Tuesday 28 February 2012

When ES closes at 50 day highs after gapping down below previous days low

Yesterday we closed at the highest close for 200 days.  What was unusual was that we gapped down below the low of the previous day and reversed to close at the highs. 
Below is an equity curve of a strategy that goes short 1 contract of ES at the close of session, when we close at 50 day highs (ive used 50 day to increase sample size) and we gapped below the previous days low.  The strategy exits at my 1st short target, currently 1364.25 or at end of day, over the last 12 years. 
As you can see this is a rare setup and 10/11 times the next day ES has always traded down to the short target.  Note small sample size.

Friday 17 February 2012

Up gaps on OPEX days

Further to my earlier blog on opex days, here are some numbers on fading up gap on opex day. 

85% of ES up gaps have filled by end of day.
88% of ES up gaps on a non quad opex have filled by end of day.

These are both with decent sample sizes.  Historically, odds have favoured fading this up move. 

$spx closes at 100 day high prior to opex day

The $spx continued the bullish theme and again yesterday closed at a 100 day highs.  Today is February options expiry.  Historically when this has happened it has presented an interesting trading opportunity.  Below are stats from a strategy that goes short 1 contract of ES when it closes at 20 day highs prior to opex Friday and takes profit at my first ss target, currently at 1351.5, or exit at end of day.  I've used 20 day highs to increase the sample size.

80% winners
1.9 Profit factor
$193 average drawdown  per contract
$1087 Max drawdown.

A decent edge. Further, below is an equity curve of the same strategy, except it exits at the end of 5 days.  This shows the short target was has been hit on every occasion, the max drawdown was never greater than 3 daily average ranges.
So historically, this would suggest that there is a good expectancy ES will trade down to 1351.5 in the next few sessions.   Additionally this signal is also currently active. 

Friday 10 February 2012

Down gaps when over 20 consecutive closes above 20 day sma

Following on from this post, on the current run of closes each day of $spx over ma's, I have crunched some numbers looking specifically at down gaps in similar conditions.  To keep the sample size large, the below stats goes long all down gaps when es have closed above its 20 day sma for at least 20 consecutive sessions.  The strategy exits at gap fill or end of day.

73% winners
1.2 Profit factor
$233 average drawdown  per contract
$1,400 Max drawdown.

No great edge here, but what is more interesting is that in these central bank manipulated markets, since 2009 lows, the numbers improve to 78% winners, 1.7% profit factor, with 5/5 in this rally filling by end of the day.  We are currently trading down 13 es points, so this size of gap relative to current volatility  and other factors need to be taken into consideration.

Wednesday 8 February 2012

$spx close at 50 day highs and 20 consecutive closes above 20 day ema

Yesterday we closed above the previous days 50 day high and following the theme from yesterday blog we have closed above the 20 day ema for more than 20 consecutive occasions.  This is actually the 33rd consecutive session, but I have used 20 in this study to increase the sample size).

Below are some stats of a strategy that goes short 1 contract of es, on the above conditions targeting my first short target, currently 1341 or exit at the end of the day.

77% profitable
1.7 profit  factor
73 trades
$189 avg drawdown.

Further, below is an equity curve of the same strategy except it exits at the end of 5 days.  This shows the short target was has been hit on every occasion, the max drawdown was never greater than 3 daily average ranges.






So historically, this would suggest that there is a good expectancy ES will trade down to 1341 at some point in the next 5 days.

Tuesday 7 February 2012

$SPX & Central Bank intervention

Yesterday $spx closed above its 20 day ema for the 32nd time.  We have rallied over 100 points, but to put this move into context with the other rallies since the central banks have been intervening in markets (since 2009 lows) we have had runs of 49, 57, 54 and 50 consecutive sessions where the $spx hasn't traded below its 20 day EMA for more than one session.

Whilst it seems overdone and due for a retrace, the above numbers show these rallies can last longer than expected. 

Wednesday 1 February 2012

Up gaps on 1st of the month

Today is the first trading day of February.  Further to the first of the month bias post, we are now trading well above yesterdays close.  Below is a equity curve of a strategy that shorts any up ES gap on the first trading day of the month.  The strategy exits at gap fill or end of the day.



As you can see this has been a losing strategy historically.  Only 49% of gaps have filled, which is well below historical norms.