GapUp — Gap Up

An open above the previous bar’s high: the market repriced between sessions and never traded the space in between. Returns +1.

Signature

GapUp(lookback, min_percent, on=<source>)

Argument	Type	Required	Notes
lookback	int Param	Yes	Pinned at 1. Bounds 1–1.
min_percent	float Param or literal	Yes	Minimum gap size in percent. 0 accepts any gap. Bounds 0.0–20.0.
on=	symbol	No	Source symbol. Defaults to the trade symbol. Reads open, high, low.

Formula

$$ \text{GapUp} = 1 \text{ when } O_t > H_{t-1} \text{ and } 100,\frac{O_t - H_{t-1}}{H_{t-1}} \ge \text{min percent} $$

Warmup

One bar of state.

Reading the value

gu.value
gu > 0

Example

class GapContinuation(Strategy):
    """Trade a gap up that holds through the session."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        gu = GapUp(1, 0.5, on=self.trade)
        sma = SMA(50, on=self.trade)
        if gu.value > 0 and self.trade.close > self.trade.open and self.trade.is_flat:
            self.buy(self.trade, reason="Gap up held")
        if self.trade.close < sma.value and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Trend lost")

Notes

• On a 24-hour session there is rarely a true gap — this is a daily-bar and cash-session tool.