ES Equity curve from Raw Gap Fade Strategy

New article:

Draw downs - ES Equity curve from Raw Gap Fade Strategy

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Originally posted by day trading

New article:

Draw downs - ES Equity curve from Raw Gap Fade Strategy

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Is this gap strategy referring to gap that occurs at the opening (9:30EST) or any gap from after the close (4:15EST) to the next day's opening, including overnight trading?

T Rex

From previous day's settlement to next day's open at 9:30EST if I remember correctly.

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Originally posted by day trading

From previous day's settlement to next day's open at 9:30EST if I remember correctly.

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In other words the overnight action was not a factor?

T Rex

Not in that study.

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Originally posted by day trading

Not in that study.

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That setup was pitched by every celebrity trader as a sure fire winner. We all know what happens after that. Failure. (I've coined it the amateur gap). I play a gap strategy based on overnight trading that has a stellar record, but don't ask me for statistics because I don't keep them.

T Rex

Ok T-rex since you didn't post the specific setup how do we evaluate this and give it "credibility"? You said the following in the Indicators thread....
"All replies should include scientific evidence (backtesting) or actual trading statements to give credibility to the indicator."

Lets replace the word "indicator" with the word "strategy". In other words, without posting the setup what relevance does this have? This setup has a great record but you have no statistics? Seems like a contradiction. Please just address the questions and don't redirect. I'd appreciate that.

Bruce

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Originally posted by T Rex

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Originally posted by day trading

Not in that study.

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That setup was pitched by every celebrity trader as a sure fire winner. We all know what happens after that. Failure. (I've coined it the amateur gap). I play a gap strategy based on overnight trading that has a stellar record, but don't ask me for statistics because I don't keep them.

T Rex

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Originally posted by BruceM

Ok T-rex since you didn't post the specific setup how do we evaluate this and give it "credibility"? You said the following in the Indicators thread....
"All replies should include scientific evidence (backtesting) or actual trading statements to give credibility to the indicator."

Lets replace the word "indicator" with the word "strategy". In other words, without posting the setup what relevance does this have? This setup has a great record but you have no statistics? Seems like a contradiction. Please just address the questions and don't redirect. I'd appreciate that.

Bruce

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Originally posted by T Rex

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Originally posted by day trading

Not in that study.

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That setup was pitched by every celebrity trader as a sure fire winner. We all know what happens after that. Failure. (I've coined it the amateur gap). I play a gap strategy based on overnight trading that has a stellar record, but don't ask me for statistics because I don't keep them.

T Rex

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When you change your brusque attitutde and stop pushing your weight around here like you're the boss, you'll get some respect and answers from me. Not the answer you wanted, but I feel it's the one you deserve. (Go ahead now and call me a slimy vendor and so on...)

T Rex

Okay BruceM: I read you have a young family and I'll go against my feelings for this one time in the name of compassion for my fellow man.

Occasionally, during the trading day, I have skype on. my name is not here. look me up if you care and I'll share this 90% winning setup with you for your eyes only. Best after 4:00 EST.

T Rex

One of my original mentors had a matrix set up where he would fiqure out probabilities of returning to the previous days closed based on some of the following:

1) Did we open within or outside of the previous days range?
2) Did we open and move "X" amount of points away from the current days open first?
3) Did we open and move "x" amount of points towards the previous days close?
4)How many points did we open above or below the previous days close?

5) Where was the longer term trend?

He claimed that he could look at his matrix and give statistical probabilities of reaching 25%, 50% , 75% and 100% ( the full gap fill) gap targets..based on the above 5 criteria or cetain combinations of it. There where probably more but I forget them. He also claimed that he could tell what percent of the time we would close above/below the previous days close based on this past information too. I guess the problem comes when Volatility changes etc...I first saw this in 1996 before I actually got my feet wet in the S&P day trading world. I beleive you have done some work like this is relation to where we open to the Value Area. It's a cool concept.

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Originally posted by day trading

New article:

Draw downs - ES Equity curve from Raw Gap Fade Strategy

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WARNING: I DON'T ENDORSE THESE GUYS. THEY DON"T SAY HOW LONG THE LOOK BACK PERIOD IS AND THEY ASSUME JUST BECAUSE MONDAY IS A HOLIDAY THAT YOU SHOULD USE THE STATS FOR TUESDAY.....but here is a link on gaps.Without any evidence to back it up..lol..I feel comfortable based on experience that 70% is a good generic number but I also like to see the market move in the direction of the gap first. So if we gap higher , I'd like to see a first push up before the fade. Reverse for a gap lower, look for a first push down. This shakes out the folks who buy/sell at the open price and then they panic and get forced to cover or go with the gap and then the market makes it's move...We had a few exmples of this during the week...anyway you can decide if this has value to you. Bruce

http://askthetrader.com/freetradingvideos/dontknowgaps/dontknowgaps.html

This has been resolved and I posted a comment in the Trade the Markets thread stating the same. Trade the Markets now have a license to use this material.