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 23.06.17

The risk today was to the downside and this played out with the Gap not filling and the suggested target of a prior period unfilled Gap @ 12690 was in fact taken out.

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Gap Type & Size – trade a Gap Down Continuation today and Short between 12750 up to 12796

Target – will be -18 points

Stop – will be +35 points from entry price

Position Size – D here

System Equity Curve

Filters used : DOW = Friday, yesterday’s Gap filled on decreasing volatility.

IF the 9:00 open is a medium sized Gap down here the target is 15% of the 5 day ATR. Stats : 84 previous occurrences using these filter parameters had a PF 2.27 and WR% 73

pic 1

Summary

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

The recent poor performance with continuation signals and the current market instability is the reason for not taking this signal today. If there is market weakness, the prior period unfilled Gap @ 12690 could be a target that traders try and take out.

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Trade Account Win 22.06.17

Both the system and the Trade Account made 25 points on and entry after the 9:00 open. The first few minutes of this trade did not look promising but the market rallied later in the session and filled the Gap. A discretionary decision had been made to lower the position size for today’s signal (as discussed in the summary section).

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Gap Type & Size – trade a Gap Down today and go Long between 12702 up to 12747

Target – will be 12772

Stop – will be 57 points from entry price

Position Size – B

System Equity Curve

Strategy # 5

Filters used : Benchmark parameters are in place

IF the 9:00 open is a medium sized Gap down the target is beyond Gap fill. Stats : 183 previous occurrences using these filter parameters had a PF 1.94 and WR% 86

pic 1

Analysis

Positive Factors

  1. Three days ago left an unfilled up Gap and yesterday had increasing volatility (see below Study #1).
  2. Both ATR & volume are above the long term average.
  3. Yesterday left an unfilled down Gap
  4. Tomorrow is the PMI report release
  5. DOW = Thursday when Wednesday was a down day

Negative Factors

  1. Recent large number of Gaps not filling.
  2. There is a prior period unfilled Gap @ 12690 and this may act as a target for traders to try and take out before a possible reversal.
  3. DAX ended the day down and Stoxx50 up has been mixed (see below Study #2).
  4. Month = June has been poor longs
  5. The equity curve at the top of the post has been breaking down over the last 20 trades.

Summary

The Trade Account will take this system generated trade today.

Given the recent weakness with the Gap not filling and the negative factors listed, I will use discretion and reduce the position size to ‘E’.

If the 9:00 open is > 12747 I will wait up to 10 minutes with a limit buy order @ 12747 If the Gap fills or time = 9:10 the trade is cancelled.

Study #1

Taking all medium sized Gap down longs when three days ago left an unfilled up Gap and yesterday had increasing volatility. Target is Gap fill (WR% 84).

pic 2

Study #2

Taking all Gap medium sized Gap down longs when DAX ended the day down and Stoxx50 up     Target is Gap fill (WR% 72).

pic 3

 

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System Loss 21.06.17

Another system loss on a signal that was not taken in the Trade Account due to the recent large number of instances with the Gap not filling. There were also negative factors that contributed to the decision with not trading today.

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Gap Type & Size – trade a Gap Down today and go Long between 12765 up to 12799

Target – will be 12824

Stop – will be 59.5 points from entry price

Position Size – E

System Equity Curve

Filters used : Two days ago left an unfilled up Gap, ATR volatility expansion

IF the 9:00 open is a medium sized Gap down the target is Gap fill. Stats : 73 previous occurrences using these filter parameters had a PF 2.62 and WR% 82

pic 1

Analysis

Positive Factors

  1. ATR is above the long term average
  2. Yesterday was the highest high in the previous 200 days

Negative Factors

  1. Yesterday’s candle finished has an outside day and this has been mixed in both directions
  2. Volume is below the long term average
  3. DOW = Wednesday when Tuesday was a down day has been mixed longs
  4. Month = June has (historically) been poor longs
  5. There are 2 prior period unfilled Gaps @ 12732 & 12690 and this may attract traders looking to take out these targets to the downside.

