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 23.01.17

The day ended as an unfilled down Gap and there were seasonal risks outlined with a long trade targeting Gap fill today.

Below is what was sent to subscribers before the open.

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There will be no system generated Gap down long signal targeting Gap fill Strategy # 10,11,12

Friday’s Gap filled with both ATR & volume below the long term average

Additional seasonal studies below –

Study #1

Taking all Gap down longs when DOW = Monday after options & futures expiration Friday and Friday was an up day C > O. Target is Gap fill (WR% 51).

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Study #2

Taking all Gap down longs when tomorrow is the German PMI release with a target of Gap fill (WR% 60).

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Trade Account Win 20.01.17

The Gap did fill and the system had a win of 17 points and the Trade Account 16 points on an entry after the 9:00 open.

Below is what was sent to subscribers before the open.

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Gap Type & Size – trade a Gap Down today and go Long between 11493 up to 11576

Target – will be 11593

Stop – will be 40 points from 9:00 open

Position Size – E

System Equity Curve

Filters used : Today is options & futures expirations Friday and this month is not one of the ‘big’ contract expiration months of March, June, September or December

IF the 9:00 open is a Gap down the target is Gap fill. Stats : 49 previous occurrences using these filter parameters had a PF 4.29 and WR% 83

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Analysis

Negative Factors

  1. Both ATR & volume are below the long term averages.
  2. Yesterday’s Gap filled.

Summary

The Trade Account will take this system generated trade today.

There are no strategies setting up today, so this signal is based on opex Friday stats.

If the 9:00 open is > 11576 I will wait up to 10 minutes with a limit buy order @ 11576 If the Gap fills or time = 9:10 the trade is cancelled.

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System Win 19.01.17

The Gap did fill and the system had a win of 23.5 points but due to the current system drawdown, the Trade Account did not participate as per rules discussed under the summary section of the email sent out to subscribers.

Below is what was sent to subscribers before the open.

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Gap Type & Size – trade a Gap Up today and Short between 11612.5 up to 11620.5

Target – will be 11592.5

Stop – will be 47 points from 9:00 open

Position Size – B

System Equity Curve

Strategy # 7

Filters used : Benchmark parameters are not in place, pre-market candle is heading down and towards Gap fill

IF the 9:00 open is a small Gap up the target is Gap fill. Stats : 10 previous occurrences using these filter parameters had a WR% 100

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Analysis

Positive Factors

  1. January has historically been favourable shorts.
  2. Tomorrow is options & futures expirations Friday and this month is not one of the ‘big’ contract expiration months of March, June, September or December (see below Study #1). Note : the equity curve has struggled recently.

Negative Factors

  1. Today is the ECB rate release and this has been poor shorts (see below Study #2).
  2. There is a prior period unfilled Gap @ 11620.5 and 11641 and traders may try and take out these price levels before a possible reversal to the downside.

Summary

The Trade Account will not take this system generated trade today.

As per new rules, yesterday did not have one of either (i) ATR volatility expansion and an unfilled Gap Or (ii) Gap filled in conjunction with both ATR and volume expansion over the respective long term average.

The key with today’s setup is the futures pre-market candle heading down and towards Gap fill at the 9:00 open.

If the 9:00 open is < 11612.5 the system will wait up to 10 minutes with a limit short order @ 11612.5 If the Gap fills or time = 9:10 the trade is cancelled.

Study #1

Taking all Gap up shorts when tomorrow is options & futures expirations Friday and this month is not one of the ‘big’ contract expiration months of March, June, September or December. Target is Gap fill (WR% 71).

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Study #2

Taking all Gap up shorts when today is the ECB rate release and yesterday finished as an up day. Target is Gap fill (WR% 63).

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Trade Account Win 18.01.17

The system had a 36.5 point win and the Trade Account 36 points.

Below is what was sent to subscribers before the open.

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Gap Type & Size – trade a Gap Up today and Short between 11568 up to 11586.5

Target – will be 11544

Stop – will be 55 points from 9:00 open

Position Size – A

System Equity Curve

Strategy # 8

Filters used : Short term bull market C > 10SMA, benchmark parameters are in place

IF the 9:00 open is a small Gap up the target is beyond Gap fill. Stats : 128 previous occurrences using these filter parameters had a PF 2.35 and WR% 80

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Analysis

Positive Factors

  1. Yesterday was the release of the ZEW report and the day ended as an up day (see below Study #1).
  2. DOW = Wednesday and both Monday & Tuesday were up days C > O has been decent shorts (see below Study #2).
  3. Both volume & ATR are above the long term averages.

