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shodson's Trading Journal
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shodson's Trading Journal

  #591 (permalink)
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Thursday, January 20th, 2011 - Took a losing trade after the London open this morning which I realized I should not have taken. Avenged the loss ahead of the next London open with a nice winner.

6E: +20 ticks

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  #592 (permalink)
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Friday, January 21st, 2011 - I took a discretionary trade based on gap data. Here was my thinking:

Risks
------------
- Trading against the trend, the market had been trending up all night, this is a counter-trend trade.
- Fridays historically seem more frustrating/problematic for me for some reason.
- It's options expiration day!

Advantages
------------
- The market roared up 15 points in the overnight market, not sure why, so it may be overdone.
- The gap guide data had a good-ish win rate, but very good profit factors both in ES and YM suggested this was a profitable setup.
- Good risk/reward opportunity

However, instead of targeting gap fill, I targeted 5pts, which was my original risk. Why? Most gaps this large don't usually fill. Also, I saw three levels of confluence right around the 4-5pt target area. I had the 50 fib from the overnight move, the 38 fib from yesterday's low, and yesterday's high all converged around 1280-1281. And as we all know, these levels are very important. So with that I thought maybe I should shrink my target/expectations a bit and target just above the confluence area, but I did not.

Once I saw price go up, then turn down back to where it opened I went short when it revisited the opening price. I got as close as 2 ticks from my target, which caused me to tighten my stop to a +2.5pt profit level, which is where I was stopped out. The stop was premature as it eventually went only 1 tick above my stop, then rolled down and hit my 5pt target, and then some, but I don't regret locking in profits when you get that close to your target.

ES: +10 ticks

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Last edited by shodson; January 21st, 2011 at 06:38 PM.
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  #593 (permalink)
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Gaps in other markets


Hi Shodson,

just read your journal (took a while!) and I was worried I'd get to the last post and find you'd quit, so I'm relieved to see you stuck at it.

In fact you inspired me to build a NT7 strategy to trade the weekend gaps in the forex markets. I'd seen that the gaps often fill nicely but had always thought that "the gaps always fill" was some kind of worthless brokers propaganda - e.g. Gaps get filled, right?

Just to be clear, I'm a forex trader and a mechanical trader so I automate everything. I've also been known to optimise.

I wanted to ask a couple of technical Qs, since I'm not sure about all the extras from MasterTheGap.com like what sort of time frame they use and whether they optimise. Frankly their whole statistics output makes me think it's all US indices related so I figure it can't be relevant to forex - am I right or should I go and dig around there?

I ran my Gap Filler strategy on the Monday open (which for me is 10:00pm London UK time) and apart from a few hiccups it looks good, but the backtesting throws up more questions than it answers right now.

So what exactly is a gap for you on one of these indices?

For me on forex, it's clear space between the high of the last bar on Friday night (if the open is above) or the low if the open is below it. Obviously system results will depend hugely on what my bar size is here. A minute bar might offer a bigger gap, but an hour bar would seem more reliable.

I'll hold off bombarding you with any more questions since your time is obviously valuable, so I'll just add this: great journal!

You can discover what your enemy fears most by observing the means he uses to frighten you.
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  #594 (permalink)
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Adamus View Post
Hi Shodson,

just read your journal (took a while!) and I was worried I'd get to the last post and find you'd quit, so I'm relieved to see you stuck at it.

In fact you inspired me to build a NT7 strategy to trade the weekend gaps in the forex markets. I'd seen that the gaps often fill nicely but had always thought that "the gaps always fill" was some kind of worthless brokers propaganda - e.g. Gaps get filled, right?

Just to be clear, I'm a forex trader and a mechanical trader so I automate everything. I've also been known to optimise.

I wanted to ask a couple of technical Qs, since I'm not sure about all the extras from MasterTheGap.com like what sort of time frame they use and whether they optimise. Frankly their whole statistics output makes me think it's all US indices related so I figure it can't be relevant to forex - am I right or should I go and dig around there?

I ran my Gap Filler strategy on the Monday open (which for me is 10:00pm London UK time) and apart from a few hiccups it looks good, but the backtesting throws up more questions than it answers right now.

So what exactly is a gap for you on one of these indices?

For me on forex, it's clear space between the high of the last bar on Friday night (if the open is above) or the low if the open is below it. Obviously system results will depend hugely on what my bar size is here. A minute bar might offer a bigger gap, but an hour bar would seem more reliable.

I'll hold off bombarding you with any more questions since your time is obviously valuable, so I'll just add this: great journal!

For indexes we are only using RTH so a gap is when the 9:30am NY time open is above or below the previous trading day's 4:15pm Globex settlement price.

Since there is a bias of gaps to fill, the trick comes down to how much heat are you willing to take while waiting for the gap to fill. I would consider something based on a percentage of range/ATR for your stops. Also, use filters such as overall trend direction, price action patterns and any seasonality filters that might be appropriate for your market.

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Will this year be like last year?

Hoping so, very simple, non-optimized, 2 parameter, 2 indicator, morning-only strategy, simple 15min bars

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Hmm, that wasn't fun

Monday, January 24th, 2011 - I got short on a trend-line, the market decided to make new highs instead. The trend seemed fresh, poised for more moves, but perhaps it was just a retracement in a higher time-frame up-trend. Turns out I was just stop-hunted I got stopped out right near top tick. Ironically, my original stop was 5 ticks higher, which would have survived the trade

6E: -25 ticks

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Last edited by shodson; January 25th, 2011 at 11:03 AM.
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Stopped out again near range highs/lows

Tuesday, January 25th, 2011 - Took two gap trades pon YM and TF. YM filled quickly but TF flailed around for a while, stopped me out near the lows of the day then filled into the close for what could have been a 43 tick winner.

YM: +20 ticks
TF: -35 ticks

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Wednesday, January 26th, 2011 - I took 3 gap trades. YM and NQ were small winners. ES almost hit its target but turned around. Then I started getting "The Dow has crossed 12,000" email news alerts from CNN and WSJ on the heels of Obama's state of the union speech so I stopped my strategy and exited my ES trade early and prevented 1.5pts of additional losses. Overall, the day was pretty much a scratch.

ES: -14 ticks
YM: +14 ticks
NQ: +17 ticks


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Thursday, January 27th, 2011 - Small gap, plus slippage. I'm glad it filled and didn't stop me out. I hate risking so much for so little.

NQ: +7 ticks

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Friday, January 28th, 2011 - Took a winning gap fade on ES. I should have taken one on NQ too but I didn't get the strategy setup in time before the open. That also would have been a winner.

ES: +6 ticks

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