On years nobody chose anything on, the power of three made +$3,195 on 1 micro and beat random entry times in about 96 runs of 100, but the gain is small and 3 checks fail

Contents

The script and the research engine agree on all 458 trades, so every number in this report is the script's own

Its settings were chosen on 16 months in the middle; the answer comes only from the years before them and the months after

Nobody had looked at 15 Nov 2021 to 22 Oct 2024 when the settings were chosen; on those years it made +$1,659

Entering at a random time on the same days did as well only 3.6%-4.0% of the time

6 of the 9 checks pass; MES, the deflated Sharpe and the evaluation fail

On a typical 50K evaluation it passed more often than random entries at every size, but never more often than it failed

A normal month is about 8 trades and a small result; 32 of 60 months made money

Three days from the locked months: the middle winner, the middle loser, and a day it sat out

New months with the rules unchanged are the only way to evidence of an edge; re-tuning would start the count again

Glossary

Disclosures

//@version=6
// Suggested timeframe: 5-minute
strategy("ICT power of three (Asia range, London sweep, New York 9:30)", overlay=true, initial_capital=50000, default_qty_type=strategy.fixed, default_qty_value=1, commission_type=strategy.commission.cash_per_contract, commission_value=2.5, slippage=1, margin_long=0, margin_short=0)

// Accumulation: the Asia range, 20:00 to 00:00 New York. Manipulation: London, 02:00 to 05:00,
// takes out one side of it. Distribution: at the New York entry time the trade goes the other way,
// long after a sweep of the Asia low and short after a sweep of its high (both sides taken: no
// trade). The stop sits a tick beyond the night's extreme on the swept side; the target is the far
// side of the Asia range, or a fixed multiple of the risk. Flat at 15:55 New York.
entryAt = input.int(930, "Entry time (HHMM, New York)")
tgtMode = input.string("Asia range", "Target", options=["Asia range", "1R", "2R", "3R"])
// Fixes from the tuning-month diagnosis; the defaults are the optimised pick (all 0 / false = the textbook)
minRiskAtr = input.float(0.05, "Skip stops closer than x daily ATR (0 = off)", minval=0, step=0.05)
maxRiskAtr = input.float(0.4, "Skip stops wider than x daily ATR (0 = off)", minval=0, step=0.05)
maxAsiaAtr = input.float(0.3, "Skip Asia ranges wider than x daily ATR (0 = off)", minval=0, step=0.05)
midOpenRule = input.bool(false, "Longs only below, shorts only above the midnight open")

nyMins = hour(time, "America/New_York") * 60 + minute(time, "America/New_York")
entryMins = math.floor(entryAt / 100) * 60 + entryAt % 100
inAsia = nyMins >= 1200
inLondon = nyMins >= 120 and nyMins < 300

var float asiaHi = na
var float asiaLo = na
var bool tookLow = false
var bool tookHigh = false
var float nightLo = na
var float nightHi = na
var bool armed = false
var float midOpen = na

// The daily ATR (14, Wilder) from each futures session's bars, set on the session's last bar, so a morning only
// reads days already closed
var float dHigh = na
var float dLow = na
var float dPrevClose = na
var float dAtr = na
var int dCount = 0
dHigh := na(dHigh) ? high : math.max(dHigh, high)
dLow := na(dLow) ? low : math.min(dLow, low)
if session.islastbar
    tr = na(dPrevClose) ? dHigh - dLow : math.max(dHigh - dLow, math.abs(dHigh - dPrevClose), math.abs(dLow - dPrevClose))
    dAtr := na(dAtr) ? tr : (dAtr * 13 + tr) / 14
    dPrevClose := close
    dCount := dCount + 1
    dHigh := na
    dLow := na
warm = dCount >= 14 and not na(dAtr)

if inAsia and not inAsia[1]
    asiaHi := high
    asiaLo := low
    tookLow := false
    tookHigh := false
    nightLo := low
    nightHi := high
    armed := true
    midOpen := na
else if inAsia
    asiaHi := math.max(asiaHi, high)
    asiaLo := math.min(asiaLo, low)
    nightLo := math.min(nightLo, low)

    nightHi := math.max(nightHi, high)
if not inAsia and nyMins < entryMins and not na(asiaHi)
    nightLo := math.min(nightLo, low)
    nightHi := math.max(nightHi, high)
if not inAsia and nyMins < 120 and na(midOpen) and not na(asiaHi)
    midOpen := open
if inLondon and not na(asiaLo)
    if low < asiaLo
        tookLow := true
    if high > asiaHi
        tookHigh := true

atEntry = nyMins >= entryMins and nyMins[1] < entryMins
// the fixes, checked at the entry bar: the stop's distance and the Asia range against the daily ATR, and where
// price sits against the midnight open (ICT: buy in discount, sell in premium)
longRisk = close - (nightLo - syminfo.mintick)
shortRisk = nightHi + syminfo.mintick - close
asiaOk = maxAsiaAtr == 0 or (warm and asiaHi - asiaLo <= maxAsiaAtr * dAtr)
longOk = (minRiskAtr == 0 or (warm and longRisk >= minRiskAtr * dAtr)) and (maxRiskAtr == 0 or (warm and longRisk <= maxRiskAtr * dAtr)) and asiaOk and (not midOpenRule or (not na(midOpen) and close < midOpen))
shortOk = (minRiskAtr == 0 or (warm and shortRisk >= minRiskAtr * dAtr)) and (maxRiskAtr == 0 or (warm and shortRisk <= maxRiskAtr * dAtr)) and asiaOk and (not midOpenRule or (not na(midOpen) and close > midOpen))
if atEntry and armed and strategy.position_size == 0
    armed := false
    if tookLow and not tookHigh
        stp = nightLo - syminfo.mintick
        risk = close - stp
        tgt = tgtMode == "Asia range" ? asiaHi : close + str.tonumber(str.replace(tgtMode, "R", "")) * risk
        if risk > 0 and tgt > close and longOk
            strategy.entry("Long", strategy.long)
            strategy.exit("Long exit", "Long", stop=stp, limit=tgt)
    else if tookHigh and not tookLow
        stp = nightHi + syminfo.mintick
        risk = stp - close
        tgt = tgtMode == "Asia range" ? asiaLo : close - str.tonumber(str.replace(tgtMode, "R", "")) * risk
        if risk > 0 and tgt < close and shortOk
            strategy.entry("Short", strategy.short)
            strategy.exit("Short exit", "Short", stop=stp, limit=tgt)

if strategy.position_size != 0 and nyMins >= 955 and nyMins < 965
    strategy.close_all(comment="Flat by the close")

plot(asiaHi, "Asia high", color.new(#A3A39E, 20), style=plot.style_linebr)
plot(asiaLo, "Asia low", color.new(#A3A39E, 20), style=plot.style_linebr)
bgcolor(inLondon ? color.new(#E3A008, 92) : na, title="London")