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.

$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 33^rd 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.

$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. 

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.

Stats on Monday after OPEX

Friday was opex day and we closed up for the 3rd consecutive session, with $spx cash daily range contracting on each occasion.  Over the last 10 years this has happened on 16 occasions.  on 14 occasions we went on to hit my fist short target (for ES), currently 1304 for todays market, at some point during the next session.

100 day high on opex wed

Over the last 10 years the ES emini contract has made 100 day highs on wed of opex week on 18 occasions.  For the next session, the ES contract traded down to my first target, equivilant to 1300 in todays market, on 14/18 times.  The target was hit on 18/18 times over a 5 day period.

Good luck with any trades tomorrow.

1000 views on Collective2

It took 15 months, 91 trades, 83.5% profitable, 1.9 profit factor, peak to trough drawdown of 6.3%, 25% annual return, but finally got 1000 views on collective2. 

Tough crowd :)

Any questions, please feel free to ask.