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!

Posted in Uncategorized | Tagged , , , , , ,

Trade Account Win 21.02.17

The Trade Account took this discretionary setup and made 22.5 points today.

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

_______________________________________________________________

The system strategies keys off the DAX future and there are occasions when the futures and DAX cash market are trading in the opposite direction. The preference is for both the futures and the cash market candles to finish the day in the same direction. Yesterday had the futures market as an up day and the cash a down day and is the reason why the DAX system strategies are not triggering a signal today. However, I believe that there is opportunity and will trade a discretionary setup using position size ‘E’ as outlined within the attached.

Gap Type & Size – trade a Gap Down today and go Long between 11801.5 up to 11816.5

Target – will be 11833.5

Stop – will be 35.5 points from 9:00 open

Position Size – E

System Equity Curve

Filters used : Benchmark parameters are in place

IF the 9:00 open is a medium sized Gap down the target is Gap fill. Stats : 220 previous occurrences using these filter parameters had a PF 1.41 and WR% 79

pic-1

Analysis

Positive Factors

  1. ATR volatility is increasing over the long term average.
  2. Yesterday left an unfilled up Gap.
  3. Tomorrow is the German Ifo report release (see below Study #1).

Negative Factors

  1. Volume is decreasing over the long term average.
  2. DOW = Tuesday is problematic trading in both directions.

Summary

The Trade Account will take this as a discretionary trade today.

If the 9:00 open is > 11816.5 I will wait up to 10 minutes with a limit buy order @ 11816.5?? If the Gap fills or time = 9:10 the trade is cancelled.

Study #1

Taking all medium sized Gap down longs when tomorrow is the German Ifo report release with a target of Gap fill (WR% 81).

pic-2

Posted in Uncategorized | Tagged , , , , , , , , | Leave a comment

After the Close Analysis 20.02.17

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

__________________________________________________________________________________________________________

There will be no system generated Gap up short signal today.

There are a number of seasonal factors today but the main issue is with the US holiday and this frequently results in low volatility trading in both the DAX and the Euro Stoxx50.

 Study #1

Taking all Gap up shorts when today is the Monday after options & futures expiration Friday and Friday was a down day. Target is Gap fill (WR% 42).

pic-1

Study #2

Taking all Gap up shorts when today is a US holiday with a target of Gap fill (WR% 55).

 pic-2

Study #3

Taking all Gap up shorts when tomorrow is the release of the German PMI with a target of Gap fill (WR% 80).

pic-3

Posted in Uncategorized | Leave a comment

Trade Account Win 17.02.17

The system had a 17 point win and the Trade Account 16 points on this entry after the 9:00 open.

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

________________________________________________________________

Gap Type & Size – trade a Gap Up today and Short between 11759 up to 11838

Target – will be 11742

Stop – will be 38.5 points from 9:00 open

Position Size – E

System Equity Curve

Filters used : Opex Friday and not one of the big expiration months of March, June, Oct or Dec.

IF the 9:00 open is a Gap up the target is Gap fill. Stats : 55 previous occurrences using these filter parameters had a PF 2.18 and WR% 74

pic-1

Analysis

Positive Factors

  1. Monday is a US holiday (see study #1).

Negative Factors

  1. Volatility contracting is not ideal trading DAX Gap.

Summary

The Trade Account will take this system generated trade today.

Today’s setup is based entirely on the seasonal component of options & futures expiration Friday and today is not one of the big contract expiration months of March, June, Oct or Dec. This setup is using the smaller position size ‘E’ as none of the system strategies are triggering today.

If the 9:00 open is < 11759 I will wait up to 10 minutes with a limit short order @ 11759 If the Gap fills or time = 9:10 the trade is cancelled.

Study #1

Taking all Gap up shorts the day before a US holiday with a target of Gap fill (WR% 70).

pic-2

Posted in Uncategorized | Tagged , , , , , , , , | Leave a comment

Trade Account Win 16.02.17

The system had a 34 point win with a target that was beyond Gap fill and the Trade Account a 32.5 point win. There were risks as outlined with several of the below studies and the target was hit 3 points from the high of the day, so there was an element of good luck with this signal today.

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

________________________________________________________________________________________________________________

Gap Type & Size – trade a Gap Down today and go Long between 11758 up to 11788.5

Target – will be 11808.5

Stop – will be 40.5 points from 9:00 open

Position Size – A

System Equity Curve

Strategy # 5

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

IF the 9:00 open is a medium sized Gap down the target is beyond Gap fill. Stats : 71 previous occurrences using these filter parameters had a PF 2.32 and WR% 76

pic-1

Analysis

Positive Factors

  1. Volatility expansion is ideal trading DAX Gap.
  2. Three days ago left an unfilled up Gap and yesterday’s volatility expanded (see below Study #1).

Negative Factors

  1. Euro Stoxx50 left an unfilled up Gap yesterday and DAX filled its Gap. This has been problematic longs (see below Study #2).

