GapDown — Gap Down

An open below the previous bar’s low: the market repriced downward between sessions. Returns −1.

Signature

GapDown(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

$$ \text{GapDown} = -1 \text{ when } O_t < L_{t-1} \text{ and } 100,\frac{L_{t-1} - O_t}{L_{t-1}} \ge \text{min percent} $$

Warmup

One bar of state.

Reading the value

gd.value
gd < 0

Example

class GapFade(Strategy):
    """Fade a gap down that recovers through its own open."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        gd = GapDown(1, 0.5, on=self.trade)
        sma = SMA(200, on=self.trade)
        if gd.value < 0 and self.trade.close > self.trade.open and self.trade.close > sma.value and self.trade.is_flat:
            self.buy(self.trade, reason="Gap down recovered")
        if self.trade.close < sma.value and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Trend lost")

Notes