More on Opening Gap Systems
Ok. Resuming work on the
Opening Gap systems, from
where I left it last weekend.
I've gotten up early as I've been doing lately, and have been rechecking all systems with the new method that avoids CloseD problems (see earlier posts). So far I've found that the ZN with the new method doesn't work reliably. So I discarded it as Opening Gap System. The GBL nonetheless is still totally valid. I'm now testing the CL which is not working as well, and it seems that I am about to discard that as well. Yes, discarded.
What's left now is Forex futures which I still have to test. The ES-YM, which I have to check, and the GBL which is valid as tested last weekend because the CloseD easylanguage problem doesn't affect it, as its last price is at 22.00 CET, since it's not a "continuous" future.
Now checking ES-YM, which performed so well that I don't expect them to lose all their edge despite the faulty testing used last weekend.
No ****... it's doing even better.
All right: the GBL and the ES are perfect. Now let's see the YM.
Ok, even the YM works better with the same exact formula as last week (which was optimized with the CloseD faulty testing). This is awesome.
It's awesome because I thought the gap filter would have to be tweaked and increased to allow only larger gaps since now the open is matched against an earlier CloseD (I am limiting the hours with the "format symbol - settings - universe" menus), and gaps tend to be larger. This in turn causes more trades with the "minimum gap" requirement being fixed. But the great thing is that the more trades just cause more profit, following the same profit ratio and other ratios, and not increasing the size of losses. So this advises me to keep all parameters just as they were, and it also says that the CloseD problem was not a big problem, just like I thought. However the CL and the ZN were discarded as a result of this new testing, so it did make a difference.
Ok. Done with YM as well. I've actually
reduced the gap requirement filter, allowing even more trades. The profitability of the average trade gets lower as I allow more trades, but still I can't afford to throw away good profits just because the extra trades are not as profitable as those allowed by a tighter requirement.
Ok. Now let's look at forex futures, even though I am not very hopeful, as I've seen that the Opening Gap system works better on non-continuous markets, such as Stock indexes and GBL, whereas it doesn't do as well on typically continuous markets. I use these terms loosely, because almost all futures are continuous, but the difference on the ES and YM is that there's great stress on the Close and the Open: traders care about those prices, despite the fact that the future is continous, whereas on the EUR and such nobody really places much importance on where it opens at RTH and similar. I am too ignorant to explain it properly but I am sure I will understand myself when I'll read it in the future.
Anyway, let's test these forex futures: I am not hopeful but if the system works, I am ready to use it even if I don't understand why it works.
Ok. The EUR doesn't have a precise opening gap edge, but I came up with a derived system which is a good one (actually it makes more money than the opening gap systems), so I can't just throw it away because it's not exactly based on the opening gap: it is based on it and more. And this will require more work. That is why I have realized a while ago that I can't just get everything done in one day as I used to. Now these systems are endeavours that last a month. Usually I don't like to end the day without having finished a task, but I've accepted it.