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Is it me or do I notice at the opening bell, the market tries to reverse what happened overnight? like almost 85% of the time.
exp: The YM trading range overnight was between 25,500 to 25,700. opens +150 tics higher at 25,650 then tries to selloff until it hits support "around/ in the 25,500 area".(25,565 etc)
I would love to hear some other opening bell trading ideas
"Kinda like how the market used to fill any of the opening GAPs before online trading"
The big bar is the 1000 bar on a 30 minute chart, i.e. our first 30 minutes of trading. At some point, the bull energy is exhausted by the end of the 1100 bar. You would generally look for retracement, which we see by the 1300 bar, to about half (50%) of that movement. I am way oversimplifying it, but that is essentially it. If it breaks below the 50 and stays there, it is a trend reversal, otherwise it is going to bounce near that 50% market and continue back up. This is what usually happens, but not always. Fibo is nice for profit taking and reentry (or general entry if you missed the initial move), though it can bite you from time to time. April 3rd is a good example of nearly a 100% retracement from the overnight to the close.
The YM has been hyper-sensitive to news, so it is reacting and overreacting to everything this past month. I do know that we sometimes see a lot of price action and volume between 1900 and 2100, then again near the 500-600 hours (EDT). I looked at that last month, but it is not consistent enough to trade on it's own. Maybe you can find a useful pattern in there.
So just for fun (and coding practice), I wrote a simple TradeStationEasyLanguage strategy that would enter the market at close and exit on open, and tested against the Dow e-mini (YM). It wasn't pretty, especially for the short side. I needed a criteria for entry, so I just used a trend following criteria: up > buy; down > sell short.
Criteria for both tests:
Enter market at 1630 (I was using 30 minute charts, for simplicity)
Exit market at 930
No stop loss
1 contract
Added $1.20 commission each trade
Added $5 slippage each trade
8 years of data
Criteria test 1:
Indicator: EMA (9, 18)
Buy if trending up
Sell if trending down
Criteria test 2:
Indicator: iTrend (alpha = .05) (this is a John Ehler's trend indicator, Instantaneous Trend)
Observations:
The long side was profitable for both methods, but this is probably a by-product of being in a bull market. There may be something useful here, but I don't really see it. We could probably use some additional criteria (stochastic or other oscillator), but I suspect the outcome would be similar. The iTrend has an oscillator component in the calculation, designed to reduce lag and identify turning points faster and with more accuracy.
I have attached the backtesting results from TradeStation if anyone is interested in reviewing.
Any feedback, negative, positive or otherwise is welcome!
~vmodus
(if anyone wants the EasyLanguage code, let me know)
