Liquidation Reversal Strategy by aaronrileycheer
By aaronrileycheer
Performance Metrics
- Author: aaronrileycheer
- Symbol: CME_MINI:ES1!
- Timeframe: 5 minutes
- Net P&L: +13,262.50 USD (+1.33%)
- Win Rate: 52.9%
- Profit Factor: 1.177
- Max Drawdown: 8,787.50 USD (0.86%)
- Total Trades: 276
Description
Liquidation Reversal StrategyBased on: Liquidation Reversal SignalsOriginal Author: AlgoAlphaOriginal Script Link: OverviewLiquidation Reversal Strategy identifies statistically extreme liquidation events and trades potential reversals or continuation moves that often follow forced positioning.This script converts the original liquidation detection logic into a fully backtestable strategy and expands it with multiple entry models, structured risk management, and performance tracking tools.The objective is to capitalize on forced positioning events that create temporary structural imbalances in price.How to Use This Strategy1. Choose the MarketBest suited for:FuturesCryptoIndicesAny instrument with reliable volume dataAvoid illiquid assets.2. Set the Lower TimeframeThe “Lower Timeframe” input controls where up/down volume is sourced.1–5 minutes = more responsive signals5–15 minutes = smoother, fewer signalsLower settings increase sensitivity.3. Adjust the Z-Score ThresholdDefault: 3.0Lower value → more frequent liquidation signalsHigher value → only extreme forced eventsIncrease the threshold if you only want major liquidation cascades.4. Select Entry StyleThe strategy includes three entry models:Liquidation EntryImmediate entry after a qualifying spike.Early Reversal EntryTakes position before Supertrend flips. More aggressive.Confirmed Reversal EntryRequires a Supertrend flip after a liquidation event. More conservative.Enable or disable “Use Supertrend Flip” depending on your preference for confirmation.5. Configure Risk ManagementYou can control:ATR-based Take Profit multiplierATR-based Stop Loss multiplierMaximum hold time (minutes)Example conservative setup:TP = 2 ATRSL = 1 ATR60 minute max holdExample faster scalp setup:TP = 1–1.5 ATRSL = 1 ATR15–30 minute max hold6. Daily SMA Trend FilterLong trades only above the Daily SMA.Short trades only below the Daily SMA.This helps align entries with higher timeframe direction.Visual and Analytical ToolsSupertrend visualizationDynamic candle coloring during confirmed reversalsConfigurable signal shapesLiquidation intensity scalingVolume availability warningPerformance summary table showing:Trade count by entry typeP&L breakdownWin rate by categoryTotal tradesBest ConditionsThis strategy performs strongest in:High volatilityNews eventsLiquidation cascadesTrend exhaustion movesPerformance may degrade in slow, low-volatility ranging markets.CreditsThis strategy is derived from and inspired by:Liquidation Reversal Signals by AlgoAlphaAll original liquidation detection logic credit belongs to AlgoAlpha.This script adapts and expands the concept into a structured strategy framework for backtesting and optimization.