Day trading using gaps as setups

[Trembling Hand]

Hi all,

I was interested to read this thread and how it may help my development of intraday trading strategies for the ES - comments?

I hadn't read much about 'gap' trading so I went in search. I found this page, which seemed to introduce the topic :

http://stockcharts.com/school/doku.php?id=chart_school:trading_strategies:gap_trading_strategies

It would be useful if anyone can recommend any good sources of info on this type of trading.

cheers,
daniel

Daniel this link has been floating around this place. Its stats on ES gap strategies from 02 to 04 (529 trading days)

http://www.mypivots.com/articles/articles.aspx?artnum=43
Give you something to frame your own back testing on.

 

[PolarBear]

cheers,

thanks again TH for your useful info - i'm going through the article now.

One question - first up on this page it mentions "For the purposes of this study it is a measure from the close of the previous trading session to the opening price of the following trading session's Regular Trading Hours (RTH). RTH is from 09:30 to 16:15 EST."

I have been basing all my backtesting on the times 08:00 -> 16:00 as I though this was when the market was open, and the volumes during these times in my intraday data seem to confirm this.

This is different to the above, and i'm wondering why?

thanks
D

 

[Trembling Hand]

One question - first up on this page it mentions "For the purposes of this study it is a measure from the close of the previous trading session to the opening price of the following trading session's Regular Trading Hours (RTH). RTH is from 09:30 to 16:15 EST."

I have been basing all my backtesting on the times 08:00 -> 16:00 as I though this was when the market was open, and the volumes during these times in my intraday data seem to confirm this.

Nope, Cash hours are from 09:30 to 16:00 EST

It does pick up volume when Europe opens but I think you will find its 9:30 that the volume kicks in.

http://www.nasdaq.com/about/schedule.stm

 

[MRC & Co]

Some look at pre-cash open for volume, to determine the potential power of the gap. But as TH says, cash hours used.

 

[Timmy]

TH is spot on here PBear - while the volume in these eminis will pick up reasonably well from European morning, and then pick up again usually from 8.30 AM New York time (8.30 AM New York time is when many significant US economic news releases are made), you should notice a really, really significant lift in volumes again from 9.30 AM NY time, which is when the physical stock markets open, as well as the pit traded S&P500 future.

Check the times you have on your data, the times may be Chicago time, one hour behind NY time?

 

[PolarBear]

YEP! that's the confusion - must be one hour behind
(refer pic i've attached)

So with my data here i should be running my backtests from 8:30 -> 15:00

thanks guys,
daniel

 

[Trembling Hand]

YEP! that's the confusion - must be one hour behind
(refer pic i've attached)

So with my data here i should be running my backtests from 8:30 -> 15:00

thanks guys,
daniel

Your data is central not EST.

Ive got the same thing. But all my ES data is in Aust time. Makes back testing a real head ****

 

[Broadway]

Jessica, for intraday equity gaps, this link might help.

http://www.maoxian.com/archivecat.html

Good luck.