Session-Based Liquidity Sweeps, Structure Shifts, and Fair Value Gaps

Summary

This intraday strategy combines pivot levels, liquidity-sweep conditions, market-structure shifts, and fair value gap checks. It looks for long or short entries during specified London or New York session windows. A bullish setup requires price to sweep below the last confirmed pivot low and reclaim it, close above the prior bar’s high, and meet the code’s bullish gap condition; bearish entries apply the inverse tests. The stop is placed at the signal bar’s low or high, and a configurable risk-reward multiple sets the target. The default swing length is 5 and the default multiple is 2.

The script specifies an initial capital and commission assumption, but the document provides no backtest performance results. Despite the title naming gold and a Nasdaq micro future, the rules contain no symbol-specific logic. Pivot confirmation depends on later bars, and results can vary with timeframe and swing length. Stops based on the full signal-bar range may be wide, so position sizing matters. The fair value gap tests are simple comparisons to bars two periods earlier, not a fuller gap-zone model.

Key ideas

• Entries require a liquidity sweep, a market-structure condition, a fair value gap test, and an allowed session.
• The strategy uses confirmed pivot highs and lows to track reference levels for sweep detection.
• Stops sit at the signal bar’s extreme, and a configurable risk-reward multiple determines the target.
• The title names gold and a Nasdaq micro future, but the script contains no instrument-specific rules.
• The document gives assumptions and implementation cautions but no backtest performance metrics.

Tags

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