FVG Crosscheck (Python Definition)

Category: market_structure

Detects Fair Value Gaps (FVG) by identifying imbalances between the high of candle i-2 and the low of candle i, with an optional ATR-based filter for significance.

Formula

Bullish Gap: Low_t > High_{t-2} \\
Bearish Gap: High_t < Low_{t-2} \\
ATR_{filter}: SMA(TrueRange, n) \\
Significance: |Gap| \ge k \cdot ATR_{filter}

Inputs

• atrLen (default: 14)
• minAtr (default: 0.25)
• useFilter (default: true)

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.