gap detection filter preventing losses

added gap detection after august 14 loss.

been running it 4 days.

already proving useful.

the filter logic

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skip trading if:

• market gaps >1% at open
• within 2 hours of gap open
• regardless of vol detection status

reasoning: gaps create new price ranges. entering against gap momentum = fighting tape.

implementation

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async def check_gap_filter(self, symbol: str) -> bool:
    """Check if gap is too large to trade"""

    # Get today's open and yesterday's close
    today_open = await self.get_today_open(symbol)
    yesterday_close = await self.get_yesterday_close(symbol)

    # Calculate gap %
    gap_pct = abs((today_open - yesterday_close) / yesterday_close)

    if gap_pct > 0.01:  # 1% gap threshold
        # Check time since open
        market_open_time = self.get_market_open_time()
        current_time = datetime.now()
        hours_since_open = (current_time - market_open_time).seconds / 3600

        if hours_since_open < 2:
            logger.warning(f"BLOCKED: {symbol} - gap {gap_pct:.2%}, only {hours_since_open:.1f}h since open")
            return False

    return True

this week’s saves

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monday 8/14: (the loss that triggered this filter)

• 1.2% gap up at open
• entered at 10:30am (1 hour after open)
• lost -$360
• with new filter: would’ve been blocked

wednesday 8/16:

• 1.4% gap down at open
• filter blocked SPX entry at 10:45am
• position would’ve stopped: -$340
• saved: $340

friday 8/18:

• 1.1% gap up at open
• filter blocked QQQ entry at 11:00am
• position would’ve stopped: -$295
• saved: $295

total saved in 4 days: $635 (would’ve been $995 if counted original loss)

tradeoff analysis

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blocked trades: 3

• 2 would’ve lost: -$635
• 1 would’ve won: +$280

net benefit: +$355

worth it.

filter stack growing

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current entry filters (all must pass):

1. vol detection (blocks elevated/spike regimes)
2. correlation limit (max 2 equity positions)
3. time-of-day (skip first 30 min)
4. gap detection (skip 2h after >1% gap)

each filter removes bad trades.

stacking them = higher win rate.

august week 4 preview

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week 1: +$2,065 week 2: +$1,805 week 3: +$1,705 current: +$5,575

need $425 more to hit $6k august.

1 week left. easy.

momentum strategy

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continuing at 0.5% risk.

total momentum trades: 4 (all wins)

win rate: 100% (4/4)

profit factor: infinite (no losses yet)

obviously not sustainable but good start.

account status

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start august: $351,145 current aug 18: $356,720 gain: +$5,575 (+1.59%)

2:52pm friday. gap filter working. saved $635 in first 4 days. filter stack preventing bad trades. august continues strong.

-AK