Summary

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

There is continued concern with the recent issues of the Gap not filling in conjunction with the negative factors. If there is any weakness today the prior period unfilled Gaps (negative factor #5), may act as targets for traders to try and take out.

If the 9:00 open is > 12799 the system wait up to 10 minutes with a limit buy order @ 12799 If the Gap fills or time = 9:10 the trade is cancelled.

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System Win 20.06.17

The Gap filled for a system win of 48 points but the Trade Account did not participate due to the recent instances of the Gap not filling.

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Gap Type & Size – trade a Gap Up today and Short between 12914 up to 13035

Target – will be 12891

Stop – will be 56.5 points from entry price

Position Size – B

System Equity Curve

Strategy # 7

Filters used : Unfilled up Gap

IF the 9:00 open is a Gap up greater than small the target is Gap fill. Stats : 138 previous occurrences using these filter parameters had a PF 1.52 and WR% 57

pic 1

Analysis

Positive Factors

  1. Month = June has been decent shorts
  2. ATR is above the long term average

Negative Factors

  1. Volume is below the long term average
  2. Instability with Gaps not filling over the last week.
  3. DOW= Terrible Tuesday

 Summary

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

Recent underperformance is the reason for the no trade today. Traders may wish to consider taking a trade on pre-market candle that is heading down and towards Gap fill at the 9:00 open .

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System Loss 19.06.17

The system lost 53.5 points but the Trade Account did not take this signal, due to recent poor performance with the Gap not filling, and the day ended with another unfilled Gap.

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Gap Type & Size – trade a Gap Up today and Short between 12757 up to 12865

Target – will be 12732

Stop – will be 53.5 points from entry price

Position Size – B

System Equity Curve

Strategy # 7

Filters used : Unfilled up Gap

IF the 9:00 open is a Gap up greater than small the target is Gap fill. Stats : 137 previous occurrences using these filter parameters had a PF 1.56 and WR% 58

pic 4

Analysis

Positive Factors

  1. Month = June has been decent shorts
  2. DOW = Monday when Friday was an up day
  3. DAX finished the day as an up day and Euro Stoxx50 a down day (see below Study #1).
  4. Stoxx50 filled the Gap on Friday & DAX left an unfilled up Gap (see below Study #2).

Negative Factors

  1. Both ATR & volume are below the long term average
  2. Instability with Gaps not filling over the last week.
  3. Friday left an unfilled up Gap and Thursday an unfilled down Gap (see below Study #3).
  4. Friday’s candle finished as an inside day has been poor in both directions

Summary

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

Recent underperformance is the reason for the no trade today. Traders may wish to consider taking a trade on pre-market candle that is heading down and towards Gap fill at the 9:00 open

Study #1

Taking all medium sized Gap up shorts when DAX finished the day as an up day and Euro Stoxx50 a down day. Target is Gap fill (WR% 77).

PIC 1

Study #2

Taking all medium sized Gap up shorts when Stoxx50 filled the Gap on Friday & DAX left an unfilled Gap. Target is Gap fill (WR% 82).

PIC 2

Study #3

Taking all medium sized Gap up shorts when  Friday left an unfilled up Gap and Thursday an unfilled down Gap. Target is Gap fill (WR% 56).

PIC 3

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Trade Account Loss 16.06.17

The system lost 5 points and the Trade Account 8 points on yet another day that ended as an unfilled Gap. The recent poor performance with the DAX not filling had meant a reduction in position size with this trade and next week will have continued reduction until the market starts filling the Gap!

