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I have a strategy i tested by hand for 6 months on a daily basis with raw data from wsj and i would like to find some help from someone that wouldn't mind speaking to me or reviewing some of the documents of research i did.
My ultimate goal would be to figure out a way to set it up as a screener or backtest it on history of futures but i am not sure if it is possible!
My fear is someone telling me that my strategy or formula already has a name.
In short my formula:
I found that on certain futures contracts a gap of x between the close and open translates to either a trend in the same direction or opposite. The x depends which direction.
Please please i would love to get some feedback on this asap! Open to everything! Thanks
Can you help answer these questions from other members on NexusFi?
Opening bell gap, good. I already have that logic written.
So, now all I need is X, and can backtest 20 years on the daily in TOS.
See how your plans stack up.
Also, are we holding and closing EOD, or closing per target?
So this is a very very rough draft! I never rewrote this. This is specifically for futures contracts with an active volatility. The X depends on which contract you are trading as you can see in the paper kinda like what you said i have 6 months of testing by hand where i sorted out which paramaters work best!
The Euro i came up with trade over 200,000 vol 7pt change trend on gap direction! It worked 90%
Gaps trading is very common. However, 90% of gaps are filled. What I think your backtester should look for is on average how quickly does it get filled. Understanding where and why a gap has occurred is also very important. I find gaps above or below an important support or resistance level typically continues to move it that direction after perhaps a test of that broken support and resistance. However most gaps are filled over time. There is a tons of code and material online of gap trading. Reading your notes your requirements don't seem overly complex. First provide your definition of a gap. Then what the trigger for a long or short trade would be. Very simple when you write it down. Then define what can be automated and what requires manual intervention.
To understand why the gap has occurred is a good factor i haven't added to my formula which would be the fundamentals.
I ran into a problem which is kind of obvious. The open and close i would use from the futures market would come from the daily wall street journal OLHC. So was i using NY OPen Close data. My understanding is that technically the futures market doesnt close so are these gaps i really found or not????
Specifically depending on the currency index or commodity and the parameter i set some tended and some filled the gap but i justified a pattern good enough to determine that regardless of the action it was consistent enough during to futures contract months March 2016 June 2016 to call them good. I plan to gather some data for this years March 2017 and June 2017 wsj or rather ny open and close data so i can check this years data with these parameters i had set! Any idea where i can find this data? Links?
