Gaps
- Thread starter VisionTrader
- Start date
Yes, I wish, but is hard to come up with good data for backtesting besides NQ/ES/IndividualStocks. See my thread on daily data for bonds: http://www.elitetrader.com/vb/showthread.php?s=&threadid=28362. Same situation with daily data for ESTX50/DAX.
Anybody trades gaps in those vehicles using daily data?Where do you get your data? Thanks!
An analysis of Gap trades is not complete without an assessment of the risks involved.
% of Gaps being filled x size of Gaps = reward opportunity
If time is being used to determine % of Gaps being filled (eg, end of day, first 30 minutes, after x days etc), a time stop would make it easiest to analyze Gap strategies.
Down Gaps have a higher fill rate if you allow for multiday holding periods, because you have the undercurrent positive drift of the S&P working in your favour.
Gaps come from the interaction between the overnight session and the day session, so you cannot understand gaps without looking into the overnight session.
An interesting way to look at Gap trades is to set up your favourite charting program to display the night session only. You get these weird looking charts - it bit like rethreading an old Pet Shop Boys cassette tape and listening to it backwards ...
% of Gaps being filled x size of Gaps = reward opportunity
If time is being used to determine % of Gaps being filled (eg, end of day, first 30 minutes, after x days etc), a time stop would make it easiest to analyze Gap strategies.
Down Gaps have a higher fill rate if you allow for multiday holding periods, because you have the undercurrent positive drift of the S&P working in your favour.
Gaps come from the interaction between the overnight session and the day session, so you cannot understand gaps without looking into the overnight session.
An interesting way to look at Gap trades is to set up your favourite charting program to display the night session only. You get these weird looking charts - it bit like rethreading an old Pet Shop Boys cassette tape and listening to it backwards ...
[/B][/QUOTE]Quote from Boomer:
i read the article too, and i have been looking into gaps more lately. i think it offers some interesting opportunities...good thread so far
I just thought I'd put this in here. You have to read the whole
article to understand his methodology...
P.S. VisionTrader, you sound like you are taking sentences out of
a book or an article. If so, where are you taking this from? Or
have you been
return source
meditating on gaps lately?...
I went back and checked...These words are only my humble thoughts. What do you mean exactly?
A good businessman does not re-invent the wheel if it is already invented. He just improves it. I copy stuff whenever it fits
You are a very good student and completely on the right path to understanding how to create more gaps.
I don't know why I like these damn bonds so much. Must be the $31.50 a tick thing with no extra margin requirement.
Anybody get this one this morning.
Anybody get this one this morning.
Think I read the article you guys are talking about. Think he adds at the top or bottom, especially at a $TICK extreme.
Trading Gaps is no doubt not for the weak of heart. Think I mentioned this. It may not fit for a new trader. Takes more guts, belief and the ever precious risk capital. I like it. It fits for me, but definitely not for everyone.
Personally, I try not worry too much about timing on the GAP trades except for what I wrote early in this thread. In fact, one of favorite trades is when a GAP stays open at the EOD. I will hold overnight or more if it feels right. Many times the GAPS will fill the next morning. (or as I said, in a year or so).
As far as statistics, GAP fills are an above average play. That's not the issue. It's managing the trade and knowing when to say when.
Good input from everyone. Thanks.
Trading Gaps is no doubt not for the weak of heart. Think I mentioned this. It may not fit for a new trader. Takes more guts, belief and the ever precious risk capital. I like it. It fits for me, but definitely not for everyone.
Personally, I try not worry too much about timing on the GAP trades except for what I wrote early in this thread. In fact, one of favorite trades is when a GAP stays open at the EOD. I will hold overnight or more if it feels right. Many times the GAPS will fill the next morning. (or as I said, in a year or so).
As far as statistics, GAP fills are an above average play. That's not the issue. It's managing the trade and knowing when to say when.
Good input from everyone. Thanks.
Hold your mouse over the picture.....click on the big enlarge button in the lower right hand corner that pops up....
Michael B.
Michael B.
What is the secret to making a chart the right size. I am posting it as a .png. I tried making it bigger in my program, not sure it helped.