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Emini gap fill strategy data, books?


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Emini gap fill strategy data, books?

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  #1 (permalink)
Escondido CA USA
 
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I have been trading 6 months now, primarily using the VWAP. I am not profitable. It feels like a lack of high probability setups is hurting me. I must be doing a lot of guessing.

I'm considering trying to employ a simple, disciplined gap fill strategy that takes advantage of the opening price vs previous closing price.

Does anyone have any experience with this strategy? What would be the best way to gather the data and are there any books that are recommended.

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  #2 (permalink)
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Not sure if we are talking about the same thing but John F Carter had a gap strategy like ths.

For example,

ES gap from close to open RTH is less then 15 points want for gap to fill.

ES gap over 15 points strong move.

Not sure if those are the exact numbers, he has a few books out now I read the second edition and saw it thre

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  #3 (permalink)
Warsaw, Poland
 
 
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FT71 is a fan of statistical approach. He done stats and trading for a gap fill is a low probability game.

Regarding gap there is only one statistically important level: half gap between current session open and previois day HOD/LOD with over 75% probability of being tested

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  #4 (permalink)
Bucharest
 
 
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I don't think you really need any books, you already know what strategy you are interested in, these days everything is available online for free.
What you need to do is run comprehensive backtests with different market conditions.

A couple of weeks ago I had a discussion with someone that trades gaps in the opposite direction, looking for the gap to fill, claiming he was profitable.
It didn't take me very long to dismiss this strategy after my backtests clearly showed that strategy has no real edge.

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  #5 (permalink)
Cary, North Carolina
 
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Hi Tuglife,

Opening gaps in the Emini S&P are pretty much all that I've traded since 2005. In 2008, I wrote a short book/primer called Understanding Gaps and updated it in 2015.

It and the statistics within it are a bit dated, so am happy to share it here it for free. The concepts and lessons learned still apply.

Hope it is helpful.

Scott

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Register to download File Type: pdf Understanding Gaps - 2008 - v20516.pdf (1.02 MB, 17 views)
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  #6 (permalink)
Bucharest
 
 
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thegapguy View Post
Hi Tuglife,

Opening gaps in the Emini S&P are pretty much all that I've traded since 2005. In 2008, I wrote a short book/primer called Understanding Gaps and updated it in 2015.

It and the statistics within it are a bit dated, so am happy to share it here it for free. The concepts and lessons learned still apply.

Hope it is helpful.

Scott

Thanks Scott, I really liked the book, it takes a lot of work to come up with such a detailed system.
Quick question - today the /ES is about to open with a gap up, how would you trade it?
Do you only trade the /ES?

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  #7 (permalink)
Cary, North Carolina
 
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Thank you. The ES is my primary instrument for trading the opening gap though I also trade the YM and NQ and RTY on occasion for diversification purposes mainly.

I will either fade or follow the opening price action:
  • Fade = a mean reversion trade where I short "up" gaps or buy "down" gaps (i.e. trade against the overnight futures bias)
  • Follow = a momentum trade where I buy "up" gaps or sell "down" gaps (i.e. trade with the overnight bias)
Though futures trade nearly around the clock, I consider a gap in the context of the regular session / pit hours (i.e. the difference between the 930 am ET "open" price and the prior session 415 pm ET "close" price).

Regarding how I traded today's opening "up" gap: most of my data suggested a mixed/neutral setup and most of my gap strategies (I have about 15 main ones) PASSED on trading today. I had one that triggered long at the open (3283.0) and it will exit with a time stop near the end of the session or at my stop loss at 3268.0.

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  #8 (permalink)
Escondido CA USA
 
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thegapguy View Post
Hi Tuglife,

Opening gaps in the Emini S&P are pretty much all that I've traded since 2005. In 2008, I wrote a short book/primer called Understanding Gaps and updated it in 2015.

It and the statistics within it are a bit dated, so am happy to share it here it for free. The concepts and lessons learned still apply.

Hope it is helpful.

Scott

Username checks out. Scott, thank you very much for sharing your hard work.

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