Fading the opening gap

Quote from Murray Ruggiero:

I agree that gap effects have become less effective because of 24 hour trading. If you use day session only and base it on the pit SP500, I think we still have some effect because the open is still a event. In many ways it like the changes in opening range breakout in the bonds in the late 1980's when they changed the time of the open from 9:00 am to 8:20, now the reports come out after the open. Larry Williams and Sheldon Knight made a forture because the report came out at 8:30 and the bonds opened at 9:00 am. This made a breakout from the open much more reliable on these report days , which accounted for big range days.
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Murray,

Welcome to ET. I've enjoyed your articles in Futures for a long time and welcome your insights here.

For those who don't know him, Murray is a real expert on systems and backtesting.
 
Quote from AAAintheBeltway:

Murray,

Welcome to ET. I've enjoyed your articles in Futures for a long time and welcome your insights here.

For those who don't know him, Murray is a real expert on systems and backtesting.
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Welcome Murray!
:)
 
Quote from Don Bright:

There is absolutely no reason that any "opening gap" play would work with futures...they trade nearly 24 hours, there is no "single place market" no "specialist" and thus no "edge" with a play such as this.

It works on NYSE listed stocks for obvious reasons.

All the best,

Don
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I disagree Don. An opening gap can be played in any market including those that are traded 24 hours. It's up to the trader to back test a strategy and determine a start time and end time. I use the pit times to overlay the ES contract and those are the gaps that I trade.

The introduction of 24 hour trading in the ES allows traders to determine their own opening times for gap plays. I have back tested the 8am (EST) opening time in the ES as a gap play as well.

Regards.
 
Quote from Murray Ruggiero:

I agree that gap effects have become less effective because of 24 hour trading. If you use day session only and base it on the pit SP500, I think we still have some effect because the open is still a event. In many ways it like the changes in opening range breakout in the bonds in the late 1980's when they changed the time of the open from 9:00 am to 8:20, now the reports come out after the open. Larry Williams and Sheldon Knight made a forture because the report came out at 8:30 and the bonds opened at 9:00 am. This made a breakout from the open much more reliable on these report days , which accounted for big range days.
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I second "AAA"'s welcome to ET...and don't get me wrong about my comments, it's just that we're big fans of the NYSE opening primarily because we are assured of being on the same side as the Specialists, and we know that they've been making money for 200 years.

All the best!

Don
 
Quote from guy2:

I disagree Don. An opening gap can be played in any market including those that are traded 24 hours. It's up to the trader to back test a strategy and determine a start time and end time. I use the pit times to overlay the ES contract and those are the gaps that I trade.

The introduction of 24 hour trading in the ES allows traders to determine their own opening times for gap plays. I have back tested the 8am (EST) opening time in the ES as a gap play as well.

Regards.
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No reason for argument, if you're making money, then go for it. We're still members of the CME, and we don't trade the E's much because the floor traders can trade for like 60 cents round turn (pretty hard to compete with)...and, believe me, we tried to get "grandfathered" in to that pricing schedule (we've been members since the early 1980's, I would think that would count as "grandfathers" LOL).

All the best,

Don

Oh yeah, can someone tell me why some words get underlined lately? i.e. the "making money" above?
 
FWIW-I'm developing a method that fades, fading the opening gap and so far in real trading it's doing fairly well:

About 60% winning trades
About a 1.6 W/L ratio.

It does have some rather big weaknesses, mainly a 33% drawdown. My entry technique is pretty well developed but I've got a ways to go in exit technique.

The stats were started in early July and there have been about 120 trades so far. So, it's still early in the game.

DS
 
I will try to help. I have some other posts over the past few days in some other threads, which you might enjoy.
 
Quote from Don Bright:

No reason for argument, if you're making money, then go for it. We're still members of the CME, and we don't trade the E's much because the floor traders can trade for like 60 cents round turn (pretty hard to compete with)...and, believe me, we tried to get "grandfathered" in to that pricing schedule (we've been members since the early 1980's, I would think that would count as "grandfathers" LOL).

All the best,

Don

Oh yeah, can someone tell me why some words get underlined lately? i.e. the "making money" above?
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60 cents!!
That's amazingly low.

I don't see the underlines... What type of browser are you using?
 
Quote from guy2:

60 cents!!
That's amazingly low.

I don't see the underlines... What type of browser are you using?
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Internet Explorer, maybe I have something clicked that shouldn't be...I'll check it out...thanks.

Don
 
Quote from hoodooman:

For the last 20 trading days and out of 84 gap trades, I've scalped 290 cents per share. Pitiful. Comments appreciated.
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$2.9 per share ain't bad
say avg share price is $40
day trader margin is $10
You just made 29% in one month
Who are you, Mark Weinstein?
 
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