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What factors effect the range of the first 30 mins after ES open?
I'm working on a system that trades just after the open that I've determined statistically does not work if the range of the first 30 mins after 9:30 open is too small, anything under 7pt range has close to a 100% loss rate, the success rate and R/R rise as the range rises above 7pts. Obviously the problem is the range of the first 30 mins is unknown at the time of entry so I am looking for something that will at least give me an indication as to if the opening range may be a small or large range open in advance of the open. I've compiled data involving different period ATRs, globex range, previous day ranges, and globex range from the 93 mins (last 10% of the session) prior to 9:30 and have not found a significant correlation. I'm currently compiling VIX data to see if that is helpful. My goal is to find a filter so the system does not trade if the conditions are not ideal.
Thanks in advance.
Can you help answer these questions from other members on NexusFi?
I have used the reactions of the market based on the economic reports that come out before the open to help me gauge the volatility of the open. I hope that helps, good luck.
1) where is the 200 ema on the 5 min chart
2) what happened over night ( up/down/flat)
3) Did we gap up or down from close of yesterday if so how much
4) How far away are we from High of yesterday/Low or yesterday bull target is HOY bear target is LOY
5) overall trend structure
I use the amapivotsdaily to show (open,close,high,low) with this levels on the chart it is easy to see when price turns somewhere and it happens to be at the previous day open... look at today we are sitting right near the RTH open of yesterday,
-P
"Truth is not what you want it to be; it is what it is, and you must bend to its power or live a lie"-Miyamoto Musashi
>>anything under 7pt range has close to a 100% loss rate<<
You need a different system, preferably one that takes profits inside that 7pt range. 3pts gets you $150/ct. Three contracts gets you $450. Why not have a goal that is achievable instead of one that is not.
