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 21.03.17

The system was looking for a trigger that was below the high of yesterday and missed the entry by a few ticks on what would have been a Gap fill win today.

Today’s increased volatility should result in decent Gap fill odds tomorrow

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Gap Type & Size – trade a Gap Up today and Short between 12096 up to 12111

Target – will be 12078

Stop – will be 35 points from 9:00 open

Position Size – B

System Equity Curve

Strategy # 8

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

IF the 9:00 open is a small Gap up the target is beyond Gap fill. Stats : 76 previous occurrences using these filter parameters had a PF 2.01 and WR% 75

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Analysis

Negative Factors

  1. Volatility is decreasing.
  2. Yesterday left an inside day
  3. DOW = Terrible Tuesday

Summary

The Trade Account will take this system generated trade today.

If the 9:00 open is < 12096 I will wait up to 10 minutes with a limit short order @ 12096 If the Gap fills or time = 9:10 the trade is cancelled.

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After the Close Analysis 17.03.17

Today’s system trigger was looking for a 9:00 opening that was above the low of Thursday and this missed by a few points, so there was no trade on what would have been a Gap fill win.

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 12077.5 up to 12103

Target – will be 12122.5

Stop – will be 38 points from 9:00 open

Position Size – A

System Equity Curve

Strategy # 5

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

IF the 9:00 open is a Gap medium sized Gap down the target is beyond Gap fill. Stats : 74 previous occurrences using these filter parameters had a PF 2.45 and WR% 77

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Analysis

Positive Factors

  1. Yesterday left an unfilled up Gap in conjunction with both ATR & volume expansion over the long term average.
  2. Yesterday was the highest close in the past 200 days (see below Study #1)

Negative Factors

  1. There is a prior period unfilled Gap @ 12053 and traders may try and take this level out before a possible reversal to the upside.
  2. DOW = Friday are poor longs

Summary

The Trade Account will take this system generated trade today.

If the 9:00 open is > 12103 I will wait up to 10 minutes with a limit buy order @ 12103 If the Gap fills or time = 9:10 the trade is cancelled.

Study #1

Taking all Gap down longs when yesterday was the highest close in the past 200 days with a target of Gap fill (WR% 80).

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After the Close Analysis 16.03.17

The system did not trigger due to the risks outlined below and failed to participate in what would have been a circa 90 point short win.

Yesterday left an unfilled up Gap and this was in conjunction with volatility expansion both of which are strong predictors for a Gap fill tomorrow.

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

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There will be no Gap up short that is above the high of yesterday >= 12028.5

There will be no Gap up short <=12028 as the risk reward is small.

Examining Study #1a suggests a possible Gap up continuation long trade but the issue today is with Wednesday’s volume over the long term average and the ideal is for both volume and ATR to be below the average when taking a continuation trade.

Additional seasonal short studies #2 & 3 targeting Gap fill.

Study #1a

Filters used : Strategy 7 Gap up greater than small, benchmark parameters are not in place, pre-market candle is up and away from Gap fill at the 9:00 open.

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Study #1b

Filters used : Strategy 7 Gap up greater than small, benchmark parameters are not in place, pre-market candle is heading down and towards Gap fill at the 9:00 open.

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Study #2

Taking all Gap up shorts when today is the day after the FED meeting with a target of Gap fill (WR% 61).

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Study #3

Taking all Gap up shorts when today is the Thursday before options & futures expirations and this month is one of the ‘big’ expiration months of March, June, September or December. Target is Gap fill (WR% 46).

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Trade Account Win 13.03.17

The system had a 20 point win and the Trade Account 19 points on this after the 9:00 open entry.

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 11933 up to 11956.5

Target – will be 11976.5

Stop – will be 41 points from 9:00 open

Position Size – A

System Equity Curve

Strategy # 5

Filters used : Short term bull market C > 10SMA

IF the 9:00 open is a medium sized Gap down the target is beyond Gap fill. Stats : 73 previous occurrences using these filter parameters had a PF 2.41 and WR% 76

pic 1

Analysis

Positive Factors

  1. Both ATR & volume are above the long term average.
  2. Euro Stoxx50 left an unfilled up Gap on Friday.
  3. Tomorrow is the ZEW report release (see below Study #1).
  4. DOM = 13th is decent longs and shorts

Negative Factors

  1. Candle consolidation within the last several days range is not ideal DAX Gap (breakouts are preferable).

Summary

The Trade Account will take this system generated trade today.

If the 9:00 open is >11956.5 I will wait up to 10 minutes with a limit buy order @ 11956.5 If the Gap fills or time = 9:10 the trade is cancelled.

Study #1

Taking all Gap down longs when tomorrow is the ZEW report release with a target of Gap fill (WR% 76).

pic 2

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Trade Account Loss 10.03.17

Disappointing loss today with a stop out circa 10 points from the high before price rolled over and filled the Gap!

