Wick Imbalance Entries with Fixed Negative Reward-to-Risk
Summary
This strategy enters after the previous candle shows a dominant wick, using ATR to require sufficient total wick size and a minimum candle body to filter dojis. An upper wick that exceeds the lower wick by the configured ratio triggers a long entry; the inverse pattern triggers a short. It allows adjustable wick thresholds and ATR length, and only signals while flat.
Exits use fixed dollar risk and reward amounts converted to price ticks for the instrument. The example defaults to a smaller profit target than stop loss, so its break-even win rate is correspondingly high. The document describes the signal rules and configurable settings but provides no backtest results or evidence that the required win rate is achievable. Outcomes may depend on instrument specifications, fees, slippage, data quality, and execution; the code includes commission and slippage assumptions, but these may not match live trading.
Key ideas
- The setup compares the previous candle’s upper and lower wicks and requires one to dominate by a configurable ratio.
- ATR filters require substantial total wick size, while a minimum body size screens out very small bodies.
- Long and short entries use opposite wick-dominance conditions and occur only when no position is open.
- Fixed dollar stop and target amounts are translated into tick distances using instrument and position values.
- A target smaller than the stop requires a high win rate to break even, and the document offers no performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.