Trading The Opening Gap

Discussion in 'Index Futures' started by Tall Mike, Jun 24, 2020.

  1. Tall Mike

    Tall Mike

    Hi guys,

    Does anybody here use gap openings in their trading?

    I was trying to do some research into developing a strategy around this. From what I can see so far, it looks to me that most gaps do close, however, I am stuck as far as trying to develop more parameters on how to put together a day trading strategy around this.

    Do any more experienced traders have any advice on this?

    Thank you in advance!
     
  2. Cannon_Trading

    Cannon_Trading Sponsor

    From my colleague Joe Easton:

    I advise against this strategy. You are attempting to make a strategy based on assumption. The assumption being that most gaps close. The reason for gaps is legitimate and should not be expected to retrace. Personally I would favor a strategy that went the same direction as the gap instead of fading the strong price action on a pullback towards the open.
     
  3. KCalhoun

    KCalhoun Sponsor

    Agree, my top play is gap continuations like UVXY SDOW TZA winners today 24junb.jpg
     
    Tall Mike and Cannon_Trading like this.
  4. Tall Mike

    Tall Mike

    So if anything, try and build a strategy around gap continuation?
     
    murray t turtle likes this.
  5. qlai

    qlai

    Here’s example of trading gap with an edge. I have seen a few people on YouTube trading gaps, but didn’t see/understand an edge.



    P.S. I have been posting SMB videos often lately, but it’s only because their content got much better, imho.
     
    KCalhoun and Tall Mike like this.
  6. Tall Mike

    Tall Mike

    Thanks, ill def take a look at this.

    I am struggling to really find a strategy that suits my personality and that has an edge. Most of the shit on youtube just talks about "patterns" but the reality in my opinion is unless somebody can show me a statistical edge with that strategy then it's useless. Anybody can cherry-pick and made a method look great on youtube.

    I feel like I am the type of person that can really only focus on one thing at a time, and that is why I figured let me try something like the ES rather than individual stocks but I am just not even sure where I can even start testing something to see where there may be an edge in day-trading the ES.
     
  7. arbitech

    arbitech

    Hi,

    Have been trading gap on pre open for auction trading as long short intraday basket....

    made several hundreds bucks per day not to say several thousands...

    after 2015, the hft or big hands cames in and I lost my speed advantage.

    the base idea is to build long short portfolio based on imbalance nyse...

    the most important is to be able to be executed at open auction.

    AND

    to be long short... hedged....


    The problem now, is that hft is able to send the order for auction at 9:29:59.990

    my limit was 9:29:59.800 around bit Moore...

    if you send an order at 10.05 and théoric price is 10.03, the hft will see that and will modify at 10.06....

    then you miss the auction then you are not hedged then you cannot execute after market open cause it’s to wide...


    Hope hft will go to jail until death for those tons of unfair advantages...


    Best
     
    931 and cruisecontrol like this.
  8. Cannon_Trading

    Cannon_Trading Sponsor

    This morning was a run away gap....sure, it may fill sooner or later the question is how much heat will you absorb.....
    upload_2020-6-24_11-47-46.png
     
    Tall Mike likes this.
  9. Dazz

    Dazz

    I agree with Cannon, these rooms claim to grade the gap: none have a track record

    gapedgetrading.com
    gapswingtrader.com
    gorillagaps.com
    lazygaptrader.com
     
  10. gap close as the only parameter is probably one of the easiest things to code and
    test for any quant.

    any simple strategy like that may have worked in the 90's is long over and gone.
     
    #10     Jun 24, 2020
    Dazz, Tall Mike and Cannon_Trading like this.