Tuesday

FDAX

Gap: no gap
Gap closed during IB: x
Position price at 9:30: above prior day HL
IB direction: long

Not many occurrences (because above PrD HL), so again no trade.

Wednesday

FDAX

Last day of the month

Gap: no gap
Gap closed during IB: x
Position price at 9:30: inside prior day HL
IB direction: short

Not many occurrences when filtering on last day of the month, and don’t have a process setup yet for this kind of days. I see nothing good enough to trade.

Thursday

FDAX

1st day of the month

Gap: down gap
Gap closed during IB: no
Position price at 9:30: below prior day HL
IB direction: short

Same as yesterday. Not many occurrences when filtering on 1st day of the month, and don’t have a process setup yet for this kind of days. So, no trade

Friday

Monday Labor day

FDAX

Gap: up gap
Gap closed during IB: closed
Position price at 9:30: above prior day HL
IB direction: Almost flat

Not many occurrences to base a trade on. Has been like this the past 2 weeks.
This is caused by 9:30 price above or below the prior day HL, gaps and last/1st day of the month.

Next week better I hope.

Monday

US Labor day

FDAX

Gap: down gap
Gap closed during IB: no
Position price at 9:30: below prior day HL
IB direction: short

I have a filter ‘Monday US holiday’, that only gives 51 occurrences.
Friday OC was ~258pts, and then in after hours to come back down all the way.
Today a down gap that didn’t close during IB.

3 important items, when I filter on these, there are 0 occurrences. See you tomorrow

Tuesday

FDAX

Gap: no gap
Gap closed during IB: x
Position price at 9:30: above prior day HL
IB direction: long (extreme)

Above and extreme IB don't leave enough occurences to trade

Wednesday

FDAX

Gap: no gap
Gap closed during IB: x
Position price at 9:30: below/inside prior day HL
IB direction: short

Enough occurrences today, win% is ok, but the results are not ok:



So, again no trade.

Thursday

FDAX

Gap: up gap
Gap closed during IB: yes
Position price at 9:30: inside prior day HL
IB direction: short

It's on the edge, but with 16 occurrences I need >=70% win%. So, no trade.

Friday

FDAX

Gap: no gap
Gap closed during IB: x
Position price at 9:30: inside/above prior day HL
IB direction: long (extreme)

Very few occurrences (8), but only 1 loser.

DAX Short (paper) trade
Entry 9:30 @
Exit 11:30 @
SL 51 pts
Result -51 pts (SL)

Historical results with this setup:
SumR 134 (8 trades/win% 87.5%)

So, SumR translates to a relative (to current FDAX price) result of X points per trade (SumR/No of trades/10000*9am open price).

Let’s see

Hello,

So, in August I had made my rules a bit more tight, which would lead to less trades.

In the past 3 weeks of testing I only had 2 (paper) trades.
That is mostly because there have been several days with:
* gaps
* IB close (9:30) price below or above prior day high/low
* extreme values

These situations often don’t give enough (historical) occurrences, so then I can’t trade these.

Here is a breakdown of the 2010-2022 data I’m using, after filtering out all the holidays/special days, 2468 days remain:


After filtering weekday/gap/gap closed/9:30 price position, I add filters like IB open/close, prior day open/close and the day before. So, that works best when there is no gap, and when IB 9:30 price is within prior day high/low.

Anyway, to be able to work with the gaps, I’m using less filters, but need to see better historical results to take a trade.

I hope that makes sense.

Good weekend