Trading Liquidity Sweeps with Trend, Session, and Daily Risk Filters
Summary
This intraday strategy identifies recent pivot highs and lows, then treats a move beyond a swing level that closes back inside it as a liquidity sweep. Long setups require a sweep below a swing low while price is above a 200-period EMA; short setups require a sweep above a swing high while price is below the EMA. Entries are restricted to a specified session, with a daily cap on trades and a daily loss threshold.
The script sizes positions at a base quantity and doubles it after daily profit passes a threshold. It places a stop at the swept swing level and splits exits between a nearer target and a farther target, with the latter also using the stop. These are described as prop-firm-style controls, but the document gives no backtest results, execution assumptions, or evidence that the setup has an edge. Session times, pivot confirmation delay, contract sizing, and the equity-based daily controls all affect how it behaves in practice.
Key ideas
- A sweep is defined as price crossing a stored pivot level and closing back beyond that level toward the prior range.
- Long and short signals are filtered by price position relative to a 200-period EMA.
- Trades are allowed only during a configured session and subject to daily trade-count and loss thresholds.
- The strategy places a stop at the relevant swing level and divides exits between two profit targets.
- Position size increases after daily profit crosses a specified threshold, adding exposure after gains.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.