ES Gap Fill Daily Journal July 2010
- Thread starter vieiradan
- Start date
The data didn't support either the Thurs or Friday gaps. Thursday was 1 percentage point away, was close but my rules keep me out. What was your trigger for entry of that gap?
Today's gap also had abysmal numbers, and did not fill. I will weight myself heavily tomorrow and if the data meets my criteria will trade it.
Thank you for commenting on my Journal Pekelo, not much keeping it alive here lol. I am working on a strategy where I will apply the data to trade globex, if it seems like a worthwhile system I will start journaling that as well.
Anecdotally, the first day of the month is often the hi/lo of the month.
My opinion on our outlook: most of the technical's that I follow (fibs, vol, ma's, pivots) are slightly to moderately bearish on the ES. However, I have a fundamental view I've been holding for the past year or so. I don't know if I can use it in trading, but here goes.
What is the number one threat to the wealthy elite and their money? Governments. The risk here if we dead cat bounce or have a publicly painful selloff is that these markets will be regulated out the wazoo to the point the rich are handcuffed compared to the type of money they can make as the markets are now. They know this...they can prop it up too. We also have added a bunch of zeros to the balance sheet and created a lot of money. Can't underestimate the effect.
I think we slow grind-up. Fundamentally.
Today's gap also had abysmal numbers, and did not fill. I will weight myself heavily tomorrow and if the data meets my criteria will trade it.
Thank you for commenting on my Journal Pekelo, not much keeping it alive here lol. I am working on a strategy where I will apply the data to trade globex, if it seems like a worthwhile system I will start journaling that as well.
Anecdotally, the first day of the month is often the hi/lo of the month.
My opinion on our outlook: most of the technical's that I follow (fibs, vol, ma's, pivots) are slightly to moderately bearish on the ES. However, I have a fundamental view I've been holding for the past year or so. I don't know if I can use it in trading, but here goes.
What is the number one threat to the wealthy elite and their money? Governments. The risk here if we dead cat bounce or have a publicly painful selloff is that these markets will be regulated out the wazoo to the point the rich are handcuffed compared to the type of money they can make as the markets are now. They know this...they can prop it up too. We also have added a bunch of zeros to the balance sheet and created a lot of money. Can't underestimate the effect.
I think we slow grind-up. Fundamentally.
This was an incorrect observation on my behalf. It was a first gap, not a 2nd one since Thursday's gap was in the other direction.
Anyhow, yesterday we had a big first upgap, so last night we had a chance for hunting for a 2nd upgap and shorting it. It never really happened, futures spending the night mostly in the red. But here you can see my strategy described earlier working:
Since we don't know if we are going to have a 2nd gap or not, it was perfectly alright to go short at the close, since the return to that price level was pretty much guaranteed. Overnight the futures were down as much as 5 pts, so there was time to take profits of 3-5 pts....
July Rollup:
Trades: 8
5 wins & 3 losers
Win pctg: 62.5%
Profit/Loss: $ (-271.50)
Summary: The tradeable setups this month (per the system) included far too many small winning gaps. Since the stop size is somewhat fixed (30% the 5 day ATR), for this system to be profitable the size of the winners (and the tradeable gaps in general) will have to increase.
Overall I am pleased with this month, the market was volatile but rangebound (1126-1100). It will suffice as a drawdown and I look forward to more trades. I have traded this system since mid April. May was an outstanding month and June was similar to this July. Overall I am profitable.
Adjustments: I will trade this as is for another month. Depending on the outcome I may increase the selectivity of the gaps I trade, looking for higher percentage data. Which would result in less trades, perhaps as little as 3 trades per month.
I am also going to find statistics on the win rate and profitability of trading a gap the day after an unfilled gap with an end of day stop & also with the 30% 5-day ATR stop. Excluding opening gaps that exceed 100% of 5 day ATR. (as an example of ATR, the avg of the past 5 days was 18 ES point...low to moderate. This study would exclude opening gaps greater than 18 points and they would not be traded).
Trades: 8
5 wins & 3 losers
Win pctg: 62.5%
Profit/Loss: $ (-271.50)
Summary: The tradeable setups this month (per the system) included far too many small winning gaps. Since the stop size is somewhat fixed (30% the 5 day ATR), for this system to be profitable the size of the winners (and the tradeable gaps in general) will have to increase.
