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.
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
- Both volume & ATR are above the long term averages.
- DOW = Wednesday when Tuesday was an up day and Monday a down day (using DAX cash instead of futures) (see below Study #1).
- Yesterday was the German PMI report release (see below Study #2).
- 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).
- 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).
- Yesterday finished as an outside day.
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.
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).
Taking all Gap up shorts when yesterday was the German PMI report release with a target of Gap will (WR% 78).
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).
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).