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Gap Type & Size – trade a Gap Up today and Short between 12715 up to 12733

Target – will be 12690

Stop – will be 57.5 points from entry price

Position Size – A

System Equity Curve

Strategy # 4

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

IF the 9:00 open is a small Gap up the target is Gap fill. Stats : 143 previous occurrences using these filter parameters had a PF 3.40 and WR% 88

pic 1

Analysis

Positive Factors

  1. Today is futures & options expiration
  2. Both ATR & volume are above the long term average
  3. Yesterday was a down day > .50%
  4. Yesterday’s close was at least the lowest close in the previous 5 days
  5. Yesterday ended the day as an unfilled down Gap with 2 days ago an unfilled up Gap (see below Study #1).
  6. Month = June has been decent shorts

Negative Factors

  1. Instability with Gaps not filling over the last week.

Summary

The Trade Account will take this system generated trade today.

Today’s setup is using position size ‘A’ but I will use discretion and reduce to size ‘B’ due to the markets recent inability to fill the Gap.

If the 9:00 open is < 12715 I will wait up to 10 minutes with a limit short order @ 12715 If the Gap fills or time = 9:10 the trade is cancelled.

Study #1

Taking all Gap up shorts when yesterday ended the day as an unfilled down Gap with 2 days ago an unfilled up Gap. Target is Gap fill (WR%78).

pic 2.jpg

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System Loss 15.06.17

Another day with the Gap not filling! The DAX continues to be erratic and this may extend to tomorrow due to this month being options & futures expiration.

The system had 47.5 point loss but the Trade Account did not participate due to the risks highlighted.

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Gap Type & Size – trade a Gap Down today and go Long between 12779 up to 12807

Target – will be 12826

Stop – will be 47.5 points from entry price

Position Size – E

System Equity Curve

Filters used : DAX finished up C > O and Euro Stoxx50 finished down C < O

IF the 9:00 open is a medium sized Gap down the target is Gap fill. Stats : 73 previous occurrences using these filter parameters had a PF 1.53 and WR% 79

pic 1

Analysis

Positive Factors

  1. The last 2 days have left unfilled up Gap (see below Study #1).
  2. Both ATR & Volume are above the long term average.

Negative Factors

  1. There are unfilled Gaps @ 12764 @ 12702 @ 12661 and if there is any weakness today, these levels will be target for traders to try and take out.
  2. Instability with Gaps not filling over the last week.
  3. Month = June has been poor longs
  4. Today is the Thursday before options & futures expiration
  5. Yesterday was the FED meeting in the US
  6. DOW = Thursday has been poor when Wednesday was an up day

Summary

The Trade Account will take this system generated trade today.

Today’s system generated signal is using the lower position size ‘E’ and given the recent period of unfilled Gaps and the negative factors listed above, I will pass on this trade opportunity.

If the 9:00 open is > 12807 the system will wait up to 10 minutes with a limit buy order @ 12807 If the Gap fills or time = 9:10 the trade is cancelled.

Study #1

Taking all medium sized Gap down longs when the last 2 days have left unfilled up Gaps. Target is Gap fill (WR% 75).

pic 2

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System Loss 14.06.17

The system had stop out on another unfilled up Gap; however, the Trade Account did not take this system generated signal today. As discussed below under the summary section of the analysis, a system generated signal would only be taken on a pre-market candle that was heading down and towards Gap fill at the 9:00 open and the candle was up and heading away at the open.

The market continues to be unstable for DAX Gap trading at the moment and discretion will be used on signal selection and position size reduction for the next ‘several’ trading sessions.

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Gap Type & Size – trade a Gap Up today and Short between 12791 up to 12874

Target – will be 12764

Stop – will be 43.5 points from entry price

Position Size – B

System Equity Curve

Strategy # 7

Filters used : Benchmark parameters are in place, yesterday’s candle close was < 80% of the daily range

IF the 9:00 open is a Gap up greater than small the target is beyond Gap fill. Stats : 103 previous occurrences using these filter parameters had a PF 1.70 and WR% 58

pic 1

Analysis

Positive Factors

  1. DOW = Wednesday when Tuesday was an up day
  2. Month = June has been decent shorts
  3. Volume is above the long term average
  4. Yesterday left an unfilled up Gap
  5. Yesterday was the ZEW report release
  6. Today is the US FED meeting has been decent trading in both directions

Negative Factors

  1. Instability with Gaps not filling over the last week.
  2. ATR is below the long term average and consolidating within the last several days candle range
  3. There is a prior period unfilled Gap @ 12803 and traders may try and take out this level before a possible reversal.
  4. Yesterday left an unfilled up Gap and 2 days ago left an unfilled down Gap (see below Study #1).