Overall I am pleased with this month, the market was volatile but rangebound (1126-1100). It will suffice as a drawdown and I look forward to more trades. I have traded this system since mid April. May was an outstanding month and June was similar to this July. Overall I am profitable.
Adjustments: I will trade this as is for another month. Depending on the outcome I may increase the selectivity of the gaps I trade, looking for higher percentage data. Which would result in less trades, perhaps as little as 3 trades per month.
I am also going to find statistics on the win rate and profitability of trading a gap the day after an unfilled gap with an end of day stop & also with the 30% 5-day ATR stop. Excluding opening gaps that exceed 100% of 5 day ATR. (as an example of ATR, the avg of the past 5 days was 18 ES point...low to moderate. This study would exclude opening gaps greater than 18 points and they would not be traded).
Loser today. System called for a 5.5 pt stop. With the econ data @ 10 I elected to use a slightly larger 6 pt stop. Didn't matter. I don't often vary any part of the system, but I don't mind (with rare frequency) tweaking my stop.
Though this is not part of the system, I did take a speculative long off lows with a target @ 22.75. Traded there but no fill, ended up taking profits at 18.50 towards the end of the day. Took top tick of the day...I suppose that is one form of perfection!
Though this is not part of the system, I did take a speculative long off lows with a target @ 22.75. Traded there but no fill, ended up taking profits at 18.50 towards the end of the day. Took top tick of the day...I suppose that is one form of perfection!
Had a post up here, dissapeared. Don't know why.
Gap today was very small, and did not meet the criteria. I will be looking for larger gaps and patiently waiting.
On the plus side, I have been forward testing my system at midnight and it is going well. As of now I am entering, when the data supports, at midnight EST. The gaps are still relatively small and the overnight reversion to mean is high, so they fill.
I am considering forward testing at 12 EST, 2 EST, 3EST and 6:30 EST. Those seem to be prime times for reversals. With a quarter position size and the rest at the NYSE open should the data support it then.
This might be a great trade to compliment the opening gap trade for these summer doldroms when the globex reversion to mean is so high a gap cannot be maintained into the NYSE open.
I expect once we start picking up steam and trending, the overnight entry system would not work, since as said above, those gaps tend to be larger, developed later in the night (2-3AM london session) and though they may attempt to revert to the mean the gaps hold into the NYSE open.
At that time a better system during the heavy trading months may be an 8:00-9:00 EST entry w/ quarter position since the mkt tends to quiet down in anticipation of the opening or news AND drift back to the mean.
Gap today was very small, and did not meet the criteria. I will be looking for larger gaps and patiently waiting.
On the plus side, I have been forward testing my system at midnight and it is going well. As of now I am entering, when the data supports, at midnight EST. The gaps are still relatively small and the overnight reversion to mean is high, so they fill.
I am considering forward testing at 12 EST, 2 EST, 3EST and 6:30 EST. Those seem to be prime times for reversals. With a quarter position size and the rest at the NYSE open should the data support it then.
This might be a great trade to compliment the opening gap trade for these summer doldroms when the globex reversion to mean is so high a gap cannot be maintained into the NYSE open.
I expect once we start picking up steam and trending, the overnight entry system would not work, since as said above, those gaps tend to be larger, developed later in the night (2-3AM london session) and though they may attempt to revert to the mean the gaps hold into the NYSE open.
At that time a better system during the heavy trading months may be an 8:00-9:00 EST entry w/ quarter position since the mkt tends to quiet down in anticipation of the opening or news AND drift back to the mean.
No trade today. The data was close, within 2 percentage points of my minimum. This was an up gap against big daily fib resistance (1126), 2 prior days of unfilled gaps. A false up gap also. The dollar had been gaining all night. Anecdotally this setup was a no brainer, but this is a system and I will keep trading it as per rules.
The data tmw is pretty bad if we open under 1124. Borderline abysmal.
Fed days are historically bullish though. Should be an interesting day. I am leaning short bias at the moment, the past 24 hours in the currencies are showing risk aversion. The indices may or may not carry that theme, but more often than not they are correlated.
The data tmw is pretty bad if we open under 1124. Borderline abysmal.
Fed days are historically bullish though. Should be an interesting day. I am leaning short bias at the moment, the past 24 hours in the currencies are showing risk aversion. The indices may or may not carry that theme, but more often than not they are correlated.