ES stats

eminiglobex

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I'll be posting some stats and thoughs about my es trading in this thread.

Stats for todays ES gap. Yest we gapped over 50 day highs and closed down.Next day 69% down gaps and 80% of up gaps filled by EOD.
 
Fading ES up gaps on NFP day, slight positve bias.79% fill by EOD. Size of gap, relative to volatility and fact we are gapping above 100 day highs are other factors that need to be considered.
 
from link "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 33rd 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 exceprt it exits at the end of 5 days (see blog)

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."

1341 target hit. The same signal will trigger tonight if $spx closes above 1349.24
 
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1341 target hit. The same signal will trigger tonight if $spx closes above 1349.24

We did close above 1349.24 (yest $spx highs) and another signal as per above. I am out already for 8 ticks on this weakness. I will post some gap stats if any decent edge before the day session open.
 
Short target hit again re above. Looks like we will get a decent gap down, which may present an opportunity. I will crunch some numbers and post if any decent edge.
 
ive pasted below from the blog eminiglobex: 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 Avergae 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.
 
ive pasted below from the blog eminiglobex: 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 Avergae 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.

The above applies for todays gap. Note this gap smaller and we are opening within the range of yesterdays bar
 
The above applies for todays gap. Note this gap smaller and we are opening within the range of yesterdays bar

Regarding the above numbers the gap didnt fill, but like friday, we closed above the open.

Interesting action, 3 days in a row where the es gap didnt fill and we closed near the high of the daily range.
 
Plenty of conflicting info for this gap. An interesting study if that yest $spx closed lower than previous day and we now are opening at contract or 50/100 day highs. This is a surprisingly rare pattern, where only 11 instances in the last 10 years by my calculations, with 9 filling by EOD
 
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