Welcome!

This site will cover the opportunity that is available with Day Trading the DAX during the cash opening hours utilising an evidenced based quantitative ‘Gap’ strategy. Please feel free to explore the site and leave a comment or ask a question via email.

While the reference market is the DAX, the instrument traded will be the FDAX futures front month as listed on Eurex (traders may wish to consider the DAX mini futures contract FDXM, which is 1/5th the size of the FDAX contract).

Trade triggers will be posted at least 60 minutes prior to the cash open session time of 9:00 CET. Exits will occur when either the target or stop is hit or at the 17:30 CET market close.

All questions are welcome!

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After the Close Analysis 27.04.17

Today left an unfilled down Gap with both the DAX & Euro Stoxx50 June futures, however, the DAX cash index did fill the Gap. There were risks with today’s open and the daily email sent to subscribers did not have the system triggering a signal with a target of Gap fill. Excerpt below from the email sent to subscribers on the risk from a 9:00 open Gap down.

…. an unfilled up Gap from 3 days ago has bullish momentum but a subsequent Gap fill from 2 days ago coupled with yesterday’s decreasing volatility, suggests that the bullish momentum from 3 days ago may have run out and that there is risk to the downside ….

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Trade Account Win 25.04.17

Both the system and the Trade Account had a 26 point win with an entry after the 9:00 open.

Below was sent to subscribers before the 9:00 CET open.

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Gap Type & Size – trade a Gap Up today and Short between 12497 up to 12535

Target – will be 12471

Stop – will be 64 points from 9:00 open

Position Size – A

System Equity Curve

Filters used : Yesterday was up >2.5% on a close to close basis

IF the 9:00 open is a medium sized Gap up the target is Gap fill. Stats : 36 previous occurrences using these filter parameters had a PF 3.77 and WR% 86

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Analysis

Positive Factors

  1. Both ATR & volume are above the long term average.
  2. Yesterday left an unfilled up gap.

Negative Factors

  1. DOW = Terrible Tuesday

Summary

The Trade Account will take this system generated trade today.

If the 9:00 open is < 12497 I will wait up to 10 minutes with a limit short order @ 12497 If the Gap fills or time = 9:10 the trade is cancelled.

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After the Close Analysis 20.04.17

The Gap did fill but the system did not trigger. Further analysis below did suggest that the Gap would have struggled to fill today. The initial 5 min candle witnessed a sharp downwards move but the market rallied quickly and most of the move was finished within the first 90 minutes of trading.

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Study #1

Taking all Gap down longs when yesterday was an up day C > O and the high was the lowest high in the last 5 days. Target is Gap fill (WR% 55).

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Study #2

Taking all Gap down longs when yesterday was an up day C > O and tomorrow is the PMI report release. Target is Gap fill (WR% 45).

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Study #3

Taking all Gap down longs when today is the day before options & futures expiration and this month is not one of the ‘big’ contract expiration months of March, June, September or December. Target is Gap fill (WR% 67).

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Trade Account Break Even 19.04.17

The Gap filled today but the setup was for a target beyond Gap fill and this target was missed by 3 points before backing off and ending with an end of day close out. The system made 9.5 points and the Trade Account 7 points.

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Gap Type & Size – trade a Gap Down today and go Long between 12018.5 up to 12045

Target – will be 12067.5

Stop – will be 50 points from 9:00 open

Position Size – A

System Equity Curve

Strategy # 5

Filters used : Short term bear market C < 10MA, benchmark parameters are in place, close of yesterday was below the low of 2 days ago

IF the 9:00 open is a medium sized Gap down the target is beyond Gap fill. Stats : 48 previous occurrences using these filter parameters had a PF 4.14 and WR% 89

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Analysis

Positive Factors

  1. Both ATR & volume are above the long term average
  2. Yesterday was a down day > .5%
  3. Yesterday’s 5 day %R and 5 day RSI close < 20
  4. Yesterday’s close and the close from 2 business ago were both < 10SMA and this is ideal this setup.

Negative Factors

  1. Due to the holiday on Monday the DOW can be a challenge today.

Summary

The Trade Account will take this system generated trade today.

If the 9:00 open is > 12045 I will wait up to 10 minutes with a limit buy order @ 12045 If the Gap fills or time = 9:10 the trade is cancelled.

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Trade Account Loss 13.04.17

The Trade Account had a stop out for 50 points and the system stop out was 48.5 points.

This was a decent setup today but the market did not even attempt to fill the Gap as traders looked to be flat heading into the long weekend. Previous long weekends have had an historical bullish tendency (see below Study #1) but recent ‘regular’ weekends that started on a Friday have seen weakness and the Gap struggling to fill.

Below was sent to subscribers before the 9:00 CET open.