Negative Factors

  1. There are prior period unfilled Gaps @ 11620.5 and 11641 and traders may try and take out these levels before a possible reversal to the downside.

 Summary

The Trade Account will take this system generated trade today.

If the 9:00 open is < 11568 the system will wait up to 10 minutes with a limit short order @ 11568 If the Gap fills or time = 9:10 the trade is cancelled.

Study #1

Taking all Gap up shorts when yesterday was the release of the ZEW report and the day ended as an up day. Target is Gap fill (WR% 70).

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Study #2

Taking all medium sized Gap up shorts (today that would be < 11613) when DOW = Wednesday and both Monday & Tuesday were up days C > O. Target is Gap fill (WR% 71).

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After the Close Analysis 17.01.17

While the Gap did fill, on a volatile day, there was no system generated signal as discussed below. The adverse excursion after the open was almost 110 points to the downside before the afternoon rally quickly moved higher and filled the Gap.

Below is what was sent to subscribers before the open.

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There will be no Gap down long system generated signal Strategy # 10, 11, 12

The edge appears to be to the downside given the above strategies triggering and the below studies but there is conflict with the last 2 days having left an unfilled Gap. Seasonality with the ZEW release today, trading Tuesday and yesterday a US holiday is an added challenge in determining likely direction.

Study #1

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

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Study #2

Taking all Gap down longs when yesterday finished as an unfilled down Gap and 2 days ago an unfilled up Gap. Target is Gap fill (WR% 66).

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Study #3

Taking all Gap down longs when yesterday ended as a doji up day with a target of Gap fill (WR% 66).

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Study #4

Taking all Gap down longs when DAX finished the day as an up day C > O and Euro Stoxx50 as a down day C < O. Target is Gap fill (WR% 69).

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System Break Even 16.01.17

The Trade Account did not participate today due to rules, which are outlined under the below Summary section but the system did trigger a win of 4 points on this lacklustre day that left another unfilled Gap.

Below is what was sent to subscribers before the open.

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Gap Type & Size – trade a Gap Down today and go Long between 11502.5 up to 11600.5

Target – will be 11620.5

Stop – will be 47.5 points from 9:00 open

Position Size – E

System Equity Curve

Filters used : ZEW release tomorrow

IF the 9:00 open is a Gap down the target is Gap fill. Stats : 75 previous occurrences using these filter parameters had a PF 2.70 and WR% 76

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Analysis

Negative Factors

  1. There is a prior period unfilled Gap @ 11527 and open above this price may have traders try and take out this level before a possible reversal to the upside.

Positive Factors

  1. 2 business days ago left an unfilled down Gap and Friday left an unfilled up Gap (see below Study #1).

Summary

The Trade Account will not take this system generated trade today.

As per new rules, yesterday did not have one of either (i) ATR volatility expansion and an unfilled Gap Or (ii) Gap filled in conjunction with both ATR and volume expansion over the respective long term average.

If the 9:00 open is > 11600.5 the system will wait up to 10 minutes with a limit buy order @ 11600.5 If the Gap fills or time = 9:10 the trade is cancelled.

Study #1

Taking all Gap down longs when 2 business days ago left an unfilled down Gap and Friday left an unfilled up Gap. Target is Gap fill (WR% 71).

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Trade Account Loss 13.01.17

The Trade Account had a 45 point loss and the system 44 point loss on this discretionary smaller position size trade. The Gap did not fill and this is the second day in a row with the market having left an unfilled Gap. There were risks with this trade, in particular Study #1 highlights an important price action pattern that has historically been a strong predicator of the Gap filling but has been breaking down recently.

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Gap Type & Size – trade a Gap Up today and Short between 11547 up to 11571

Target – will be 11527

Stop – will be 44 points from 9:00 open

Position Size – E

System Equity Curve

Strategy # 3

Filters used : Short term bear market C < 10SMA, 5 day %R < 20

IF the 9:00 open is a medium sized Gap up the target is Gap fill. Stats : 40 previous occurrences using these filter parameters had a PF 1.80 and WR% 77

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Analysis

Positive Factors

  1. Yesterday had both ATR & Volume over the long term averages.
  2. Yesterday left an unfilled down Gap.
  3. Seasonality with DOW = Friday, January and DOM = 13th is decent shorts

Negative Factors

  1. This setup is based off the 5 day %R < 20 and this price action pattern has been underperforming (see below Study #1).

Summary

The Trade Account will take this system generated trade today.

If the 9:00 open is < 11547 I will wait up to 10 minutes with a limit short order @ 11547 If the Gap fills or time = 9:10 the trade is cancelled.

