Shorting After Two Consecutive Large Price Changes

Summary

GAVAD measures each bar's close-to-close percentage change, scales it by a configurable multiplier, and compares the result with a signal threshold. When the scaled change meets or exceeds the threshold on two consecutive bars, the script triggers a short entry, aiming to capture a correction after a strong upward move. The accompanying description says the order begins on the next bar. Long-entry logic is present only as commented-out code, so the active strategy is short-only.

The script includes a start-date filter, a time window, a contract-size input, and point-based profit and loss exits. The author describes using short chart intervals and reports more than 500 trades with small per-trade gains, while acknowledging a low percentage of profitable trades; the document does not give a full performance record or clarify how costs affect results. Thresholds and scaling require asset-specific adjustment, and the code's calendar conditions compare date components separately, which may not enforce a single chronological start boundary as intended.

Key ideas

• The trigger requires two consecutive bars whose scaled close-to-close changes meet or exceed a threshold.
• The active strategy opens short positions after the signal and uses fixed point-based profit and loss exits.
• The author suggests calibrating the threshold, multiplier, gain, and loss settings for each market.
• The description reports many trades but a low winning-trade percentage and does not provide full performance evidence.
• Date and time filters are included, though the separate date-component comparisons may not form a reliable chronological start condition.

Tags

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