Click here to Login








Breakaway Gaps

by Patrick Fonce, 5559 days ago
Share |






This is a simple advanced rule that detects UP and DOWN breakaway gaps.
A Gap occurs when the security low price of the current bar is higher than the high price of the previous bar (GAP UP) or if the security high price of the current bar is lower than the low price of the previous bar (GAP DOWN). In a bar or candlestick chart, gaps look like a blank space between two bars. A 'GAP UP' can be detected using the following QuantShare formula: GapUP(), or using the following rule: low > ref(high, 1).

There are different types of gaps: Common Gaps, Breakaway Gaps, Continuation Gaps...

The breakaway gap occurs when a security breaks support and resistance levels or breaks out of a trading range. This is generally a strong signal and it indicates that there is a great chance that the security will continue to move in the direction of the break. The signal is bullish if there is an "GAP UP" and bearish for a "GAP DOWN".

I have back-tested the 'GAP UP' rule without using volume filters and got good results for shorter holding period. The shorter the holding period is, the better results I got.
Using a volume filter, I have found that the higher the volume on the GAP day comparing to the average volume of the last X bars, the better the output is. (And of course the less the number of trades is).

NB: Simulations of advanced rules consume much more time than for the traditional rules, especially if some rules, such as the (_belowline), are included.
Several optimizations can be done to the current rule. As an example, the gap ratio, or how far is the high price relative to the last bar low price (GAP DOWN), could be optimized. Currently a ratio of 1.01 is used for the (GAP UP) and 0.99 for the (GAP DOWN).


Share This ->
Share |


You have to log in to bookmark this object
What is this?




Type: List of Rules

Object ID: 177


Country:
All

Market: All

Style:
Technical Analysis

Reviews
You must log in first

Join now
and get instant access for free to the trading software, the Sharing server and the Social network website.
Click here


Related objects
Show All
How far are the close prices from the support line (by The trader, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 63 Notes Report an item
Intraday Quotes for Major Stock Exchanges (by QuantShare, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 4093 Notes Report an item
Stocks with the highest Volume Increase (by Brian Brown, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 98 Notes Report an item
Psychological Line (by srishail, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 23 Notes Report an item
VMACD Indicator (Volume Moving Average Convergence Divergence) (by srishail, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 70 Notes Report an item
Auto Support Line (by Caleb, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 40 Notes Report an item
Historical Stock Market News (by The trader, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 71 Notes Report an item
Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object

Technical Analysis


Fundamental Analysis



Random Blog Posts

How to use date components in your trading rules

Quantshare version 1.4

Programming skills are not that important

Looking for trading ideas

A vector-based language

QuantShare - review by the Stock Trading Software Reviews

Rules performance for different volatility regimes

Improve your trading system performance by ranking stocks

Show All

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object






QuantShare
Product
QuantShare
Features
Create an account
Affiliate Program
Support
Contact Us
Trading Forum
How-to Lessons
Manual
Company
About Us
Privacy
Terms of Use

Copyright © 2024 QuantShare.com
Social Media
Follow us on Facebook
Twitter Follow us on Twitter
Google+
Follow us on Google+
RSS Trading Items



Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.