Trading Fair Value Gap Breakouts with Volume Confirmation

Summary

This strategy identifies bullish and bearish fair value gaps (FVGs), then marks gaps beyond a recent price range as breakout zones. It enters long or short when an FVG forms and current volume exceeds its moving average by a configurable threshold. The script sets percentage-based stop-loss and take-profit exits and includes calculations for margin and certain sell-side fees. Optional chart boxes and lines show breakout gaps and potential mitigation levels.

The document provides the rules and adjustable inputs, but no backtest results or evidence that the signals are profitable. Its fee and margin calculations should be interpreted cautiously: although the script defines these values, it does not clearly apply them to strategy performance. The described setup is therefore a rule-based example to evaluate across instruments, timeframes, and realistic trading costs, rather than evidence of a reliable trading edge.

Key ideas

• The strategy defines bullish and bearish FVGs using price relationships across three bars.
• A gap qualifies as a breakout when it lies beyond a recent high or low range.
• Entries require volume to exceed a configurable multiple of its recent average.
• Long and short positions use adjustable percentage stop-loss and take-profit levels.
• The document offers no performance results, and its stated fee calculations may not be reflected in backtest outcomes.

Tags

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