Session Liquidity Reversion Strategy (Asia Range False Breakout) by JaxonJackFX
By JaxonJackFX
Performance Metrics
- Author: JaxonJackFX
- Symbol: BITSTAMP:BTCUSD
- Timeframe: 1 hour
- Net P&L: −141.63 USD (−1.42%)
- Win Rate: 33.6%
- Profit Factor: 0.774
- Max Drawdown: 161.33 USD (1.61%)
- Total Trades: 625
Description
OverviewThis strategy is based on a session-driven liquidity hypothesis rather than a simple indicator combination.During the Asian trading session, many markets enter a low-liquidity equilibrium, forming a relatively narrow price range. When higher-volume participants enter during the London and New York sessions, price often performs false expansions beyond this Asian range before reverting back toward fair value.This script systematically identifies and trades those failed session expansions.Core ConceptThe strategy operates in three distinct phases:Asia Session Range FormationThe high and low of the Asian session are recorded.This range represents a temporary balance area formed under reduced participation.Range LockingOnce the Asian session ends, the range is frozen.No repainting or forward-looking calculations are used.False Breakout Detection & ReversionDuring the London/New York session, price must break beyond the Asia range and fail to hold.A momentum filter (RSI) confirms rejection strength.Trades are entered only after price closes back inside the range, targeting reversion rather than continuation.This approach avoids chasing breakouts and instead focuses on liquidity traps and failed expansions.Risk Management & AssumptionsRisk parameters are intentionally conservative and realistic:Position sizing uses percentage of equityDefault risk per trade is approximately 2%Stop losses are ATR-based, adapting to volatilityRisk-to-reward is fixed and configurableRealistic commission and slippage are includedOne trade per session is allowed to avoid over-exposureNo martingale, grid, or averaging logic is used.Usage NotesRecommended timeframes: 5m – 30mDesigned for: Forex, Indices, CryptoPerformance will vary by instrument and session volatilityAll parameters are configurable for research and optimizationThis strategy is intended for educational and research purposes, demonstrating how session-based liquidity behavior can be tested systematically using Pine Script.