The 26-year-old from Antrim claimed his first title of the season and third of his career with a fantastic performance in front of a packed Lotto Arena.
The world number nine started proceedings with a 117 break, following that up with a 102 and a 106 to move 3-0 up in quick time.
World number one Selby, from Leicester, managed to pull one back but a 53 in frame five saw Allen come out victorious.
"It's been a long time coming because I've been struggling so far this season," said Allen, whose last title was the Haikou World Open ranking event last March.
"I spent some time with my coach Terry Griffiths and he helped me get my mind right. I practised hard leading up to this tournament and I had a good attitude throughout.
“I'm pleased to be playing well again and looking forward to some big tournaments coming up."
Allen's win means the 12 events on the World Snooker Tour so far this season have all been won by different players.
Mark Selby 1-4 Mark Allen
Mark Selby 4-0 Ali Carter
Andrew Pagett 1-4 Mark Allen
Mark Selby 4-0 Marco Fu
Ali Carter 4-1 Joe Perry
Neil Robertson 3-4 Andrew Pagett
Mark Allen 4-3 Ben Woollaston
Mark Selby 4-3 Paul Davison
Marco Fu 4-1 Michael White
Ali Carter 4-3 John Higgins
Joe Perry 4-3 Jack Lisowski
Alfie Burden 3-4 Neil Robertson
Thepchaiya Un-Nooh 2-4 Andrew Pagett
Graeme Dott 2-4 Mark Allen
Ben Woollaston 4-2 Tom Ford