Study #1

Taking all medium sized Gap up shorts when (i) yesterday was a down day (ii) the 5 day %R < 20%. Target is Gap fill (WR% 82).

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Trade Account Loss 12.01.17

The Trade Account had a 38.5 point loss and the system 37 point loss on this Gap down trade that had the important volatility expansion criteria and a strong bullish long study.

Below is what was sent to subscribers before the open.

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Gap Type & Size – trade a Gap Down today and go Long between 11603.5 up to 11626

Target – will be 11641

Stop – will be 37 points from 9:00 open

Position Size – B

System Equity Curve

Strategy # 9

Filters used : Short term bull market C > 10SMA, volatility increasing

IF the 9:00 open is a medium sized Gap down the target is Gap fill. Stats : 49 previous occurrences using these filter parameters had a PF 1.86 and WR% 83

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Analysis

Positive Factors

  1. Yesterday’s close was the highest close in the last 200 days and this price action pattern has been strong (see below Study #1).

 Summary

The Trade Account will take this system generated trade today.

If the 9:00 open is > 11626 I will wait up to 10 minutes with a limit buy order @ 11626 If the Gap fills or time = 9:10 the trade is cancelled.

Study #1

Taking all Gap down longs when yesterday’s close was the highest close in the last 200 days & yesterday was also an up day C > O. Target is Gap fill (WR% 76).

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System Win 09.01.16

The Gap did fill and the system had a win of 18.5 points but due to the current system drawdown, the Trade Account did not participate as per rules discussed under the summary section of the email sent out to subscribers.

Below is what was sent to subscribers before the open.

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Gap Type & Size – trade a Gap Up today and Short between 11610 up to 11614.5

Target – will be 11593.5

Stop – will be 41.5 points from 9:00 open

Position Size – B

System Equity Curve

Strategy # 7

Filters used : Pre-market candle is heading down and towards Gap fill.

IF the 9:00 open is a small Gap up the target is Gap fill. Stats : 32 previous occurrences using these filter parameters had a PF 4.08 and WR% 90

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Positive Factors

  1. Shorts the day after the US employment rate release have been excellent (see below Study #1).

Summary

The Trade Account will not take this system generated trade today.

As per new rules, yesterday did not have one of either (i) ATR volatility expansion and an unfilled Gap Or (ii) Gap filled in conjunction with both ATR and volume expansion over the respective long term average.

The key today is with the pre-market candle heading down and towards Gap fill (see below Study #2 when heading up and away from Gap fill at the 9:00 open).

If the 9:00 open is between 11604.5 to 11609.5 the system will wait up to 10 minutes with a limit short order @ 11610 If the Gap fills or time = 9:10 the trade is cancelled.

Study #1

Taking all medium sized Gap up shorts the day after the US employment rate release with a target of Gap fill (WR% 90).

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Study #2

Using the top of the post setup parameters and the pre-market candle is heading up and away from Gap fill. Target is Gap fill (WR% 77).

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After the Close Analysis 03.01.17

This was a 54 point win that the Trade Account did not participate due to a bullish futures pre-market candle (8:00 – 9:00 CET), that is outlined in Study #2 below. Research suggests that a Gap up that is above the high of yesterday accompanied with a pre-market candle that is heading up and away from Gap fill at the 9:00 open can struggle to fill the Gap due to the bullish momentum.

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Gap Type & Size – trade a Gap Up today and Short between 11622.5 up to 11661

Target – will be 11581

Stop – will be 32 points from 9:00 open

Position Size – E

System Equity Curve

Strategy # 7

Filters used : Benchmark parameters are in place, futures pre-market candle is heading down and towards Gap fill.

IF the 9:00 open is a Gap up greater than small the target is Gap fill. Stats : 66 previous occurrences using these filter parameters had a PF 1.80 and WR% 60

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Analysis

Positive Factors

  1. Both ATR & volume are above the long term averages.

Negative Factors

  1. Yesterday’s close was the highest close in the last 200 days. This price action pattern had been doing well but has struggled recently (see below Study #1).
  2. DOW = Terrible Tuesday which can be problematic shorts

Summary

The Trade Account will take this system generated trade today.

The key today is with the futures pre-market candle heading down and towards Gap fill (see below Study #2 when the pre-market candle is heading up and away from Gap fill.)

Study #1

Taking all Gap up shorts when yesterday’s close was the highest close in the last 200 days with a target of Gap fill (WR% 70).

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Study #2

Using the top of the post setup parameters and the pre-market candle is heading up and away from Gap fill. Target is Gap fill (WR% 49).

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