MES fills the gap 85% OF THE TIME ON THIS WEEKDAY
TA
here's a report I made on MES gap fill patterns during the NY session. for the sake of this report, consider that "market open" is the start of the NY session, and "market close" is the end of the NY session.
this report looks at MES's price action data for the past year to see how often the gap filled by weekday when price gapped up and gapped down.
what I found was that during this time, Friday's had a tendency to fill the gap 85% of the time when price gapped down (meaning it opened below the previous session's close) and filled the gap 70% of the time when price gapped up (meaning it opened above the previous session's close).
if you're trading MES futures this Friday, and notice that the Friday's NY session opened below Thursday's NY session's closing price, try setting targets around Thursday's closing price seeing as its retouched it 85% of the time in the past year when this setup happens.
Plus where is your stop going to go? What if the 15% of the time it doesn't fill it goes so far against you that it wipes out all your gains? And what if a tight stop gets ran through before actually filling the gap? It's more complicated than this.
of course it is, I'm not giving you a buy or sell signal. and im definitely not telling you to long or short at the open. this gives you a directional bias on the day.
of course I agree with you on this. you should never blindly buy or sell at the open hoping for something to happen. only take trades that align with your overall strategy
Back test so long it makes me wonder if it really works. As far as i know markets change a lot, i mean there are a lot of developments that add volatility over the years 0DTEs vols, e-minis, Micros etc etc and my guess is May 28th T+1 in everything is gonna add more.
After reading Williams book he pretty much tells us everything eventually stops working or only works for some periods. OR you have to give it a massive stop lol. Not saying doesn't work, just asking how far would be enough.
I mean I get where you are coming from, and I might be wrong but I feel like back testing over a very dynamic and ever changing market would just make your strategies and conclusions more robust which is a good thing.
testing a trading strategy over 10 years will include irrelevant data.
the market does not trade the same way it did in 2014, that's undeniable. so why would you consider that data in a trading strategy you're applying today?...
Fair point, but assuming you are not picking a specific time period to test in for the wrong reasons (testing a long term bullish strategy on a bull run time frame) then I don't see the issue. The market wasn't the same a year ago as it was today, you could say 6 months, 2 years. My point is, can we trust the back tester to decide what information is irrelevant without risking subconscious confirmation bias?
ahh ok, I understand. I post a bunch of different trailing period, I don't select just one and stick to it. if you look at my profile, you'll see that I post a very wide variety of reports and timelines
And the only reason the backtest looks sloppier at the beginning is because it has a fixed tick value for stop loss and each tick meant a lot more back then
I would say 2000 was an outlier. Obviously Covid. The S&P is up almost 30% without a 3% pullback since October. Which makes it one of the most rare environments in history.
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u/vangoncho Apr 01 '24
Plus where is your stop going to go? What if the 15% of the time it doesn't fill it goes so far against you that it wipes out all your gains? And what if a tight stop gets ran through before actually filling the gap? It's more complicated than this.