Liquidity Sweep Entries with Rejection, Trend Filters, and ATR-Based Risk
Summary
This strategy turns liquidity sweep concepts into long and short trading rules. It flags a sweep when price moves beyond a recent high or low, then closes back inside that level with a sufficiently large move relative to ATR. Entries also require a rejection candle, with wick size and close location used to characterize rejection. Strict, balanced, and aggressive modes adjust sweep and wick thresholds, and the stricter modes require EMA slope confirmation.
Trend, prior-day bias, RSI, ADX, and a New York session window can be enabled as filters. The default trend filter compares price and fast and slow EMAs; a separate short setup can sell above the fast EMA when a sweep and bearish rejection coincide with a falling EMA slope. Stops use recent swing extremes and profit targets apply a configurable risk-reward multiple. The document provides the code and its parameter logic, but no performance results or independent validation. The discretionary labels attached to liquidity sweeps and rejection patterns therefore remain hypotheses to test across instruments and market conditions.
Key ideas
- A sweep is identified by crossing a recent high or low and closing back through that level with an ATR-scaled move.
- Rejection candles require a large wick relative to the body and a close near the opposite end of the candle.
- Entry frequency modes vary sweep and wick thresholds, while the stricter modes also require EMA slope confirmation.
- Optional daily bias, trend, RSI, ADX, and session filters can narrow the setups.
- Stops use recent highs or lows, and targets are set from the resulting risk distance.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.