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shodson's Trading Journal
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shodson's Trading Journal

  #511 (permalink)
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mainstream View Post
The art of war and the science of trading - Education - Futures Magazine

This is the second page that specifically addresses the gap trade.

Ah, that is written by Scott Andrews, the founder of MasterTheGap.com, of which I am a subscriber (often referred to in this journal as "MTG"). It's a brief introduction into the gap trading strategies and filters that they teach, and that I've incorporated and personalized into my gap trading strategy.

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  #512 (permalink)
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Friday, December 10th - I picked up 2 nice gap trades in NQ and TF, both winners. Suffered a fair amount of slippage, costing my about $50 total. I'm thinking about using limit orders at the open instead of market orders. However, sometimes slippage goes in my favor, but more often than not it does not seem to be favorable.

NQ: +21 ticks
TF: +18 ticks



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  #513 (permalink)
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Barely missed a few really nice trades


Monday, December 13th - We had good gap guides but the market opened too high to fade the gap per the 40% rule by just a few ticks. The gaps did close at the end of the session in all markets without hitting my stop loss levels. I had set up to fade the gap in 2 markets in this zone but it just opened a little too high.

I saw Globex high right near R2, and there were mostly negative TICKs as the market was rallying, so I put in a limit order to get short at Globex high (1241.25), which I later raised to R2 (1242.25) in ES. It rallied to 1242.00 a couple of times, 1 tick short of my entry, then rolled over at the end of the day as I thought the pennant formation would unravel to the downside, which it did, unfortunately without me on-board though.

NO TRADES.

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  #514 (permalink)
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shodson View Post
Monday, December 13th - We had good gap guides but the market opened too high to fade the gap per the 40% rule by just a few ticks. The gaps did close at the end of the session in all markets without hitting my stop loss levels. I had set up to fade the gap in 2 markets in this zone but it just opened a little too high.

I saw Globex high right near R2, and there were mostly negative TICKs as the market was rallying, so I put in a limit order to get short at Globex high (1241.25), which I later raised to R2 (1242.25) in ES. It rallied to 1242.00 a couple of times, 1 tick short of my entry, then rolled over at the end of the day as I thought the pennant formation would unravel to the downside, which it did, unfortunately without me on-board though.

NO TRADES.

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i hope you dont mind but i was looking at your chart - the low of that green bar (1240.50) at 13h45cst was the trigger bar for the short - i posted that on the chat today

ciao

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  #515 (permalink)
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Index correlations

Wednesday, December 15th - There were small gaps in various zones across the markets, but I picked up a small winner in YM.

I checked in later in the day and saw that all 4 indexes looked like they were going to reverse. I put in an order on TF but changed it to a SIM trade, I guess for lack of confidence in my setup or fear of loss. I didn't really have a complete trading plan for this entry, I was just trading what I saw. Maybe, after a while, you just "feel" the market and can confidently trade in-synch with it, but I don't think I've achieved such Yoda-like mastery and I didn't want to deal with the emotions of the trade, so I guess that's why I went SIM. At any rate, my read was right and the markets took a dive.

We're at the middle of the month now and I've recovered from 66% of my drawdown at the beginning of the month, slowing chipping my way back to even on the month, market willing.

YM: +15 ticks
TF: +28 ticks (SIM)


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  #516 (permalink)
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Thursday, December 16th - We had very small gaps, but I went for 2 extended target gap trades, 1 winner, 1 loser.

YM: -51 ticks
NQ: +20 ticks


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  #517 (permalink)
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shodson View Post
Thursday, December 16th - We had very small gaps, but I went for 2 extended target gap trades, 1 winner, 1 loser.

YM: -51 ticks
NQ: +20 ticks


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Hi Shodson,

Have a look to www.medianetrix.com the trading system is very valid. You don't need to buy it but you can pick up some interesting ideas and mix them with your actual system (Check the monthly realtime trades log). It seems to me that your Draw Downs are quite high and you should improve them. With reguard to your 40% ATR filter it is correct as demonstrated by this study TraderFeed: Do Opening Gaps Tend to Fill?

Don't give up, as fully demonstrated by the Gap Guy and other statistics, Gap systems have a high profitability ratio you only need to adapt the system to your own style and possibilities.

Ciao,
RR

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The 40% rule


redratsal View Post
With reguard to your 40% ATR filter it is correct as demonstrated by this study TraderFeed: Do Opening Gaps Tend to Fill?

It's based on the URL below, which, in turn, is based on Steenbarger's blog post.

The Gap Guy - Gap Guy Blog - Brett Steenbarger's "40% of Range" FilterExplored

Also, this post is an overview (video) of the 40% rule's performance through Sept of this year.

Gap trading using the 40% rule

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  #519 (permalink)
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redratsal View Post
Have a look to www.medianetrix.com the trading system is very valid

I remember this guy about a year ago when he launched is gap trading ATS, I actually had a few emails with the chap. His site looks more professional and has more diverse sets of products now.

It's interesting he trades CL gaps. I've been doing some gap analyses on CL myself lately, it's still early but I like what I see so far.

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  #520 (permalink)
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shodson View Post
I remember this guy about a year ago when he launched is gap trading ATS, I actually had a few emails with the chap. His site looks more professional and has more diverse sets of products now.

It's interesting he trades CL gaps. I've been doing some gap analyses on CL myself lately, it's still early but I like what I see so far.

I have looked at CL gaps....CL has a strong tendency to hit at least the half gap fill during the day (except for strong trend days). The trick is to know when to get in. CL will frequently go away from gap fill for a significant move and then turn towards the gap. I have found entering at some point below the opening price after the initial move is the safest play. Hope this helps and maybe if we all throw in our observations, we can create a workable play/strategy
Papa15

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