GAPS ON THE MINI DOW FUTURE
An email noticed me to a new blog, Short-Term trading. The first postings were about gaps. I tried to comment on it but that somehow it didnot work? So I give the link to the website on my blog and give my comment here.
I looked in the past at openinggaps on the mini DOW future. The first question which arises what defines a gap and when does it happen. Particularly if you take into account that the DOW is electronically traded almost 24 hours a day so the timeframe you take is a little bit arbitrarely chosen.
I decided to take the opening hours of the New York market, eg from 15:30 - 22:00 CET (9:30 a.m. - 4 p.m. in New York). I then defined a gap occurring when at least 10 points big, to take smaller ones is of no use. The stop was set at 20 points (which may be too low).
The backtested trades were opened at 15:30 and were closed at the close of the day before. No trail. I found a disappointing profit per trade of only 5$ but with a Profit/Loss ratio of 2.42 which is very good (giving acurate trades).
Now the site mentioned above drove me back to my data. I will have another look at it, now w with more data and I will take another setup. I will use a bigger stop (1.5 to twice the possible gain) and also vary the minimum gap size.
Daytrading
DOW JONES
Gaps
I looked in the past at openinggaps on the mini DOW future. The first question which arises what defines a gap and when does it happen. Particularly if you take into account that the DOW is electronically traded almost 24 hours a day so the timeframe you take is a little bit arbitrarely chosen.
I decided to take the opening hours of the New York market, eg from 15:30 - 22:00 CET (9:30 a.m. - 4 p.m. in New York). I then defined a gap occurring when at least 10 points big, to take smaller ones is of no use. The stop was set at 20 points (which may be too low).
The backtested trades were opened at 15:30 and were closed at the close of the day before. No trail. I found a disappointing profit per trade of only 5$ but with a Profit/Loss ratio of 2.42 which is very good (giving acurate trades).
Now the site mentioned above drove me back to my data. I will have another look at it, now w with more data and I will take another setup. I will use a bigger stop (1.5 to twice the possible gain) and also vary the minimum gap size.
Daytrading
DOW JONES
Gaps
posted by Carlo Giuntoni at 2:49 PM
1 comments
