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shodson's Trading Journal
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shodson's Trading Journal

  #141 (permalink)
 Vendor: www.probabletrades.com 
OC, California, USA
 
Futures Experience: Advanced
Platform: IB/TWS, NinjaTrader, thinkorswim
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1/11 - Great gap fade setups today, and the gap was almost 5pts! This was a pretty easy setup too, and it filled quickly. SO WHY AM I SO MAD!?!?!?!?

Well, our cable modem hasn't been working since Friday afternoon, so we've been schlepping it on our Verizon wireless modem for that past couple of days. However, I don't want to trade on this and, well, I just didn't have my normal trading environment that I'm used to. Anyways, I missed it. I'm sure I'll have my modem fixed in plenty of time to take the next losing trade! The cable company is coming out this afternoon.

Meanwhile, I went down to my co-lo this weekend for some other things and pulled out 2 under-utilized servers and am going to set them up as trading servers. I also wrote a strategy that will fade the gap for me, so I don't have to stay confined to my computer while I'm in a trade and it will manage the trade for me. It doesn't decided whether to fade the gap or not (that's still a manual process) but it will manage a gap trade if I decide to fade it. This way I can also fade multiple indexes simultaneously if I want. It would have been nice to have this all set up and running this weekend, but I just didn't have time to get it all set up in time to take this fade.

I also spent time going over a simple, breakout system I read about on Forexfactory, the DIBS system. It's a simple inside-bar breakout strategy that looks pretty simple to follow and is profitable (so they say). I eyeballed it for a while on a 6E chart and I could see how it could be a good system. Basically, when you get an inside bar, take a breakout beyond the IB's range but only in the direction of the day's direction. So if the price for the day is above the open, only take long IB breakouts, etc.

The original FF thread is here and the summary of the system is here. This can be easily automated and back tested so I'm going to pursue that. I'd be interested to see what you guys think of this. I'm not a frequent FF follower, but I found out about it from this link from Trade2Win which is a list of some of the best (free) trading systems. I haven't explored all of these yet so I can't vouch for how great or not they are.

NO TRADES - technically difficulties

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shodson's Trading Journal-gap-guide.png   shodson's Trading Journal-gap-play.png   shodson's Trading Journal-es.png  

Last edited by shodson; January 11th, 2010 at 01:24 PM.
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  #142 (permalink)
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Yep, those overnight gaps on a 15 minute ES chart are one of my favorite no indicator setups.

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  #143 (permalink)
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Zoethecus View Post
Yep, those overnight gaps on a 15 minute ES chart are one of my favorite no indicator setups.

How do you use it? To also fade gaps, or some other setup?

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  #144 (permalink)
 Vendor: www.probabletrades.com 
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1/12 - No gap fade, bad odds, blech. Interestingly, the ES on it's own looked pretty good, but the other indexes were aweful, so things weren't lined up as well as I'd like. A few hours into the day and it still hasn't come close to gap fill, though it may still fill. Also, the MTG moderator said the odds on ES might have been so high due to small sample size. I thought about fading it because it was almost a 7pt gap, making the risk/reward attractive, but I didn't feel I had enough of a statistical edge to proceed so I stayed out.

...later...

Turns out that staying away was the right call. The price failed to get above yesterday's low and it would have been a 5pt loss.

For more details on the setup, see the daily gap wrap video.

NO TRADES

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Last edited by shodson; January 12th, 2010 at 07:57 PM.
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  #145 (permalink)
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1/13 - Gap play looked decent, MTG took it but targeted the extended target only because the gap was so small. Picked up at 2.5pts in a quick winner. Of course I WAS ASLEEP as I slept through my alarm. This sleep thing is getting expensive!

NO TRADES

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  #146 (permalink)
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1/14 - Good gap odds, lined up across other indexes, so I decide to fade the gap. Since the gap was small I went for the extended target and got a 2.5pt winner.

ES: 1 winner: 4 @ +10 ticks

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  #147 (permalink)
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shodson View Post
How do you use it? To also fade gaps, or some other setup?

