I see what you're doing now. Since you're backtesting gaps, you'll have an opportunity to see a large sample of how these set up. You can make five minutes a rule for yourself, but in a setup such as that which occurred this morning, it's not a hard-and-fast requirement. Since the gap was pretty decent (1.5%), the probabilities were for closure, which made a fade the preferred tactic. As to waiting for five minutes, however, that really wasn't necessary since price made its initial effort to the upside, then began its decline rather than bob up and down within a range. Therefore, you could use two points below the opening low, which in this case was literally the opening low at 0930, and enter at 996.0 at 09:36. Once you're in, the target becomes the gap, not the average range. In this case, Tuesday's close was 984, so when price got there, you had to be ready to exit. You don't want to be too tight since there's always the chance that price will continue its decline. And there's nearly always hesitation, and sometimes consolidation, when these targets are reached. But you don't want to be whipped out by a tick or two, either. So I used the same end-of-bar stop I use with the trend-following strategy I posted except that I used a 1m chart instead of the 3m. Other people just go ahead and take it without waiting to be stopped out, and that might be just the thing to do if a report is due out in only a few minutes. Having that money "in the bank" makes it easier to take subsequent trades if one has been having trouble pulling the trigger. As for the upside, I entered at 1005.5 (six of one, half-dozen of the other). Target was 1011.5 (again, what's a tick?). When we reached that, I should have used the end-of bar stop according to the rules, which would have stopped me out at 1015.0 at 11:01. But due to a slight hangover, and being happy to begin the new year in the profit column, I used the 1m chart again for the end-of-bar stop instead and was stopped out at 1013.0. Which is why results often vary between the system and the actual play. So results to the downside should have been 6.5 and to the upside 6.5 to 8.5, depending on the extent of the hangover. Using the 1m chart for an end-of-bar stop is not a good habit. It's too easy to get whipsawed out of a nice position for no good reason. However, a gap-filling strategy has little to do with the trend-following strategy I posted since it has little to do with trend, that is unless price overshoots the target and establishes a trend. But there is, of course, no way of knowing that in advance. I need to look at all this again to see if stop placement on gaps can be made a little less fuzzy. --Db
I entered the db breakout strategy at 1050.50 long. My target is 1060 since ATR is only around 23. Stop at b/e now.
I'm not sure what you mean here db. I entered at 10:09 at 1050.50 with initial stop at 1045.50. Then when price reached 1055.50 I moved stop to b/e. What do you see?
I show price dropping to 1043. I didn't bother with any of this since I had no way of knowing what was true and what wasn't. --Db
Incidentally, Jerry, today and last Thursday are good examples of how trading at least two contracts can be beneficial. One can be closed as usual using an end-of-bar stop when the target is reached, and the other can be held at the last reaction low/high. I wouldn't go so far as to call this a range expansion phase and stop phasing out the trade at the range target altogether. After all, some days are going to be outside the range and some within. But if you're paper-trading and you want to experiment with two or more contracts, this is something to play with. --Db
db, I was thinking the same thing, especially after watching this run up or walk up. I'm trading for real so I just took the profit but i've paper traded 2 ctx with the idea of taking 1 at +5 and then moving the stop to b/e on 2nd and trading it more aggressively which would have kept me in instead of going to the 3 min bar exit. Maybe it would be better though to take the target profit with first ctx and let the other stop out at last reaction low/high.