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Tuesday, May 18th and Wednesday May 19th - I set up some zones but price just never opened where I wanted. The gap did fill nicely on both days though.
NO TRADES
Can you help answer these questions from other members on NexusFi?
Just saw a nice short setup on ES in ToS here while working, I wonder how it'll play out. Looking at the 30min for trend, entering on the 5min, and using 3min TICK to as an indication to what the underlying NYSE stocks are doing.
I primarily use Ninja still. I use ToS for my IRA where I can trade stocks, options, futures and FX. I also can get market internals (TICK, TRIN, etc) as well from ToS. Also if Ninja is running strats on my server I don't want to connect to ZenFire on my laptop and kill the ZenFire connection on my server running the strats so I check into the markets when I'm away from my trading computer with ToS. I'm not doing any discretionary trading in Ninja anymore, only automated. In ToS the automated trading features aren't nearly as sophisticated so I'm looking to make swing trades in my IRA, but it's been all cash for a couple of years now as I've focused on day trading in Ninja since last summer.
If anybody else uses ToS this site has some cool indicators and tools.
Setting up my strat before I go to bed. I'm setting up to fade the gap in 2 trading zones.
...later...
Decided to not fade a gap up based on what I saw in the daily [AUTOLINK]gap[/AUTOLINK] wrap video for today, which I just watched, which shows that fading up gaps (shorting) after 6 consecutive down days is a money losing setup, so I'm only set up to trade one zone now if it opens between the close and the low of yesterday's down day (D-CL zone).
Thursday, May20th - Opened at 1088.75, below yesterday's low, so no trade. Looks like it wants to re-test the low of the "flash crash" which was around 1066.
Friday, May 21st - I set up some fadable zones but ES opened below yesterday's low and filled a large 16.25pt gap. Re-examining the numbers for that zone, the win rate was not as favorable (61.6%) as my expected 70%, but the profit factor (1.73) was much larger than my normal threshold of 1.3, so it was a very profitable setup. I'm wondering if I might want to consider taking trades with lower win rates if the profit factors are considerably higher like this one. It will probably bring more volatility to my account but overall more profit. For now and at least the rest of May I'm sticking with 70%+ win rate and 1.3 profit factor setups because I don't want to experience too much draw down.
NO TRADES
CL was a pretty up and down day so plenty of opportunity to get chopped around. This system I'm working on automating still had a good day. I'm still playing around with my MM strategies relative to ATR and the type of MTF analysis I'm comfortable with for this. All 3 of my higher time frames were bearish, so you could argue I would not have wanted to take that long trade on the 9:55am bar because while the 30min was bullish the other 2 were still bearish. But requiring many time frames to be lined up in the same direction trades much less frequently but probably will return a larger profit factor, but I won't know for sure until I'm done coding this up and after doing some testing.
Scott, when you say 61.6% and 70%, you are referring to values given to you by a third party, yes? So, how does your own trading compare -- for example, isolate these "70%" trades, do your own trades also show a 70% win rate and profit factor?
Yes and no. No, those are numbers I come up with. Yes, I use 3rd party number from MTG to come up with my numbers, which are a weighted average of market conditions, pattern risk and seasonality (40%, 40% ad 20%) of fading the gap at the open with a stop the size of 30% of the daily 5-day ATR, between 5 and 12.5pts for the ES.
I know I am profitable when I take MTG gap fades as I have been using their gap guide data since November. Initially I pretty much used them as a signal service but around January or February I would say is when I started customizing my own approach to gap fading, which is what the MTG owners want their members to do: create your own style of trading around the gap guide data. They don't want to be a signal service.
Unfortunately I can not say if I have the same results or not because there have been winning and losing setups that I would have taken that I didn't because, primarily, I couldn't wake up early enough to take the trade at the open. To truly know a system's performance you have to take every signal the system gives you and since I missed some I have to say I haven't truly tested the results of 70/1.3 for myself but my sense is that it works. After missing 3 winning setups in a row, I decided to automate my gap fading setups so I wouldn't miss them because I was up too late the night before. In it's current state, it doesn't 100% mimic the way I was manually fading gaps, so it's not a 100% accurate way of how I would trade gaps but it's a start.
I can always go back and look at those set-ups on a "what-if" basis but I didn't start archiving gap guide data until March and MTG doesn't provide historical gap guide data, though it's something they've been talking about.
I started gathering up all of my trades for 2010 from the 3 different computers I've placed trades on into my main trading computer so I can go through and do my homework assignment so after that I'll have a better grip on this and give you a more concrete answer, and treat these efforts more like a business and less like an interesting intellectual hobby.
