Intraday Bias: Emini Weak Close Gap Up

By Lawrence

Trading models derived from the gap classification framework from Master Emini S&P Gap Trading Techniques.

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  • MidKnight March 25, 2015 at 11:25 pm

    I’m curious how you would explore a strategy like this on a market like HSI where the regular trading hours, both the open and the close are outside the stock market hours. Would you strictly apply any ‘day’ OHLC values strictly to the stock market hours or would you keep them in line with the futures trading hours?

    • Lawrence March 26, 2015 at 9:05 am

      remember for gap strategies to work it depends on the underlying stocks.

      so you need to collect stats based on the time the index traded while the stocks are trading.

  • MidKnight March 29, 2015 at 10:29 pm

    OK, so your requirements of using previous day range and your measure from current day open and previous day close are strictly taken from using cash only session times? That wasn’t clear to me from reading the article…..

    With thanks,
    MK

    • Lawrence March 30, 2015 at 8:41 pm

      You cannot just read this one isolated. It is part of the complete framework.

  • MidKnight April 1, 2015 at 10:02 pm

    Hiya LC,

    I’ve read them all and the framework several times over. My previous question regarding what time of day you are using to determine a ‘day’ still stand. Many index futures will include session times outside of the stock market session. I would like to explore this framework on HSI but would first like your clarification of what you are calling a ‘day’.

    Is it just the RTH session (which in some markets will include times outside of the stock market) – or is this strictly the stock market RTH? As an example: HSI futures regular trading hours are from 0915 – 1615, however the stock market is open from 0930 – 1600. ESignal provider provides a ‘day’ as the full 0915 – 1615 time span.

    With thanks,
    MK

    • Lawrence April 2, 2015 at 12:43 pm

      I already answered your question with my 1st reply,

      “remember for gap strategies to work it depends on the underlying stocks. so you need to collect stats based on the time the index traded while the stocks are trading”

      For Emini S&P it is 9:30 am to 4:00 pm.

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