Comments on: Gap Fade Stats for January http://blog.afraidtotrade.com/gap-fade-stats-for-january/ Helping traders overcome fears and emotions in trading Wed, 08 Feb 2012 09:26:36 +0000 http://wordpress.org/?v=2.9.2 hourly 1 By: Gap Fade Stats for September « David's Blog http://blog.afraidtotrade.com/gap-fade-stats-for-january/comment-page-1/#comment-217229 Gap Fade Stats for September « David's Blog Sun, 15 Jan 2012 21:26:32 +0000 http://blog.afraidtotrade.com/gap-fade-stats-for-january/#comment-217229 [...] January Gap Fade Statistics February Gap Fade Statistics March Gap Fade Statistics April Gap Fade Statistics May Gap Fade Statistics June Gap Fade Statistics July Gap Fade Statistics August Gap Fade Statistics [...] [...] January Gap Fade Statistics February Gap Fade Statistics March Gap Fade Statistics April Gap Fade Statistics May Gap Fade Statistics June Gap Fade Statistics July Gap Fade Statistics August Gap Fade Statistics [...]

]]> By: Javier http://blog.afraidtotrade.com/gap-fade-stats-for-january/comment-page-1/#comment-150228 Javier Wed, 17 Dec 2008 22:46:00 +0000 http://blog.afraidtotrade.com/gap-fade-stats-for-january/#comment-150228 Hey guys .. Do you know of any website that provide services on stock with Gaps?? Thanks Hey guys .. Do you know of any website that provide services on stock with Gaps??

Thanks

]]> By: jkw http://blog.afraidtotrade.com/gap-fade-stats-for-january/comment-page-1/#comment-23563 jkw Sun, 03 Feb 2008 01:31:30 +0000 http://blog.afraidtotrade.com/gap-fade-stats-for-january/#comment-23563 Don't forget that your stops will be hit on some days when the gap is filled. You need to look at the intraday chart to determine how close your stop could have been without having it trigger. It is a somewhat complicated optimization problem to determine where to place stops and limits. I wrote a script to do simulated trading of gap fades over my historical data (about 18 months) on ES. It calculates the optimal values for stops, limits, and minimum gap size over a trailing time period and then uses those on the next day. I haven't put in any allotment for slippage or commissions yet. The results are around 3-7% a month depending on how long the lookback optimization period is. Interestingly, the results get bad (even negative) once you optimize over a longer time period than the previous 3 months. I'm not quite sure how good the results will be once I put in slippage and commissions losses. I also don't know if some indices are better for gap fades than others. Don’t forget that your stops will be hit on some days when the gap is filled. You need to look at the intraday chart to determine how close your stop could have been without having it trigger. It is a somewhat complicated optimization problem to determine where to place stops and limits. I wrote a script to do simulated trading of gap fades over my historical data (about 18 months) on ES. It calculates the optimal values for stops, limits, and minimum gap size over a trailing time period and then uses those on the next day. I haven’t put in any allotment for slippage or commissions yet. The results are around 3-7% a month depending on how long the lookback optimization period is. Interestingly, the results get bad (even negative) once you optimize over a longer time period than the previous 3 months. I’m not quite sure how good the results will be once I put in slippage and commissions losses. I also don’t know if some indices are better for gap fades than others.

]]> By: Corey Rosenbloom http://blog.afraidtotrade.com/gap-fade-stats-for-january/comment-page-1/#comment-22999 Corey Rosenbloom Sat, 02 Feb 2008 01:44:50 +0000 http://blog.afraidtotrade.com/gap-fade-stats-for-january/#comment-22999 Wolverine, Excellent question! I will re-do the numbers and re-annotate the post to reflect this change. That was a mistake on my part. I have posted the correction. Note that an arbitrary 50 cent stop-loss per failed gap would have only removed $2.00 from the overall profit, leaving the net balance at $12.20. For 100 shares, that's $1,220 or for a standard day-trading "plunge" position, that's $12,200! Wolverine,

Excellent question! I will re-do the numbers and re-annotate the post to reflect this change. That was a mistake on my part. I have posted the correction. Note that an arbitrary 50 cent stop-loss per failed gap would have only removed $2.00 from the overall profit, leaving the net balance at $12.20. For 100 shares, that’s $1,220 or for a standard day-trading “plunge” position, that’s $12,200!

]]> By: Wolverine http://blog.afraidtotrade.com/gap-fade-stats-for-january/comment-page-1/#comment-22879 Wolverine Fri, 01 Feb 2008 20:34:50 +0000 http://blog.afraidtotrade.com/gap-fade-stats-for-january/#comment-22879 Really great info! One question why do the loss days include the full range of the gap? If you're entering at the open, your loss would be limited to where you set your stop, half the gap range, or .25 cents, as you wrote. Making an even better profit for the month. Not that I would complain about even 9.40 in profits over 13 trades... Really great info!
One question why do the loss days include the full range of the gap? If you’re entering at the open, your loss would be limited to where you set your stop, half the gap range, or .25 cents, as you wrote. Making an even better profit for the month. Not that I would complain about even 9.40 in profits over 13 trades…

]]> By: JP http://blog.afraidtotrade.com/gap-fade-stats-for-january/comment-page-1/#comment-22709 JP Fri, 01 Feb 2008 10:32:21 +0000 http://blog.afraidtotrade.com/gap-fade-stats-for-january/#comment-22709 great analysis ! thanks. I love your blog. great analysis ! thanks.
I love your blog.

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