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If you need help with reading and using these data please visit Fading Opening Gaps 101.Trade at your own risk!
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Yesterday's post said
"Today's Market Exception(Rare Situation):
If the Emini S&P Future opens below 1126.50 and the gap gets closed(1110.50), there is probability of 86% (combined with high profit factor of 1.6) that the market would move 4 more points in the same direction(direction of fading the gap). So the strategy for this would be wait until market reaches 1110.50, wait for a pull back and then go long/short if the opening price is below/above 1110.50. The recommended stop would be 5 point from the open price away from 1110.50. Depending on where the market opens, it may help to adjust your target and stop according to pivot levels."
Recap of yesterday Action:
ES opened at 1109.50, well below 1126.50 that the above strategy was calling for. It closed the gap in the 9:35 bar. I waited for a pull back and bought it at market. The entry price was 109.25. My target was 4.5 points but after observing some weakness in the market I lowered my target to 2.5 points. It was hit at 9:45 bar but it went up all the way to my original target before starting its downturn.
Today's Summary:
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. What do these numbers mean?
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 trading, 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.
Gap fading probability numbers for June 23, 2010
Emini S&P Future
H(High) = 1114.50
O(Open) = 1109.50
C(Close) = 1090.50
L(Low) = 1089.50
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 | All | All | ||
| Short | Short | Short | Long | Long | LONGS | SHORTS | ||
| PF | 1.50 | 0.63 | 8.00 | 0.77 | 0.76 | 1.05 | 0.89 | |
| PCT Prof | 60% | 38% | 90% | 50% | 50% | 64.11% | 61.01% | |
| Avg Loss | $250 | $250 | $250 | $306 | $292 | $274 | $262 | |
| Net Loss | $500 | $2,000 | $750 | $2,750 | $2,625 | $24,363 | $32,525 | |
| Loose | 2 | 8 | 3 | 9 | 9 | 89 | 124 | |
| Avg Win | $250 | $250 | $222 | $236 | $222 | $161 | $149 | |
| Net Win | $750 | $1,250 | $6,000 | $2,125 | $2,000 | $25,588 | $28,850 | |
| Win | 3 | 5 | 27 | 9 | 9 | 159 | 194 | |
| Avg P/L | $50 | $58 | $175 | $35 | $35 | $5 | $12 | |
| Net | $250 | $750 | $5,250 | $625 | $625 | $1,225 | $3,675 | |
| Total | 5 | 13 | 30 | 18 | 18 | 46 | 57 |
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 | 4.57 | 1.28 | 1.83 | 1.25 | 1.11 | 1.09 | 1.67 | |
| PCT Prof | 76.92% | 63.16% | 76.56% | 81.25% | 55.93% | 70.00% | 74.14% | |
| Avg Loss | $250 | $288 | $310 | $423 | $355 | $363 | $301 | |
| Net Loss | $750 | $2,013 | $9,300 | $6,350 | $9,225 | $31,600 | $25,000 | |
| Loose | 3 | 7 | 30 | 15 | 26 | 87 | 83 | |
| Avg Win | $343 | $215 | $173 | $122 | $311 | $170 | $175 | |
| Net Win | $3,425 | $2,575 | $17,000 | $7,925 | $10,250 | $34,538 | $41,688 | |
| Win | 10 | 12 | 98 | 65 | 33 | 203 | 238 | |
| Avg P/L | $206 | $30 | $60 | $20 | $17 | $10 | $52 | |
| Net | $2,675 | $563 | $7,700 | $1,575 | $1,025 | $2,938 | $16,688 | |
| Total | 13 | 19 | 128 | 80 | 59 | 290 | 321 | |
Good luck and please direct any questions or suggestions!
Copyright © Ali Mohseni 2010 Charts are created using Tradestation software.
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