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 12016 up to 12024.5

Target – will be 11983.5

Stop – will be 35.5 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 Gap up greater than small the target is Gap fill. Stats : 13 previous occurrences using these filter parameters had a PF 3.63 and WR% 84

PIC 1

Analysis

Positive Factors

  1. DOW = Friday when yesterday was an up day and this week is an up week – Monday open to Thursday close (see below Study #1).
  2. Both ATR & volume are above the respective long term average

Negative Factors

  1. Today is the US employment report release and this can cause ‘price spikes’ and a stop out before any possible reversal to the downside (see below Study # 2a & 2b).

 Summary

The Trade Account will take this system generated trade today.

Study #1

Taking all medium sized Gap up shorts when DOW = Friday when yesterday was an up day and this week is an up week – Monday open to Thursday close. Target is Gap fill (WR% 74).

PIC 2

Study #2a

Taking all medium sized Gap up shorts when today is the US employment report with a target of Gap fill (WR% 69).

PIC 3

Study #2b

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

PIC 4

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After the Close Analysis 08.03.17

The Gap down did fill today but the system did not signal as discussed in an email sent to subscribers before the 9:00 open.

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Another day (!) where DAX futures and cash have not lined up in the same direction. These days don’t happen very often but there have been a few recently. DAX futures finished the day as a down day C < O and the DAX cash index finishing up C > O. The strategies key off of yesterday’s candle and the preference is for both futures & cash finishing the day in the same direction.

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After the Close Analysis 01.03.17

Below was sent to subscribers before the 9:00 CET open.
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There will not be a ‘Trade Account’ signal targeting Gap fill today.
 
The primary reason for there not being a trade is with the DAX futures finishing the day an up day C > O and the DAX cash index finishing down C < O. The strategies key off of yesterday’s candle and the preference is for both futures & cash finishing the day in the same direction. Plus, yesterday’s volatility is contracting over the long term average and DAX Gap works best when expanding (further discussion can be found within the ‘Subscriber Content’ page on the website).
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Trade Account Win 27.02.17

The system had 29.5 point win and the Trade Account 28 points on this full position size system generated signal today.

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 11835 up to 11852.5

Target – will be 11812

Stop – will be 54 points from 9:00 open

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 : 142 previous occurrences using these filter parameters had a PF 3.36 and WR% 88

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Analysis

Positive Factors

  1. Both ATR & volume are above the long term average.
  2. DAX futures filled the Gap but DAX cash left an unfilled down Gap.

Summary

The Trade Account will take this system generated trade today.

If the 9:00 open is < 11835 I will wait up to 10 minutes with a limit short order @ 11835 If the Gap fills or time = 9:10 the trade is cancelled.

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After the Close Analysis 22.02.17

The system did not trigger today and while the Gap did almost fill, price backed off and ended the day in what would have been a small loss with an end of day close out if a trade had been taken. Both the DAX cash and Euro Stoxx50 futures did fill the respective Gaps.

The reason for the no trade is with (i) the strong ‘green up’ candle close ( > 80% of the daily candle range) on Tuesday and (ii) Wednesday 9:00 open that was above the high of Tuesday (iii) in conjunction with a Wednesday pre-market  (8:00 – 9:00) open candle that was also a ‘green up’ candle on an open a close basis. When this occurs, this can signal bullish momentum in the market, which can make a Gap fill challenging.

The studies outlined below were generally favourable for a short, so this was a difficult no trade but the system did arrive at the right outcome today.

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Gap Type & Size – trade a Gap Up today and Short between 11987.5 up to 12081

Target – will be 11961

Stop – will be 48 points from 9:00 open

Position Size – B

System Equity Curve

Strategy # 7

Filters used : Benchmark parameters are in place, pre-market candle is heading down and towards Gap fill at the 9:00 open

IF the 9:00 open is a small Gap up the target is beyond Gap fill. Stats : 66 previous occurrences using these filter parameters had a PF 1.78 and WR% 60

pic-1

Analysis

Positive Factors

  1. Both volume & ATR are above the long term averages.
  2. DOW = Wednesday when Tuesday was an up day and Monday a down day (using DAX cash instead of futures) (see below Study #1).
  3. Yesterday was the German PMI report release (see below Study #2).
  4. Yesterday’s close was the highest close in the past 200 days under the condition of ATR volatility expansion over the long term average (see below Study #3).

Negative Factors

  1. Today is the German Ifo report release and while this had been a strong short positive, the last several trades have been problematic (see below Study #4).
  2. Yesterday finished as an outside day.

Summary

The Trade Account will take this system generated trade today.

The key today is with the pre-market candle (8:00 – 9:00 CET) is heading down C < O and towards Gap fill at the 9:00 open.

Study #1

Taking all Gap up shorts when DOW = Wednesday when Tuesday was an up day and Monday a down day. Target is Gap fill (WR% 74).

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Study #2

Taking all Gap up shorts when yesterday was the German PMI report release with a target of Gap will (WR% 78).

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Study #3

Taking all Gap up shorts when yesterday’s close was the highest close in the past 200 days under the condition of ATR volatility expansion over the long term average. Target is Gap fill (WR% 80).

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Study #4

Taking all Gap up shorts when today is the German Ifo report release and yesterday was an up day with a target of Gap fill (WR% 84).

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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

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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

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