Gap Probabilities for Wednesday 7/21/2010

Gap Probabilities for Wednesday 7/21/2010

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These Probabilities Have lead to 100% Winning Trades so far since June 2010!

Please note that the above factual statement does not mean that it is mathematically possible for this to continue for ever.  Having said that, I believe this system will help you gain remarkable advantage over random trades.

For help with using this guide visit Fading Opening Gaps 101.

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LBR Group 
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H, O, C, and L refer to High, Open, Close and Low of yesterday

Yesterday's Forecast and Review

Yesterday's Forecast and signals:
ES pivot points:           Signals:
(based on prior day's data)     (based on today's opening price)

R3:	1092.00
Fib 1.618:	1079.75
R2:	1078.00
Fib 1.272:	1074.75
R1:	1071.00
High:	1071.00
				SELL
Open:	1065.25
				SELL
Close:	1064.25
Pivot:	1064.00
Low:	1057.00
				BUY
S1:	1057.00
Fib 1.272:	1053.25
S2:	1050.00
Fib 1.618:	1048.25
S3:	1036.00

High Probability

Medium Probability

Aggressive

Very Aggressive                                                  
Before Gap
Table -1 and Table - 2 have nothing in common.  We do not have any of highest probability trades.  We have a medium probability in in the O-C zone (1065.25 to 1064.25) which has only 1 point potential profit and it is not tradable.
Stop Loss = 5.

After Gap
According to Table - 3, we have a very aggressive trade (because of small sample size) in C-L zone (1064.25 to 1057).  If the market opens in this zone and the closes the gap (1064.25) then there is a good chance it will go up another 4 points. I will not take this trade.
Stop Loss = 5.
Yesterday's Review:
The market opened at 1053.25, below the low of prior day in the L zone.
 Before Gap:
We had an aggressive buy signal in this zone as shown on the previous day signal above.  It ended up with a nice win of 11 points.  I personally trade only the highest probability trades.  This trade did not fit my criteria of trading, but if you are willing to take more risk, you may get rewarded better as it was in this case.

After Gap:
We has a very aggressive trade in C-L zone which did not trigger.

Today's Forecast Summary:

Before Gap
Table -1 and Table - 2 agree on a short trade if the market opens above close(1080.50) as shown in table - PS below.
Entry = Open Price
Target = Yesterday's Close Price(1080.50)
Stop Loss = 8.25 points from Entry.

After Gap

According to Table - 3, if the market opens bleow the low or above the high of yesterday and it closes the gap, then there is a good chance it will go in the same direction for another 4 points. I will take this trade.

Entry = Close
Target = Close +- 4
Stop Loss = 8.25.

Table - PS

ES pivot points:           Signals:

(based on prior day's data)     (based on today's opening price)

R3:	1127.00
R2:	1099.25
Fib 1.618:	1098.00
R1:	1090.00
			Sell (1080.50-1090)
Fib 1.272:	1088.25
High:	1080.75
Close:	1080.50
Pivot:	1071.50
S1:	1062.25
Open:	1053.25
Low:	1053.00
Fib 1.272:	1045.50
S2:	1043.75
Fib 1.618:	1035.75
S3:	1016.00

High Probability

Good Probability

Aggressive

Very Aggressive                                                  

The Following tables are prepared daily based on more than 12 years of data.
Today's Raw Data:

Table - 1        Gap Fade Probabilities (based on Market Structure)

What are these rows and columns? 

Profit Target = Gap Close, Stop Loss = 8.25 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 = 8.25 points.

Opening Zone		> H	H-C	C-O	O-L	< L	All	All
		Short	Short	Long	Long	Long	Longs	Shorts
PF		1.56	1.25	1.07	0.93	0.80	1.09	1.67
PCT Prof		65%	81%	74%	54%	43%	70%	74%
Avg Loss		$296	$311	$371	$297	$313	$363	$301
Net Loss		$8,275	$4,663	$11,513	$3,263	$1,250	$31,600	$25,000
Loose		28	15	31	11	4	87	83
Avg Win		$248	$88	$138	$234	$333	$170	$175
Net Win		$12,875	$5,813	$12,325	$3,038	$1,000	$34,538	$41,688
Win		52	66	89	13	3	203	238
Avg P/L		$58	$14	$7	$9	$36	$10	$52
Net		$4,600	$1,150	$813	$225	$250	$2,938	$16,688
Total		80	81	120	24	7	290	321

Table - 3     After Gap probabilities(based on Market Structure)

Profit Target = 4 points, Stop Loss = 8.25 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.