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shodson's Trading Journal

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  #411 (permalink)
 LukeGeniol 
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Have u some rules for take or not the gap, or you take it always? I also noted that u close the position at the low of body of the last 15 min candle of the prev session, and not when gap is closed, ie when the price react the prev session close price, is this a backtesting rules?

Thanks.

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  #412 (permalink)
 shodson 
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LukeGeniol View Post
Have u some rules for take or not the gap, or you take it always? I also noted that u close the position at the low of body of the last 15 min candle of the prev session, and not when gap is closed, ie when the price react the prev session close price, is this a backtesting rules?

Thanks.

I only fade the gap when doing so has a good win rate and a profitable expectancy. That's what the spreadsheet is for. I did not fade the gap mon or tues this week because the setups were not favorable looking to me. Monday's gap did fill but Tuesday's did not.

The gap is based on yesterday's Globex settlement price, not the close of the last bar of the session.

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  #413 (permalink)
 shodson 
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LukeGeniol View Post
Have u some rules for take or not the gap, or you take it always? I also noted that u close the position at the low of body of the last 15 min candle of the prev session, and not when gap is closed, ie when the price react the prev session close price, is this a backtesting rules?

Thanks.

Scott goes over in pretty good detail why today's setups were good ones in his gap wrap video if you want to understand more.

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  #414 (permalink)
 shodson 
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Thursday, October 8th - ES opened in a good zone but the gap was too small and the extended target setup was not strong. NQ was a doji yesterday so the setups around the close were an illusion. I did take a small gap trade in TF and went for the extended target in YM with its small gap open.

I resolved my TF problem from yesterday by setting my "Time in force" setting in the strat to "Day", which defaults to "Gtc". I don't know why either one matters with market orders, but oh well.

TF: +7 ticks
YM: +28 ticks



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  #415 (permalink)
 shodson 
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Monday, October 11th - We had small but tradable up-gaps, with all 4 markets having good gap setups for these zones. YM and TF's gap filled quickly. ES touched the target twice before finally coming back a 3rd time to fill. NQ never got close and remained strong avoiding the morning lows the most of the day until the market tanked at the end of the day and filled its gap.

ES: +8 ticks
YM: +16 ticks
NQ: +19 ticks
TF: +13 ticks




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  #416 (permalink)
 shodson 
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Tuesday, October 12th - While there were some good gap setups, yesterday's price action was a doji in most markets and the range was very narrow. This led me to stay away from any gaps more than 40% of yesterday's range. Gaps in all 4 markets would have been stop-outs if faded. Otherwise, I normally would have faded the ES and TF today and lost $500.

I watched an interesting video on Steenbarger's 40% gap research and recent performance of the gap guides of such a rule. I'm incorporating this into my MIN/MAX calculations now. MTG has some additional research on the 40% rule as well.

Talked to some forex trader friends yesterday. Due to the new CFTC limits on margin they are looking to trade forex outside of the US. However, you may be taxed in the other country and then again when you try to repatriate the money, so it may not be worth it. Plus, I think 50x margin is still plenty of margin, don't you think? However, with the current margin one friend has tripled his account in 3 weeks. I just hope he doesn't blow up his account.

NO TRADES




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  #417 (permalink)
 shodson 
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Wednesday, October 13th - We had good sized gap above yesterday's highs in all 4 markets. 3 of them had good gap guide data, but only the NQ's was less than 40% of yesterday's range. I went short and got stopped out.

NQ: -50 ticks




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  #418 (permalink)
 shodson 
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Thursday, October 14th - We got small gaps this morning. When gaps are small I look to see if I want to go for the extended target. In this case, only YM fired a trade. It got close (3 ticks from my target) but then turned around and stopped me out.

Perhaps I should have my stop tightened when the target is close, but I have not decided to do that at this point. Also, it would have been nice to enter later with a better price with a better risk/reward. I am interested in looking at this for future trades, but I know I will miss those gap trades that fill quickly without any pullbacks and will still catch every loser, but with smaller losses and larger wins. My recollection is that most gap trades do have a nice pullback before hitting their target and that the sum benefit of these bigger winners with less risk outweigh the fast-filling gaps that I would miss out on, but I have no data to prove that at this point.

Still, looking at this trade I don't think I did anything wrong. It just didn't work out. It's just one trade. High probability is not certainty. This will not affect my trading plan. Tomorrow is a new day. I'm still up nicely for the month. Hopefully by Jan 2011 my account will have grown enough to trade 2 cars.

I'm not sure why I lost 51 ticks, it should have been 50. I SetStopLoss() with 50. This is either a bug in Ninja or something went wrong with the broker. I guess that could be due to slippage on the sell stop, but that's pretty rare.

YM: -51 ticks




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  #419 (permalink)
 shodson 
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I traded the first hour guides this morning on SIM, trying to figure out which way to best trade these. Using my current approach none of the setups passed my criteria, but I'm wondering if my criteria is too strict because I'm not getting many setups with these that meet my criteria. Many other trade them with lower win rates and PFs. I had good success with these in August. At any rate, the two best setups, yet not confirmed in other markets, were to fade the lows of the YM's first-hour low and to short the breakdown of the TF's first-hour lows, two seemingly divergent setups. However, I took both on SIM for kicks. Ironically, both trades almost worked at the same time. The YM fade failed as it stopped out by just a few ticks then turned around to hit what was its original target. The TF break-down trade did work before it also turned around. I'm not sure what I learned but I'm still testing my approach to these.




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  #420 (permalink)
 shodson 
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Friday, October 15th - We had nice sizable up gaps in all 4 markets today. Fading u p gaps are very favorable on options expiration day, though I didn't know that until after the open when I read the Gap Play. I set up to fade the x-H zones in NQ, but the gap was too large. For some reason though I didn't set up to trade this zone in the YM and looking at the guides I don't know why. I was probably a little afraid of gaps that high after 2 days of losses, but I'm not sure. All of the gaps filled nicely, NQ almost didn't but it did.

Options expiration days are generally range-bound and in the ES due to options pinning. I saw exhaustive volume at the bottom of this strong down move. Also, I liked the bullish sentiment around Bernanke's statements about "we need to do more" that was the reason for the market opening higher in the first place. So in between getting my kids ready for school I set up a discretionary trade to get long on the turn, target the middle of the range (+5pts) and put my stop just below the low of the day (-4pts). Worked out well for a nice winner. Part of me took the trade because I felt entitled to some money after having missed that YM trade.

Fear...entitlement...a little emotional today, aren't we?

ES: +20 ticks






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