Constructing short-horizon gap and trailing-stop rules

Entry, exit, and abstention as one procedure

Short-horizon construction is written as a single coding task. The historical workflow first freezes a nested swing map, then converts the opening print into a fade, a continuation, or a stand-aside, then attaches a stop to every choice.

Editorial reading: keep the nested map, the gap codes, and the range-scaled trailing stop as one procedure so entry, exit, and abstention can be tested together.

A nested swing map that stays fixed

A nested price extreme is a high or low that is the best price over a stated lookback and then remains unbroken for a stated confirmation window. The historical workflow labels those extremes on five nested horizons: major, intermediate, minor, short-term, and session.

A major extreme is the best price over 26 calendar weeks that then holds for at least 10 calendar weeks. An intermediate extreme is the best price over 6 calendar weeks that then holds for at least 12 trading days.

A minor extreme is the best price over 12 trading days that then holds for at least 5 trading days. A short-term extreme is the best price over 5 trading days that then holds for at least 2 trading days. The session extreme is that day's high and low.

Support and resistance from the same inputs

Support and resistance are assembled from lifetime highs and lows, from a confirmed prior swing near the day's range, and from the open, high, low, and close of the current and prior day, week, and month.

Entries are written to align with every nested trend. A confirmed low becomes a long candidate once prior highs at the matching scales have been taken out.

Opening gaps as fade, continuation, or stand-aside

A gap-trading rule treats an opening print beyond the prior day's high or low as a fade of the open, a next-session continuation after an open-to-close reversal, or a stand-aside when the stop would sit past the session limit.

A large opening gap through the prior day's high or low is coded as a fade of the opening direction, managed with a trailing stop, and skipped when that stop would lie beyond the session's limit move.

If a sharp opening gap then closes back through the open and mid-range, the next session is coded in the open-to-close direction. A halfway fill of the gap is coded as a likely rotation toward the opening print.

Stops scaled to the three-day average range

A trailing stop follows favorable price at a gap-sized increment or at a stated fraction of the three-day average range, including overnight protection when a profit target is dropped. Every trade carries a stop, placed a few ticks beyond the mapped support or resistance or trailed as a fraction of the three-day average range.

The three-day average range is the mean of the prior three daily ranges. Half of that average is used as a profit exit and 57 percent of it as a trailing stop or overnight protective stop.

Restoring a side or dropping the profit exit

After a profit take, the same side may be restored if price returns to the original entry with at least one hour left. In a strong trend the profit exit may be omitted in favor of a close-of-day flatten or an overnight hold behind the trailing stop.