Alpha-Gap Momentum Continuation

Family: breakout · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Indices · Timeframes: H1, H4, D1

Thesis

Price gaps exceeding a volatility-adjusted threshold signal a liquidity vacuum that often precedes a continuation of the local trend, provided momentum is accelerating and not yet overextended.

Components

• GAS Price Levels (regime) — Establishes the structural volatility regime using Alpha factors 51 (momentum product) and 262 (CCI acceleration) to ensure trade occurs during high-probability expansion phases.
• Supported plot Input Show Last (direction) — Acts as a short-term recency filter, ensuring the local trend (last 5 bars) aligns with the entry direction to avoid 'catching knives' during gap reversals.
• MindTheGap (entry) — Provides the primary entry trigger by identifying liquidity voids (gaps) that exceed the defined threshold, signaling a sudden shift in supply/demand.
• TSI Convergence Divergence (TSI_CD) (exit) — Used for timing the exit by identifying when the strength of the move (as measured by the TSI histogram) begins to decelerate or reverse.
• Average True Range (NNFX Version) (risk) — Determines the stop loss distance and position sizing based on rolling volatility to normalize risk across different market conditions.
• Stochastic Oscillator (confirmation) — Confirms that momentum is supportive and not in an extreme 'pegged' state that might lead to immediate mean reversion post-gap.

Known failure conditions

• Immediate gap fill: If price returns to the pre-gap close within 2 candles, the continuation thesis is invalidated.
• GAS Alpha Divergence: Price moves in entry direction but Alpha 51 turns negative, indicating momentum exhaustion despite price movement.
• TSI_CD Choppiness: Frequent histogram flips (more than 3 in 10 bars) suggest a range-bound environment unsuitable for gap-continuation.

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