Summary

The Trade Account will take this system generated trade today.

Today’s setup is using position size ‘B’ but I will use discretion and reduce to size ‘E’ due to the markets recent inability to fill the Gap. Additionally, I will also use discretion and only take the above system signal on a pre-market candle that is heading down and towards Gap fill at the 9:00 open

Study #1

Taking all Gap up shorts when yesterday left an unfilled up Gap and 2 days ago left an unfilled down Gap. Target is Gap fill (WR% 52).

pic 2

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Trade Account Loss 13.06.17

Another disappointing loss on what was – from an historical perspective – a decent setup. The market is currently very ‘Gappy’ with a number of unfilled Gaps over the last week of trading.

Today both the system and the Trade Account both lost 48 points.

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Gap Type & Size – trade a Gap Up today and Short between 12722 up to 12750

Target – will be 12702

Stop – will be 48 points from entry price

Position Size – B

System Equity Curve

Filters used : Three days ago left an unfilled up Gap, ATR volatility expansion

IF the 9:00 open is a medium sized Gap up the target is Gap fill. Stats : 44 previous occurrences using these filter parameters had a PF 1.73 and WR% 70

pic 1

Analysis

Positive Factors

  1. DOM = 13 is decent trading in both directions
  2. Both ATR & volume are above the long term average.
  3. Yesterday left an unfilled down Gap.
  4. Month = June has been strong shorts
  5. Tomorrow is the US FED meeting and this has been ‘ok’ longs (see below Study #1).

Negative Factors

  1. The last 3 trades in a row have been a loss with today’s setup.
  2. Today is the ZEW report release and this can be mixed in both directions
  3. Instability with Gaps not filling over the last week.
  4. Terrible Tuesday can be problematic trading in both directions

Summary

The Trade Account will take this system generated trade today.

If the 9:00 open is < 12722 I will wait up to 10 minutes with a limit short order @ 12722 If the Gap fills or time = 9:10 the trade is cancelled.

Study #1

Taking all medium sized Gap up shorts when tomorrow is the US FED meeting. Target is Gap fill (WR% 72).

pic 2

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Trade Account Loss 12.06.17

The system stop out was 54 points and the Trade Account 50 points on a setup that had the components for a Gap fill but the market has been ‘unstable’ recently from a Gap fill perspective with several unfilled Gaps over the last week of trading.

Today left an unfilled down Gap on increasing volatility, which is a positive factor for the Gap filling tomorrow.

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Gap Type & Size – trade a Gap Down today and go Long between 12743 up to 12780

Target – will be 12803

Stop – will be 54 points from entry price

Position Size – B

System Equity Curve

Strategy # 9

Filters used : Short term bull market C > 10SMA, ATR volatility expansion, Gap filled

IF the 9:00 open is a medium sized Gap down the target is Gap fill. Stats : 51 previous occurrences using these filter parameters had a PF 1.68 and WR% 82

pic 1

Analysis

Positive Factors

  1. Both ATR & volume are above the long term average.
  2. Two day ago left an unfilled up Gap
  3. Tomorrow is the ZEW report release has been favourable longs

Negative Factors

  1. DOW = Monday when Friday was an up day
  2. This setup works best when the previous business day was a strong close >1.5% over the 10SMA and this did not occur on Friday.
  3. Month = June has been poor longs

Summary

The Trade Account will take this system generated trade today.

If the 9:00 open is > 12780 I will wait up to 10 minutes with a limit buy order @ 12780 If the Gap fills or time = 9:10 the trade is cancelled.

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