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Last day of the month.
Today FDAX opened below prior day HL range (down gap), the gap was not closed during IB, so IB ended below prior day’s HL range. IB is long.
I'm still not sure how to trade the last day of the month. I can play with the filters until a good trade shows up, but that's not the way to do it. Needs work to get to a process for the last day of the month.
I have been looking at NQ data to apply the same rules as I’m using for FDAX.
This seems not to be possible. NQ data has a different distribution, which I already new, because I had to re-define my filter 'ranges' for NQ. I will have to look for different rules/filters.
FESX has a similar data distribution as FDAX, but it’s not giving many good historical trades, so will need work as well.
When looking at the data from 2010 till now, the following shows:
(The values shown in the legenda are calculated based on ATR14 for Prior Day OC and HL or 40 day average of IB OC values for IB OC)
FDAX
NQ
Most significant are:
* Gaps (open compared to Prior Day HL)
* Gaps closed or not during IB
* Price position 30 minutes after opening (9:30am CET time for FDAX, or 10:00am ET for NQ; ignore the 9:30 in the image for NQ)
* And NQ has more days with smaller ranges
When looking at the historical trade results, first I look at the win percentage. Second I look at the sum of the results and for FDAX I want a minimum of 10 pts profit per trade. Using the sum will need change, as 10 pts in 2010 can be compared with about 25 pts now. The FDAX in 2010 has been around 6000 and currently it's >15000.
For the stats I already changed this in March or something, but not for the trading results.
A solution could be to compare the result of the historical trades with the IB open or the ATR for instance.
Anyway, it could only bring more trades, not less.
So I tried the 60 days, but I realised today, that in the database all the calculated trades are based on an ATR of 14. I could replace the data.
But also all the ranges that I created would need reviewing. Not for now. I will see when the ATR gets low again, and just use a minimum of 20+ points.
PS. FESX I’m journaling as well. I’m not trading them live. This needs work before I’m trade them and before I'm going to post the trades like I’m doing for FDAX, although I am mentioning them here for the record.