This strategy trades off 5 minute bars. It should be disallowed from trading for the day if the first bar of the day gaps down from the last bar of the previous day and that gap is not filled within the first 5 bars . So, to be specific, this condition occurs if the highest-high for the first 5 bars of the day is lower than the low of the final 5 minute bar of the previous day. I have trawled through the "gap down" references in WL and cannot find an example of code that I can modify. Please could I ask for help with this
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Thanks