Measuring Sweep Depth: How Far Beyond a Swing High Is Still a "Sweep"

[FXS Prop Desk]

Discussions about stop runs often skip the most testable question: how far beyond the level can price go before a "sweep" becomes a breakout?

A practical way to define it:

• Measure the excursion beyond the swing level in ATR units of the trading timeframe, e.g. M5 ATR(14).
• Measure the time spent beyond the level: number of candles that close outside it.

In many intraday samples on major pairs, reversals tend to come from shallow excursions (well under one ATR) with no close or at most one close beyond the level. Deeper excursions with several closes outside behave more like breakouts. The exact thresholds differ by pair and session, so they should come from your own data.

Why this helps:

• It replaces "it looked like a sweep" with a rule that can be journaled.
• It gives a clear invalidation: if price exceeds your maximum depth, the reversal idea is cancelled.

Have you measured sweep depth on your pair, and what threshold separates reversals from breakouts for you?

[Fairman]

The exact thresholds differ by pair and session, so they should come from your own data.

Agree, and there's one trap when measuring it. If you pick the depth threshold by looking at which excursions ended up reversing, you'll find a clean cut-off almost every time, because you're fitting to the outcome. Better to fix the threshold on one block of data, say the first six months, then check it on the next three without changing anything. Another thing worth logging is how fast price got back inside. A sweep that pokes 0.6 ATR beyond and reclaims within two M5 candles is a different animal from one that sits outside for twenty minutes at the same depth. Time outside might end up separating the two groups better than depth alone. Have you looked at both together?

[Shadow Trader]

Fairman asked about depth and time together, and plotting both is what convinced me time does more of the work. Depth alone gave me a fuzzy boundary between 0.5 and 1 ATR.

img_13729_r1.png (47.9 KiB) Viewed 4 times

The chart is a made up sample laid out the way I log mine, with depth in M5 ATR across the bottom and M5 candles closed outside the level up the side. Of the 48 reversals, 44 were back inside by the close of the second candle, while 31 of the 40 breakouts had four or more closes outside.

That suggests a rule that is easy to read in real time. I let a sweep go as deep as 1 ATR, but if it has not reclaimed the level by the close of the second candle, the reversal idea is cancelled.

On the fitting trap, I picked the two candle limit on the first half of the year only. It held up worse on the next quarter, as expected, but the gap between the groups was still there.

FXS Prop Desk, do you measure depth from the wick of the swing or from its close? The wick gave me noisier numbers on GBPUSD.