YM Traders

volente_00

T day in full effect.


Shorts made money.

Longs made money.

Everyone is happy

___________________________________________

Yes volente a great day! Thank you for this thread.
 
Quote from Pekelo:

I have just finished the overnight gap statistics for January. If you are interested, the thread is called MR statistics in the Strategy section.

The score for January is 9 downgaps, 6 upgaps and 4 flats. I have to note that there seem to be an updrift after midnight, but several times it fizzled out by the morning, just like last night, when YM futures dropped 20+ points between 4am and 7 am...

As a conclusion of this midnight rally experience I have to say:

1. Looking at the whole overnight movement, there is no statistical preference for upgaps. Quite to the contrary, at least in January. Over the long run it is close to 50-50, as it is pointed out by backtest in the MR stats thread.

2. Looking at rally after midnight, there is a preference, but because it tends to fizzle by early morning one has to be awake to catch it and the average upmovement was only about 10-15 points, not worths of the time spent....

3. There ARE black swans. In this case serious (50 points)downgaps that don't even get filled on the same day. In this month we actually had 2 of them. There was a 3rd big downgap, but that one got filled after the open.

So if anyone has any other myth to be tested, feel free to post it and I am going to take a look at it....
More...



I think MRC will be weak again today. The GOOG effect and a weak Nikkei will weigh heavily in the overnite session. I short yesterday and added to the position today. If I see strength in the Nik225 I will proceed to cover 1/2 my position. Currently heavily biased to the short side. Since I did'nt post my positions real-time I will include my PnL. Note position is still open. I went short and added more in the 10920 area. +70 points on the position so far.
 

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Quote from Pekelo:

I have just finished the overnight gap statistics for January. If you are interested, the thread is called MR statistics in the Strategy section.

The score for January is 9 downgaps, 6 upgaps and 4 flats. I have to note that there seem to be an updrift after midnight, but several times it fizzled out by the morning, just like last night, when YM futures dropped 20+ points between 4am and 7 am...

As a conclusion of this midnight rally experience I have to say:

1. Looking at the whole overnight movement, there is no statistical preference for upgaps. Quite to the contrary, at least in January. Over the long run it is close to 50-50, as it is pointed out by backtest in the MR stats thread.

2. Looking at rally after midnight, there is a preference, but because it tends to fizzle by early morning one has to be awake to catch it and the average upmovement was only about 10-15 points, not worths of the time spent....

3. There ARE black swans. In this case serious (50 points)downgaps that don't even get filled on the same day. In this month we actually had 2 of them. There was a 3rd big downgap, but that one got filled after the open.

So if anyone has any other myth to be tested, feel free to post it and I am going to take a look at it....
More...



I think MRC will be weak again today. The GOOG effect and a weak Nikkei will weigh heavily in the overnite session. I short yesterday and added to the position today. If I see strength in the Nik225 I will proceed to cover 1/2 my position. Currently heavily biased to the short side. Since I did'nt post my positions real-time I will include my PnL. Note position is still open. I went short and added more in the 10920 area. +70 points on the position so far.


Edit: Lets Look into testing the 10:30 reversal on T-day. Please continue with your gap journal. It'd be interesting to see if MRC failures and strength translate to either trend continuations or trend reversals.
 

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Quote from mhashe:


Edit: Lets Look into testing the 10:30 reversal on T-day. Please continue with your gap journal.
More...

There are reversals around 10:30, I can testify that without testing. Not just on T days...

I only did the journal for proof, because quite a few posters here simply lie about facts. Now there they can have it.

As for rally after midnight, the crew is actually right on that. There is a I think a 2 to 1 preference (I am too lazy to read the journal again) for going up. But it is not very lasting or signifficant, thus it is hard to impossible to play automatically....
 
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