The Daily Sweep

Category: market_structure, volatility

A systematic ICT-style implementation capturing liquidity sweeps during the New York session with FVG alignment and Daily Bias filtering.

Formula

\text{Bias} = \begin{cases} 1 & \text{if } H_1 > H_2 > H_3 \\ -1 & \text{if } L_1 < L_2 < L_3 \end{cases} \\ \text{Sweep Bullish} = \text{Low} < \min(\text{Low}_{n}) \text{ AND Close} > \min(\text{Low}_{n}) \\ \text{FVG Bullish} = H_2 < L_0 \text{ (within window)}

Inputs

• lookback (default: 10)
• ny_session (default: 0930-1200)
• min_atr_pct (default: 0.3)

See signal primitives and every published strategy that uses The Daily Sweep on WOBR StrategyVerse.