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Gap Type & Size – trade a Gap Down today and go Long between 12068 up to 12163

Target – will be 12188

Stop – will be 48.5 points from 9:00 open

Position Size – A

System Equity Curve

Strategy # 5 or 6

Filters used : Short term bear market C < 10SMA, volatility expansion

IF the 9:00 open is a Gap down the target is Gap fill. Stats : 126 previous occurrences using these filter parameters had a PF 2.39 and WR% 76

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Analysis

Positive Factors

  1. Tomorrow is a holiday and yesterday was a down day (see Study #1 below).
  2. DOW = Thursday, yesterday was a down day C < O and volatility expansion (see below Study #2).
  3. Both ATR & volume are above the long term average.

Negative Factors

  1. This setup works best when the close of yesterday is below the low of 2 days ago and this did not occur.

 Summary

The Trade Account will take this system generated trade today.

If the 9:00 open is > 12163 I will wait up to 10 minutes with a limit buy order @ 12163 If the Gap fills or time = 9:10 the trade is cancelled.

Study #1

Taking all Gap down longs when tomorrow is a holiday and yesterday was a down day C < O. Target is Gap fill (WR% 81).

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Study #2

Taking all Gap down longs when DOW = Thursday, yesterday was a down day C < O and volatility expansion. Target is Gap fill (WR% 74).

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After the Close Analysis 12.04.17

The system did not participate with the Gap up at the 9:00 open as the system max entry level was 12202.5 and the 9:00 open was 12204. A ‘large’ Gap up at this level was shown as a risk with Study #5 below.

While the Gap did fill the adverse excursion after the open was circa 65 points and the system calculated stop of 45.5 points would not have held (the system calculated stop is a volatility based and is 40% of the 5 day ATR).

Below was sent to subscribers before the 9:00 CET open.

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Gap Type & Size – trade a Gap Up today and Short between 12178 up to 12202.5

Target – will be 12158

Stop – will be 45.5 points from 9:00 open

Position Size – A

System Equity Curve

Strategy # 2 or 4

Filters used : Short term bear market C < 10SMA, benchmark parameters are in place

IF the 9:00 open is a medium sized Gap up the target is Gap fill. Stats : 203 previous occurrences using these filter parameters had a PF 2.58 and WR% 83

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Analysis

Positive Factors

  1. Both ATR & volume are above the long term averages.
  2. DAX finished the day down C < O and Euro Stoxx50 finished up C > O (see below Study #1).
  3. Yesterday was a down day C < O and the lowest close in the last 10 days (see below Study #2).

Negative Factors

  1. DOW = Wednesday with both Monday & Tuesday as down days (see below Study #3).
  2. Yesterday was the release of the ZEW report and a down day C < O (see below Study #4).

Summary

The Trade Account will take this system generated trade today.

If the 9:00 open is < 12178 I will wait up to 10 minutes with a limit short order @ 12178 If the Gap fills or time = 9:10 the trade is cancelled.

There will be no system generated Gap up short that is a ‘large’ Gap >= 12203 (See below Study #5)

Study #1

Taking all Gap up shorts when DAX finished the day down C < O and Euro Stoxx50 finished up C > O. Target is Gap fill (WR% 70).

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Study #2

Taking all Gap medium sized Gap up shorts when yesterday was a down day C < O and the lowest close in the last 10 days. Target is Gap fill (WR% 82).

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Study #3

Taking all Gap medium sized Gap up shorts when DOW = Wednesday with both Monday & Tuesday as down days. Target is Gap fill (WR% 67).

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Study #4

Taking all Gap medium sized Gap up shorts when yesterday was the release of the ZEW report and a down day C < O. Target is Gap fill (WR% 64).

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Study #5

Strategy # 1 & 2

Filters used : Short term bear market C < 10SMA, benchmark parameters are in place

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After the Close Analysis 11.04.17

The Gap did fill today but the system did not participate. While the circa WR% 60 did suggest a possible fill, the long term odds have not been favourable from a profitability perspective.

The bulls are still in charge and with today’s volatility expansion; the odds for the Gap filling tomorrow are strong.

Below was sent to subscribers before the 9:00 CET open.

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There will be no Gap down long system generated signal today. A Gap down would have either strategy # 5 or 6 setting up (see below).

Additional negative factors are DOW = Tuesday and both volatility measures – ATR & volume – are below the long term average.

System Equity Curve

Strategy # 5 or 6

Filters used : Short term bear market C < 10SMA, benchmark parameters are not in place, close of yesterday is above the low of 2 days ago. Target is Gap fill (WR% 61).

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Further study below –

Study #1

Taking all Gap down longs when today is the ZEW report release with a target of Gap fill (WR% 57).

pic 2

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Trade Account Win 10.04.17

The Gap filled with a system win of 38 points and a Trade Account win of 36.5 points on this smaller position size setup.

Below was sent to subscribers before the 9:00 CET open.

