, costs, or equity curve in the presented text. It says the system is intended for NASDAQ on a three-minute chart and cautions that parameters may be sensitive and gaps may be infrequent. The narrative also says it trades once daily, while the source excerpt does not show a daily trade limit. These claims therefore need independent, out-of-sample validation before being treated as evidence of an edge.

Key ideas

• The setup fades an opening gap using a three-candle move toward the prior close as confirmation.
• EMA alignment filters direction, while volume confirmation is optional and RSI adds a short-side condition.
• ATR distances, a capped stop, a trailing exit, and a maximum holding period define trade management.
• The reported performance lacks enough supporting detail to establish robustness, and the document limits its stated use to NASDAQ three-minute data.

Tags

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