Emini S&P Afterhours Behaviour Part 2 – A Simple System Exploiting the Basic Up Drift Bias

By Lawrence

A simple trading system that exploit the up drift bias that happens in afterhours.

The System

The rules are extremely simple,

  • Go long by 4:30 pm (for some people this is important due to holding position from regular trading session requires full margin)
  • Exit long by 9:30 am, or
  • Take profit when 5 points profit is reached

The following chart shows the number of points gain (the green line) of the system comparing to the performance of just going long the AH session (the blue line) i.e. without 3rd rule

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Comments
  • geosing February 10, 2012 at 5:36 pm

    Interesting. Since for many, this will be an unattended trade, how does one manage the downside risk … wide stops or some other?

    Thanks for this excellent series.

    • Lawrence Chan February 12, 2012 at 3:52 pm

      As I get to write the other parts on this series, more statistics will be presented so that one can have a better handle of these things related to AH price actions.

      • geosing February 13, 2012 at 8:01 pm

        Thank you, sir.

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