Tuesday, January 27, 2009

Tuesday 01/27/09 - Tough Market

Again, no real $ trades, but I did manage to get into a few decent sequences on Sim. Today was a tough and choppy day in my view. I spent 20-30 minutes today trying out different risk management techniques addressing issues like when to move stop to break-even; whether to trail or not, etc. This is a continuing effort since there's no right answer, and I don't have enough data to really share any personal insight at this point in time. Please use the comments section to share techniques you use to manage risk and lets get some ideas flowing!

I'm curious about gap fills, but don't really have the time (at the moment) to go back and back-test market behavior around gaps, so I'm going to start tracking gaps going forward in a separate post.

Gap Fill Chart

ES/TICK (3-min)

Market Balance (5-min Continuous Contract)

Market Balance (5-min Day Session Only)


  1. The TTM folk have done some in depth statistical analysis of gaps and their % filled, half gap % filled, etc...

    It was in one of their free webinars or videos... I'll see what I can dig up but so far I haven't found it.

  2. One of the links I did find with some good info...


  3. Gaps: Based on research by John Carter, Percentage of gap fills;Monday 65% Tues; 77% Wed;79% Thurs;82% Fri; 78%

    Stops; What works "for me" based on the setups I look for, initial stop one tick outside the triggering candles high/low, raise stop to even when 75% of the profit target is achieved, this seems to be the optimal point that avoids me from getting wiggled out prematurely. Whether it's swing trading stocks or daytrading futures, the 75% mark seems to workout.

  4. Excellent info guys! I was watching one of Austin P's videos the other day and he says 75% of gaps are filled before the closing bell on the gap day. 25% gaps go unfilled. Keep the info coming!

  5. In late 2007 I tracked E-mini gaps daily for about 4 months. I entered paper trades in Excel, searching for a useable strategy. I found that gap fills overall using the methods outlined in Carter's book delivered a win rate of only .576 in that period, which isn't great. I also tracked pre-market volume and did not find it useful. There may be an edge trading gaps, but I think there's more to it than just buying or fading the gap. Size of the gap in pctg terms and whether the SPX is trading above or below a moving avg seem to matter, but I have not had time to explore it further. Both TraderFeed and Quantifiable Edges have posted gap studies that might be of interest to you in exploring this.


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