  2. Today is the Thursday before options & futures expiration but this month is not one of the ‘big’ expiration months of March, June, Sept, Dec. (see below Study #3).

  3. Yesterday’s candle was an outside day and 2 days ago candle was an inside day (see below Study #4).

Summary

The Trade Account will take this system generated trade today.

If the 9:00 open is > 11788.5 I will wait up to 10 minutes with a limit buy order @ 11788.5 If the Gap fills or time = 9:10 the trade is cancelled.

Study #1

Taking all Gap medium sized Gap down longs when three days ago left an unfilled up Gap and yesterday’s volatility expanded. Target is Gap fill (WR% 85).

pic-2

Study #2

Taking all medium sized Gap down longs when Euro Stoxx50 left an unfilled up Gap yesterday and DAX filled its Gap. Target is Gap fill (WR% 65).

pic-3

Study #3

Taking all medium sized Gap down longs when today is the Thursday before options & futures expiration but this month is not one of the ‘big’ expiration months of March, June, Sept, Dec. Target is Gap fill (WR% 69).

pic-4

Study #4

Taking all medium sized Gap down longs when yesterday’s candle was an outside day and 2 days ago candle was an inside day. Target is Gap fill (WR% 58).

pic-5

Posted in Uncategorized | Leave a comment

After the Close Analysis 15.02.17

 

The system did not trigger today and missed out on what would have been a circa 50 point Gap fill win. There were two issues with the system no trade (i) the size of the Gap was considered ‘large’ (>40% of the 5 day ATR) and this can result in a Gap up continuation (ii) the 8:00 – 9:00 pre-market candle can provide additional information on the 9:00 direction and today the pre-market candle was heading up and away from Gap fill and this risk also suggests a possible continuation to the upside.

IF the Gap open had been <=11820 and the pre-market candle was heading down, then the below signal would have triggered a trade.

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

 ______________________________________________________________________________________________________________

Gap Type & Size – trade a Gap Up today and Short between 11788 up to 11820

Target – will be 11772

Stop – will be 39.5 points from 9:00 open

Position Size – A

System Equity Curve

Strategy # 7 & 8

Filters used : Yesterday finished as a Doji day, pre-market candle is heading down and towards Gap fill at the 9:00 open.

IF the 9:00 open is a medium sized Gap up the target is Gap fill. Stats : 33 previous occurrences using these filter parameters had a PF 8.49 and WR% 93

pic-1

Analysis

Positive Factors

  1. Yesterday was the ZEW report release (see below Study #1).

  2. DOW = Wednesday and both Monday & Tuesday were up days C > O (see below Study #2).

  3. Two days ago left an unfilled up Gap, yesterday was an up day and the Gap filled (see below Study #3).

Negative Factors

  1. Volatility is below the long term average.

  2. Yesterday’s candle finished as an inside day and this can be problematic in both directions

Summary

The Trade Account will take this system generated trade today.

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

If the 9:00 open is < 11788 I will wait up to 10 minutes with a limit short order @ 11788 If the Gap fills or time = 9:10 the trade is cancelled.

Study #1

Taking all medium sized Gap up shorts when yesterday was the ZEW report release with a target of Gap fill (WR% 70).

pic-2

Study #2

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

pic-3

Study #3

Taking all medium sized Gap up shorts when two days ago left an unfilled up Gap, yesterday was an up day and Gap filled. Target is Gap fill (WR% 80).

pic-4

Posted in Uncategorized | Tagged , , , , , , | Leave a comment

Trade Account Win 14.02.17

The system had a 20 point win on an entry after the 9:00 open and the Trade Account 15 points. A discretionary decision had been made to target part of the position at the prior period unfilled Gap @ 11814 and when this target was not hit an end of day close out was used.

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

________________________________________________________________

Gap Type & Size – trade a Gap Down today and go Long between 11734.5 up to 11760.5

Target – will be 11780.5

Stop – will be 46 points from 9:00 open

Position Size – B

System Equity Curve

Strategy # 9

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

IF the 9:00 open is a medium sized Gap down the target is Gap fill. Stats : 83 previous occurrences using these filter parameters had a PF 1.82 and WR% 82

pic-1

Analysis

Positive Factors

  1. Yesterday left an unfilled up Gap in conjunction with volatility expansion.
  2. Euro Stoxx50 also left an unfilled up Gap and this is favourable for a DAX Gap fill.

Negative Factors

  1. Today is the ZEW report release (see below Study #1).
  2. DOW = Terrible Tuesday. However, strategy #9 does well on Tuesday’s.
  3. This setup works best when yesterday’s close is a ‘strong’ close over the 10SMA and this did not occur.

Summary

The Trade Account will take this system generated trade today.

I will use discretion today and target part of the position at the prior period unfilled Gap @ 11814. If there is going to be bullish momentum in the market today, I suspect that traders may try and take out this price level. The market does not like prior period unfilled Gaps and they are frequently filled as they represent known targets for traders.

