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Help with a strategy I put together over a 6 month period of testing above 70% result
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Created: by miamiflow1012 Attachments:0

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Help with a strategy I put together over a 6 month period of testing above 70% result

  #1 (permalink)
Trading Apprentice
Miami, Fl
 
Futures Experience: Beginner
Platform: Thinkorswim
Favorite Futures: Euro
 
Posts: 11 since Apr 2017
Thanks: 4 given, 0 received

Help with a strategy I put together over a 6 month period of testing above 70% result

I have a strategy i tested by hand for 6 months on a daily basis with raw data from wsj and i would like to find some help from someone that wouldn't mind speaking to me or reviewing some of the documents of research i did.

My ultimate goal would be to figure out a way to set it up as a screener or backtest it on history of futures but i am not sure if it is possible!

My fear is someone telling me that my strategy or formula already has a name.

In short my formula:

I found that on certain futures contracts a gap of x between the close and open translates to either a trend in the same direction or opposite. The x depends which direction.

Please please i would love to get some feedback on this asap! Open to everything! Thanks

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  #2 (permalink)
Trading for Fun
Milwaukee, WI
 
Futures Experience: Beginner
Platform: Sierra Chart
Broker/Data: AMP, CQG
Favorite Futures: CL
 
Posts: 88 since Jan 2014
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miamiflow1012 View Post

I found that on certain futures contracts a gap of x between the close and open translates to either a trend in the same direction or opposite. The x depends which direction.

HI,

Unfortunately, that is not precise enough for a formula. Something precise enough would be: On XYZ future, when today's open is more than 20 ticks but less than 50 ticks above yesterday's close, price will fill the gap in 70% of all occurrences. When today's open is greater than 50 ticks above yesterday's close price does NOT fill the gap in 70% of all occurrences.

You would now have a hypothesis which you could backtest.

To backtest you will need intraday data and some kind of program. Excel might work but could be cumbersome. A trading platform that provides a programming language for backtesting would be your best bet. Amibroker, Tradestation, SierraCharts all come to mind. What platform do you have?

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  #3 (permalink)
Trading Apprentice
Miami, Fl
 
Futures Experience: Beginner
Platform: Thinkorswim
Favorite Futures: Euro
 
Posts: 11 since Apr 2017
Thanks: 4 given, 0 received



wmueller View Post
HI,



Unfortunately, that is not precise enough for a formula. Something precise enough would be: On XYZ future, when today's open is more than 20 ticks but less than 50 ticks above yesterday's close, price will fill the gap in 70% of all occurrences. When today's open is greater than 50 ticks above yesterday's close price does NOT fill the gap in 70% of all occurrences.



You would now have a hypothesis which you could backtest.



To backtest you will need intraday data and some kind of program. Excel might work but could be cumbersome. A trading platform that provides a programming language for backtesting would be your best bet. Amibroker, Tradestation, SierraCharts all come to mind. What platform do you have?



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To understand why the gap has occurred is a good factor i haven't added to my formula which would be the fundamentals.

I ran into a problem which is kind of obvious. The open and close i would use from the futures market would come from the daily wall street journal OLHC. So was i using NY OPen Close data. My understanding is that technically the futures market doesnt close so are these gaps i really found or not????

Specifically depending on the currency index or commodity and the parameter i set some tended and some filled the gap but i justified a pattern good enough to determine that regardless of the action it was consistent enough during to futures contract months March 2016 June 2016 to call them good. I plan to gather some data for this years March 2017 and June 2017 wsj or rather ny open and close data so i can check this years data with these parameters i had set! Any idea where i can find this data? Links?

I guess i will try and put together a similar hypothesis asap and hit you back with it. I have td ameritrade so i have access to thinkorswim to use. I also downloaded ninjatrader 8 and metatrader not sure which can help me best with this stuff


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