IMPORTANT NOTICE: Futures trading has large potential rewards, but also large potential risk . You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. This is neither a solicitation nor an offer to Buy/Sell futures or options. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this web site. The past performance of any trading system or methodology is not necessarily indicative of future results.
Trade at your own risk!
If you need help with reading and using these data please visit Fading Opening Gaps 101.Trade at your own risk!
If you need help with trading in general, the best place I have found so far is LBR Group headed by market wizard Linda Raschke. Beware that most other sites are purely scams.
Yesterday's post said
"The following numbers for fading a gap between 1090.50-1109.50 is exceptionally high. So it may be good to fade them as long as it is not too small a gap. Also if the market opens above 1114.50, the numbers are pretty good.
If the market opens between 1090.50 to 1109.50 and closes the gap, then there will be a %76 chance that it will hit 1086.50.
If the gap is very small and not worth trad
ing, it may be good to trade this second part only. The risk factor is that we have the low so close to yesterday's close. So we may improvise this play to wait until we hit the low instead of close before we enter."
Recap of yesterday Action:
ES opened at 1192, above prior day close of 1090.50 that the strategy was calling for. I went short at the open with the filled price 1191.75. My target( gap closed) was hit in less than a minute. Earlier the market was higher but most of the gap was filled before the open. My second trade plan was to wait until 1089.50 is hit. Then go short again at a pull back for 4-5 point. Unfortunately right at this critical moment My 3.5 years old needed my urgent attention in the bathroom. At the same time UPS man rang the bell and my phone also started ringing. By the time I was done with these sudden events, the market had hit that 1089.50 pulled back and it was already half way to my would-be-target. I decided to pass on it at that point but it would have been a wining trade if .....
Today's Summary:
First of all congratulations!!!!! team USA made it to second round of the world Cup, at top of the group C leading England. Let's see if we can congratulate ourselves for making good trades, today!
If the market opens in HC area (i.e. Between High and Close), there is a 74% chance that it will hit the close with an excellent profit factor of 1.98. The long trades do not look as good. But if the market opens above 1080.25, according to market structure, there is 63% chance of winning with low sample size. Its corresponding data from timing is very good. It does not meet my criteria for high probability trades but it may be good for more aggressive traders.
I can't see anything here that supports the second trade (the trade after the gap closes). There are going to be many days when a high probability trade can not be identified. The universe of gap plays is only slightly in our advantage. After commissions and slippage, it is probably at disadvantage. My goal here is to explore this universe and find the good and bad neighborhoods in as much contrast as possible. To me identifying a bad neighborhood is just as important as a good neighborhood. This way you will get to keep your wallet! People living in USA know what I mean!!!(lol)
Gap fading probability numbers for June 24, 2010
Emini S&P Future
H(High) = 1095.75
O(Open) = 1092.00
C(Close) = 1087.00
L(Low) = 1080.25
Trade at your own risk!
All numbers below are based on Profit Target = Gap Close, Stop = 5 points.
Emini S&P Future
What are these rows and columns?
| H | HO | OC | CL | L | ||
| Short | Short | Short | Long | Long | ||
| PF | 4.00 | 1.94 | 1.80 | 1.50 | 1.00 | |
| PCT Prof | 80% | 69% | 73% | 63% | 50% | |
| Avg Loss | $300 | $320 | $333 | $333 | $300 | |
| Net Loss | $300 | $1,600 | $1,000 | $1,000 | $1,800 | |
| Loose | 1 | 5 | 3 | 3 | 6 | |
| Avg Win | $300 | $282 | $225 | $300 | $300 | |
| Net Win | $1,200 | $3,100 | $1,800 | $1,500 | $1,800 | |
| Win | 4 | 11 | 8 | 5 | 6 | |
| Avg P/L | $180 | $94 | $73 | $63 | $0 | |
| Net | $900 | $1,500 | $800 | $500 | $0 | |
| Total | 5 | 16 | 11 | 8 | 12 |
The following info is based on timing:
Emini S&P Future
What are these rows and columns?
| H | HO | OC | CL | L | All | All | ||
| Short | Short | Short | Long | Long | Longs | Shorts | ||
| PF | 1.95 | 2.75 | 1.96 | 1.67 | 1.15 | 1.28 | 1.55 | |
| PCT Prof | 55% | 72% | 79% | 81% | 56% | 69% | 72% | |
| Avg Loss | $220 | $251 | $330 | $363 | $341 | $325 | $294 | |
| Net Loss | $1,100 | $2,263 | $7,925 | $4,725 | $8,863 | $29,225 | $26,488 | |
| Loose | 5 | 9 | 24 | 13 | 26 | 90 | 90 | |
| Avg Win | $358 | $270 | $169 | $146 | $310 | $188 | $181 | |
| Net Win | $2,150 | $6,213 | $15,538 | $7,900 | $10,225 | $37,500 | $40,950 | |
| Win | 6 | 23 | 92 | 54 | 33 | 200 | 226 | |
| Avg P/L | $95 | $123 | $66 | $47 | $23 | $29 | $46 | |
| Net | $1,050 | $3,950 | $7,613 | $3,175 | $1,363 | $8,275 | $14,463 | |
| Total | 11 | 32 | 116 | 67 | 59 | 290 | 316 | |
Good luck and please direct any questions or suggestions!
Copyright © Ali Mohseni 2010 Charts are created using Tradestation software.
No comments:
Post a Comment