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Forecast for 7/26/2010:
 |
| Before Gap |
Type = Very Aggressive
Entry = Opening price
Direction = Long
Target= 1101
Stop = 10.25 Points
Target= 1101
Stop = 10.25 Points
 |
| After Gap |
Type = High Probability
Entry = 1101
Direction = In the direction of closing the gap
Target = 4 PointsStop = 10.25 Points
Table - PS ES pivot points:
Review 7/23/2010:
Forecast:
Before Gap
No trade for Before Gap.
No trade for Before Gap.
After Gap
The market opened at 1087.25 between the close and open of the prior day. It triggered the "Buy Stop at 1088.50" for a target of 4 points and stop of 9 points. Here is what happened:
Review: The price hit our buy stop entry order at 9:40 bar. It moved up within 3 ticks of our target on the next bar. Then it went to draw down area for about 25 minutes but it did not get close to our stop loss point. It finally hit the target at 10:35 bar. Raw Data 7/26/2010:
The Following tables are prepared daily based using more than 12 years of data.Profit Target = Gap Close, Stop Loss = 10.25 points.
| Opening Zone | > H | H-C | C-O | O-L | < L | All | All | |
| Short | Short | Long | Long | Long | Longs | Shorts | ||
| PF | 1.34 | 1.77 | 1.24 | 0.58 | 1.25 | 1.13 | 1.51 | |
| PCT Prof | 69% | 81% | 70% | 47% | 58% | 66% | 74% | |
| Avg Loss | $298 | $226 | $213 | $266 | $256 | $225 | $276 | |
| Net Loss | $18,750 | $5,875 | $16,600 | $4,250 | $2,813 | $25,188 | $26,188 | |
| Loose | 63 | 26 | 78 | 16 | 11 | 112 | 95 | |
| Avg Win | $178 | $93 | $113 | $175 | $235 | $128 | $145 | |
| Net Win | $25,213 | $10,413 | $20,638 | $2,450 | $3,525 | $28,438 | $39,538 | |
| Win | 142 | 112 | 182 | 14 | 15 | 222 | 273 | |
| Avg P/L | $32 | $33 | $16 | $60 | $27 | $10 | $36 | |
| Net | $6,463 | $4,538 | $4,038 | $1,800 | $713 | $3,250 | $13,350 | |
| Total | 205 | 138 | 260 | 30 | 26 | 334 | 368 | |
Table - 2 Gap Fade Probabilities(based on timing)
Profit Target = Gap Close, Stop Loss = 9 points.
Table - 3 After Gap probabilities(based on Market Structure)
| Opening Zone | > H | H-C | C-O | O-L | < L | All | All | |
| Short | Short | Long | Long | Long | Longs | Shorts | ||
| PF | 0.88 | 0.86 | 1.15 | 0.81 | 1.07 | 1.05 | 0.89 | |
| PCT Prof | 57% | 82% | 78% | 68% | 49% | 64% | 61% | |
| Avg Loss | $246 | $335 | $322 | $313 | $231 | $274 | $262 | |
| Net Loss | $14,750 | $1,675 | $5,150 | $2,188 | $5,088 | $24,363 | $32,525 | |
| Loose | 60 | 5 | 16 | 7 | 22 | 89 | 124 | |
| Avg Win | $161 | $63 | $106 | $118 | $260 | $161 | $149 | |
| Net Win | $13,050 | $1,438 | $5,925 | $1,763 | $5,463 | $25,588 | $28,850 | |
| Win | 81 | 23 | 56 | 15 | 21 | 159 | 194 | |
| Avg P/L | $12 | $8 | $11 | $19 | $9 | $5 | $12 | |
| Net | $1,700 | $238 | $775 | $425 | $375 | $1,225 | $3,675 | |
| Total | 141 | 28 | 72 | 22 | 43 | 248 | 318 | |
Table - 3 After Gap probabilities(based on Market Structure)
Profit Target = 4 points, Stop Loss = 9 points. Conditional probabilities after the gap is filled.
| Opening Zone | > H | H-C | C-O | O-L | < L | All | All | |
| Short | Short | Long | Long | Long | Longs | Shorts | ||
| PF | 1.30 | 1.10 | 0.95 | 0.34 | 4.85 | 0.93 | 1.19 | |
| PCT Prof | 64% | 56% | 55% | 30% | 88% | 55% | 60% | |
| Avg Loss | $265 | $228 | $237 | $252 | $250 | $239 | $246 | |
| Net Loss | $11,150 | $11,638 | $23,188 | $1,763 | $250 | $26,500 | $24,313 | |
| Loose | 42 | 51 | 98 | 7 | 1 | 111 | 99 | |
| Avg Win | $194 | $197 | $184 | $200 | $173 | $183 | $195 | |
| Net Win | $14,525 | $12,788 | $21,938 | $600 | $1,213 | $24,563 | $28,913 | |
| Win | 75 | 65 | 119 | 3 | 7 | 134 | 148 | |
| Avg P/L | $29 | $10 | $6 | $116 | $120 | $8 | $19 | |
| Net | $3,375 | $1,150 | $1,250 | $1,163 | $963 | $1,938 | $4,600 | |
| Total | 117 | 116 | 217 | 10 | 8 | 245 | 247 | |
Copyright © Ali Mohseni 2010 Charts are created using Tradestation software.
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