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Gap Type & Size – trade a Gap Up today and Short between 12264.5 up to 12283

Target – will be 12244

Stop – will be 39 points from 9:00 open

Position Size – E

System Equity Curve

Filters used : Friday was the US employment report

IF the 9:00 open is a medium sized Gap up the target is Gap fill. Stats : 51 previous occurrences using these filter parameters had a PF 3.19 and WR% 90

pic 1

Analysis

Positive Factors

  1. Tomorrow is the influential ZEW report release (see below Study #1).
  2. Friday left an unfilled down Gap (see below Study #2).
  3. DOW = Monday is generally favourable shorts (see below Study #3).

Negative Factors

  1. Both ATR & volume are below the long term average.
  2. Friday’s strong candle close finish > 90% is not ideal trading strategy #7 (see below Study #4a & b)
  3. Friday’s candle finished as an inside day

Summary

The Trade Account will take this system generated trade today.

Study #1

Taking all medium sized Gap up shorts when Friday was an up day and tomorrow is the influential ZEW report release. Target is Gap fill (WR% 88).

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Study #2

Taking all medium sized Gap up shorts when (i) Friday was an up day (ii) unfilled down Gap (iii) ATR volatility is decreasing. Target is Gap fill (WR% 81).

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Study #3

Taking all medium sized Gap up shorts when (i) Friday was an up day (ii) DOW = Monday. Target is Gap fill (WR% 81). Note: most the below gains are made when either (i) vol is expanding (ii) tomorrow is ZEW report release (iii) Friday was the employment report release. Strip out these 3 positives and Monday’s are not that strong.

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Study #4a

Taking all strategy #7 when (i) benchmark parameters are in place (ii) yesterday’s candle close was >90% of the daily range. Target is Gap fill (WR% 77).

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Study #4b

Taking all strategy #7 when (i) benchmark parameters are in place (ii) yesterday’s candle close was < 90% of the daily range. Target is Gap fill (WR% 59).

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After the Close Analysis 07.04.17

The Gap rallied after the release of the US employment report but did not fill the Gap.

Oddly the DAX mini contract (€5 a point) had a low print of 12155 but the ‘big’ contract (€25 a point) had a low print of 12168. If the system had triggered, the system calculated stop would have resulted in a stop out with the mini contract but not the big contract.

Below was sent to subscribers before the 9:00 CET open.

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There will be no system generated Gap down long signal today.

There is the strong positive with both ATR & volume above the long term average but the strategy setup is poor today and there is the added risk with studies #1 & 2 below. Of particular concern is with the US employment report, which can cause ‘price spikes’ at announcement time and result in a stop out before any possible reversal to the upside (see below Study # 2b)

Today’s ATR calculated stop is 38 points and a similar scenario that setup yesterday may occur again today, where the adverse excursion after the 9:00 open may result in a stop out before a possible reversal to the upside.

Strategy # 10,11,12

Filters used : Benchmark parameters are in place. Target is Gap fill (WR% 62).

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Additional Studies below –

Study #1

Taking all Gap down longs when DOW = Friday and this week is a down week as measured from Monday open to Thursday close and yesterday was an up day. Target is Gap fill (WR% 60).

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Study #2a

Taking all Gap down longs when yesterday was an up day C > O and today is the US employment report. Target is Gap fill (WR% 56).

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Study #2b

Example below Feb 3 2017 price spike at time of report issuance (5 min candles).

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After the Close Analysis 06.04.17

The system did not trigger and missed out on what would have been a large Gap fill win. However, this site uses a stop based on the ATR of the last 5 days and this generated a stop of 32.5 points, which would have been hit before the subsequent upward move to fill the Gap and this was pointed out to subscribers as a risk.

Below was sent to subscribers before the 9:00 CET open.

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There will be no system generated Gap down long signal today.

A medium sized Gap down long >= 12206 coupled with studies #1 & 2(a) suggest a Gap fill but strategy #6 (below) is poor when in a short term bull market. Plus, there is no accompanying increase in volatility and with the prior period unfilled Gap @ 12186 and the small stop (32.5 points), any downward pressure after the 9:00 open could result in a stop out before a possible reversal to the upside.

Strategy # 6

Filters used : Short term bull market C > 10SMA, benchmark parameters are not in place

pic 1

Additional studies below –

Study #1

Taking all Gap down longs when tomorrow is the US employment report with a target of Gap fill (WR% 73).

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Study #2 (a)

Taking all medium sized (today that would be >= 12206) Gap down longs when (i) yesterday was a down day (ii) three days ago was the highest high in 200 days and (iii) the last 2 trading days high have been less than the high from 3 days ago. Target is Gap fill (WR% 79).

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Study #2 (b)

Taking all large sized (today that would be < 12206) Gap down longs when (i) yesterday was a down day (ii) three days ago was the highest high in 200 days and (iii) the last 2 trading days high have been less than the high from 3 days ago. Target is Gap fill (WR% 28).

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