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The black and white cells on the left I get from MTG. The green/yellow/pink stats on the right are some calculations I do that help me apply the stats. The probabilities are based on using a stop that is 30% of the 5-day ATR, or 5pts, whichever is greater. So today's setup had a 64% chance of success and a favorable profit factor. Since the odds were not 100% sometimes you get losers. If you are confident that you have a statistical edge it makes it easier to endure the drawdowns because the statistics tell you the winners are just around the corner, but you need to size your positions correctly so you don't run out of money before the drawdown is over (risk of ruin).
Friday, October 1st - Avenged yesterday's losses fading large up-gaps, got +8pts in the ES and +17.5pts in NQ. I used to not fade gaps > 40% of the 5-day ATR, as they are usually more risky, but I've passed up on some really big winners before, so now my limit is 100% of the 5-day ATR. That's what the MIN and MAX values on my spreadsheet are for.
We had our Meetup Wednesday night on Price Action, Support/Resistance and Volume. With topics that broad we should have probably split it up into 10 separate meetings. Anyways, there were a lot of members interested in coming, we couldn't seat everybody. I told everybody to bring some of your favorite forms of price action, or how you use support and resistance, or volume, and nobody else prepared anything. I was the only one that came prepared to share anything on the topic. That was frustrating. I'm starting to wonder if continuing running the Meetup is worth my time.
I got my Mirus statement, increased my account by +10.7% in September.
ES: 1 win: +32 ticks
NQ: 1 win: +70 ticks
The following user says Thank You to shodson for this post:
Wednesday, October 6th - Pretty good setups in some instruments but the gaps were small, only YM had gaps large enough to trade.
I'm now comparing each futures contract with its corresponding ETF to make sure they don't diverge too much. It was either Monday's or Tuesday's setups where they greatly diverged and were good signs to stay out of what would have been a losing trade.
YM: 1 win: +16 ticks
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Thursday, October 7th - We had large gaps up and good gap fading setups in these zones for all indices so I faded all 4, which all filled quickly. Unfortunately, TF failed due to an error in the ATS. The gap guides in TF were so favorable that I set up to fade any gap in any direction for TF, within 100% of it's 5-day ATR. However, I'm not sure why the order was canceled, I set the strats up the same way so they should have worked the same. I'll have to look into it. Perhaps of note is the fact that I've never traded TF and this was my first attempt to do so, so maybe I need to have my ATS place it's market orders differently for TF ( ? ) because maybe it's exchange (NYBOT?) has different rules about market orders.
ES: +14 ticks
YM: +37 ticks
NQ: +42 ticks
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Ja, sometime it works, like others pattern.
I'm joking, but don't know if to me this gap trading has much sense, seems like remove some bars and the taking the gap, anyway maybe it works.
Well, for the past 11 months gap trading has worked well for me. Creating a trading plan using favorable win rates and good profit expectancies with a system backtested over 10-12 years of data that considers market conditions, chart patterns and seasonality has made good money for me thus far. Some day maybe it won't work, or I may have to adjust my rules a bit to adapt to a new market reality. How well I adapt to such a change will be important, and realizing, even expecting, that my "edge" may not be with me forever is a step in the right direction. But in the end, for now, I'm pleased with what I have.
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