If the 9:00 open is > 11760.5 I will wait up to 10 minutes with a limit buy order @ 11760.5 If the Gap fills or time = 9:10 the trade is cancelled.

Study #1

Taking all medium sized Gap down longs when today is the ZEW report release with a target of Gap fill (WR% 63).

pic-2

Posted in Uncategorized | Tagged , , , , , , , , | Leave a comment

System Win 13.02.17

The system had an 18 point win but the Trade Account did not participate due to recent underperformance with Gap up long continuation signals.

Monday left an unfilled up Gap in conjunction with expanding volatility and this is ideal for a Gap fill on Tuesday.

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

________________________________________________________________

Gap Type & Size – trade a Gap Up Continuation today and go Long between 11663 up to 11711

Target – will be 18 points

Stop – will be 36.5 points from 9:00 open

Position Size – D

System Equity Curve

Strategy # 3

Filters used : Benchmark parameters are not in place

IF the 9:00 open is a medium sized Gap up the target is 15% of the 5 day ATR. Stats : 109 previous occurrences using these filter parameters had a PF 1.95 and WR% 79

pic-1

Analysis

Positive Factors

  1. ATR volatility is decreasing.

Negative Factors

  1. Volume is above the long term average.
  2. Tomorrow is the ZEW report release and this has historically favoured Gap up shorts (see below Study #1).

Summary

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

No trade due to continuation trades under performing.

Study #1

Taking all medium sized Gap up shorts when tomorrow is the ZEW report release with a target of Gap fill (WR% 85).

pic-2

 

Posted in Uncategorized | Leave a comment

After the Close Analysis 10.02.17

There was no system generated signal with today’s Gap fill win.

There was the positive with shorting Friday and with Thursday’s volatility expansion this did look like a possible short. However, the concern was with the size of the Gap up at the 9:00 open, which was ‘large’ (as measured by >40% of the 5 day ATR), and the pre-market candle was heading up and away from Gap fill at the open and the preference is for the candle heading down and towards Gap fill.

The below curve, while positive long term, has historically been choppy and was deemed ‘high’ risk and is the reason for the system not triggering today.

pic-1

Posted in Uncategorized | Leave a comment

System Win / Trade Account Break Even 09.02.17

The low of the day was Gap fill and the system will automatically register this as a win but the realities of trading are that you don’t always get filled at the stop or target price. A strong push up at the 9:00 open almost ended with a stop out but price rolled over and filled the Gap, however, the Trade Account did not get filled at the Gap target. After a near stop out and price hitting target but not filling, I moved my stop to 3 points in front of entry and exited the trade with 1 point of profit.

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

______________________________________________________________

Gap Type & Size – trade a Gap Up today and Short between 11561.5 up to 11587.5

Target – will be 11541.5

Stop – will be 45 points from 9:00 open

Position Size – A

System Equity Curve

Strategy # 2

Filters used : Benchmark parameters are in place

IF the 9:00 open is a medium sized Gap up the target is Gap fill. Stats : 49 previous occurrences using these filter parameters had a PF 2.41 and WR% 83

pic-1

Analysis

Positive Factors

  1. DOW = Thursday (see below Study #1).
  2. Both ATR & volume are above the long term averages.
  3. Yesterday’s low was the lowest low 10 days and an down day C < O (see below Study #2).

Summary

The Trade Account will take this system generated trade today.

If the 9:00 open is < 11561.5 I will wait up to 10 minutes with a limit short order @ 11561.5 If the Gap fills or time = 9:10 the trade is cancelled.

Study #1

Taking all medium sized Gap up shorts when DOW = Thursday and yesterday finished as a down day C < O. Target is Gap fill (WR% 75).

pic-2

Study #2

Taking all Gap up shorts when yesterday’s low was the lowest low 10 days and a down day C < O. Target is Gap fill (WR% 84).

pic-3

 

Posted in Uncategorized | Tagged , , , , , , , , | Leave a comment

Trade Account Win 07.02.17

The system had a 52 point win and the Trade Account 50 points with a target beyond Gap fill.

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

______________________________________________________________

Gap Type & Size – trade a Gap Down today and go Long between 11483.5 up to 11513

Target – will be 11536

Stop – will be 53 points from 9:00 open

Position Size – A

System Equity Curve

Strategy # 5 & 6

Filters used : Short term bear market C < 10SMA, volatility expansion, no trade Friday

IF the 9:00 open is a medium sized Gap down the target is beyond Gap fill. Stats : 93 previous occurrences using these filter parameters had a PF 2.75 and WR% 76

pic-1

Analysis

Positive Factors

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

Negative Factors

  1. DOW = ‘Terrible Tuesday’

Summary

The Trade Account will take this system generated trade today.

If the 9:00 open is > 11513 I will wait up to 10 minutes with a limit buy order @ 11513 If the Gap fills or time = 9:10 the trade is cancelled.

Posted in Uncategorized | Tagged , , , , , , , , | Leave a comment