Set your chart to continuous 24 hour trading with 150 bars on a 15 and 60 minute timeframe. No indicators.

The first setup is an OVERNIGHT GAP, not a conventional gap from the close of RTH to the opening. These gaps have a high probabiltiy of filling, but I would only take them if there are at least 3 points to be earned between current price and the price to close the gap. You look for the gap at 9:30 ET. Obviously, if it filled, there is no trade. You will look to take the trade at a major support or resistance level.

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  #148 (permalink)
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Zoethecus View Post
Set your chart to continuous 24 hour trading with 150 bars on a 15 and 60 minute timeframe. No indicators.

The first setup is an OVERNIGHT GAP, not a conventional gap from the close of RTH to the opening. These gaps have a high probabiltiy of filling, but I would only take them if there are at least 3 points to be earned between current price and the price to close the gap. You look for the gap at 9:30 ET. Obviously, if it filled, there is no trade. You will look to take the trade at a major support or resistance level.

So, look at the highs and the lows of the globex session, from session open, after daily maintenance, at 5pm Eastern, until the 9:30 open, and fade that gap? That's very similar to fading the gap from the previous market close at 4:15, just 45mins of difference. Or, when you refer to "overnight", what time are you starting, 12midnight Eastern? If that's the case you're eventually in the middle of the European session which can produce some big moves. So perhaps you could say you're fading the Europeans

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  #149 (permalink)
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shodson: You have been using MTG for awhile now. Would you mind sharing your overall record?I certainly understand if you choose not to share this.

ie: How many total trades, wins losses and net points?

Thanks ... Steve

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  #150 (permalink)
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SteveMc View Post
shodson: You have been using MTG for awhile now. Would you mind sharing your overall record?I certainly understand if you choose not to share this.

ie: How many total trades, wins losses and net points?

Thanks ... Steve

I first learned about them in June at the Trader's Expo in Pasadena. I had a membership briefly in August and then rejoined them in November. I haven't kept track of my own personal wins/losses other than what you see in my journal here. I have logged all of my real-money trades here so you can go through the various posts and count them up if you want.

Sometimes I miss their trades because I'm sick, sleep in (I'm on the West Coast) or technical difficulties. But as far as the picks that they do make to fade the gap, at least since November, their loss rate is very low. As far as overall profitability of their system, I haven't tracked that other than following their backtested (12 years of data) win percentages and profit factors that they publish for each setup in each gap zone. They say some customers complain that they don't fade the gap often enough as they may only call to fade the gap 5-8 times a month, but they'd rather have as much statistical edge on their side instead of taking a trade that's too risky just for the sake of trading.

I also like their chat room as I learn a lot from Scott Andrews (the moderator/founder) even on the days when they don't fade the gap as he analyzes the market, what levels are critical, and interprets TradersAudio noise in the epic battle of shorts vs. longs in the S&P pits. Today I learned about "#1", a very large pit local trader that provides liquidity. They knew his name but it was a strange name, now he is just referred to as "#1". Today I also learned more about "heat gaps", as some gaps are more prone to taking "heat" at the open. I learn something everyday, even on days where we don't fade the gap, he may take a day-trade or two and if not we'll just talk about what we think is going on in the market, or he'll lecture some more about gaps, or someone will ask him about a certain setup/scenario and he'll backtest it for us and give us the results, like he did the other day about targeting 50% gap fill instead of going for full gap fill.

I primarily like them because they are based largely on statistical probabilities, unlike most "systems" or pied pipers out there that want to take your money for following their trades or buying their systems, and you can use the stats to know when to enter the market or stay away. I don't want to trade anything unless I know I have some historical, statistical edge going into a trade. Otherwise, you're just gambling.

This year one of my goals is to better-track each trade in a spreadsheet and more carefully log wins/losses and my P&L. I plan to post a subset of this in a Google Docs spreadsheet that anybody can look at if they want to track my record.

They also have a new money mgt "wizard" product that is very effective at helping you determine your preferable position size based on various factors. I'll see if I can get a special discount for futures.io (formerly BMT) subscribers. You can learn more about it here in this demo video.

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