Gap Probabilities for Wednesday 6/30/2010

IMPORTANT NOTICE: Futures trading has large potential rewards, but also large potential risk . You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. This is neither a solicitation nor an offer to Buy/Sell futures or options. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this web site. The past performance of any trading system or methodology is not necessarily indicative of future results. There is no claim or guarantee that the following information are free of errors,including typos, program bugs, error in modeling the data, internet errors, etc.
Trade at your own risk!


Not a single loosing trade so far!

Yesterday's post said
"Today's Summary:
Before Gap - Based on the market structure data shown below, If ES opens between high and close of yesterday(1078.50 to 1075.50), there will be a 74% (Profit factor of 2.37) that the target of 1071 would be hit. However, the timing data does not support it. Being a conservative trader, I will not trade this. Generally Monday and Tuesdays are the worst days for these types of setups.
After Gap - Today's calculations data does not support any After Gap play."

Recap of yesterday Action:
Before Gap: ES opened at 1055.50, below the low of the prior day. The profit factor for closing the gap in this area was 0.89 (by Market structure) and 0.80 (by Timing). Both obvious money looser. The market moved only a tick in the direction of closing the gap. So the probability tables helped me avoid a loosing trade.
After Gap: There was no possible high probability After Gap trade.

Today's Summary:
Before Gap - Based on the market structure data shown below in table-1 and table-2, All short trades are excellent(We can ignore the H-O zone because it is only one tick.) The best and likely scenario is if ES opens in O-C zone(1055.50 to 1035.25) The win rate is 85% with a profit factor of 3.17. Can't get much better than this! The corresponding timing data (Table-2) are not quite as good but still very good numbers. So this is a must-trade for me.
If the market opens above the high of yesterday, it is still attractive to go short but not as good as O-C zone.
If the market opens between the close and low(C-L zone, i.e. 1035.25 to 1030.25) there is also a good chance the gap will close (83% by structure and 81% by timing with corresponding PF of 2.21 and 1.25 respectively). I probably will trade this scenario as well.
After Gap - Referring to Table-3 below, if ES opens in O-C zone(1055.50 to 1035.25) and then closes the gap, there is an amazing 94% chance(awesome profit factor of 7.11)that it will go down an additional 4 points to 1031.25.
Additional Comment - Today's stop are set at 12 which are larger than average as a result of recent large price movements. In order to lower my loss and increase my profits, I usually adjust my target and stop according to pivot points.  In particular, if the market does not make the moves that I expect in a short period of time (30 - 60 minutes), I will try to manage the trade to get out at as much profit or as little loss that I can.  Also because of these large movements, I probably will not go for full gap fill.  If I can get 4 points I will be happy.



Today's ES pivot points:
Day 2 Hi - 1078.50
R3 - 1076
Fib 1.618(Hi) - 1071.50
Day 2 Low - 1066.50
R2 - 1066
Fib 1.272(Hi) - 1062.75
High - 1055.75
Open - 1055.50
R1 1050.50
Pivot - 1040.50
Close - 1035.25
Low - 1030.25
S1 - 1025
Fib 1.272(Low) 1023.25
S2 - 1015
Fib 1.618(Low) 1014.50
S3 - 999.50

Before Gap probabilities

The following info is based on Market Structure:
Profit Target = Gap Close, Stop = 12 points.

Emini S&P Future
What are these rows and columns?

Table - 1
Opening Zone > H H-O O-C C-L < L All All


Short Short Short Long Long Longs Shorts
PF
1.56 0.35 3.17 2.21 2.00 2.12 1.93
PCT Prof
67% 40% 85% 87% 83% 84% 78%
Avg Loss
$321 $395 $333 $450 $556 $488 $349
Net Loss
$963 $4,738 $6,650 $3,150 $6,113 $9,763 $12,913
Loose
3 12 20 7 11 20 37
Avg Win
$250 $209 $180 $152 $231 $197 $186
Net Win
$1,500 $1,675 $21,088 $6,975 $12,225 $20,688 $24,925
Win
6 8 117 46 53 105 134
Avg P/L
$60 $153 $105 $72 $96 $87 $70
Net
$538 $3,063 $14,438 $3,825 $6,113 $10,925 $12,013
Total
9 20 137 53 64 125 171


D-H D-HO D-OC D-CL D-L



The following info is based on timing:
Profit Target = Gap Close, Stop = 12 points.
Emini S&P Future
What are these rows and columns?

Table - 2
Opening Zone > H H-O O-C C-L < L All All


Short Short Short Long Long LONG SHORT
PF
4.57 1.28 1.83 1.25 1.11 1.09 1.67
PCT Prof
76.92% 63.16% 76.56% 81.25% 55.93% 70.00% 74.14%
Avg Loss $250 $288 $310 $423 $355 $363 $301
Net Loss $750 $2,013 $9,300 $6,350 $9,225 $31,600 $25,000
Loose
3 7 30 15 26 87 83
Avg Win
$343 $215 $173 $122 $311 $170 $175
Net Win
$3,425 $2,575 $17,000 $7,925 $10,250 $34,538 $41,688
Win
10 12 98 65 33 203 238
Avg P/L
$206 $30 $60 $20 $17 $10 $52
Net
$2,675 $563 $7,700 $1,575 $1,025 $2,938 $16,688
Total
13 19 128 80 59 290 321

After Gap probabilities

The following info is based on market structure:
Profit Target = 4 points, Stop = 12 points. These are gap close conditional probabilities
Emini S&P Future
What are these rows and columns?

Table - 3
Opening Zone
> H H-O O-C C-L < L All All


Short Short Short Long Long Longs Shorts
PF
NA NA 7.11 1.01 0.29 0.80 7.11
PCT Prof
--- --- 94% 69% 50% 67% 94%
Avg Loss
$0 $0 $475 $447 $700 $498 $475
Net Loss
$0 $0 $475 $1,788 $700 $2,488 $475
Loose
0 0 1 4 1 5 1
Avg Win
$0 $0 $199 $200 $200 $200 $199
Net Win
$0 $0 $3,375 $1,800 $200 $2,000 $3,375
Win
0 0 17 9 1 10 17
Avg P/L
--- --- $161 $1 $250 $33 $161
Net
$0 $0 $2,900 $13 $500 $488 $2,900
Total
0 0 18 13 2 15 18


If you need help with reading and using these data please visit Fading Opening Gaps 101.
Gaps are very popular trading tools. If you do a google search on market gap, it will come up about 34,000,000 entries. Many people worked on this subject of gaps 100's of years before internet was invented. Amongst the zillions of gap researchers, Masterthegap does a very good job primarily on calculating the probability for fading the opening gap. They also cover other markets as well as ES. I have come up with some ideas in the engine behind these numbers and I think they are great ideas. I am sure that others have come up with some other great ideas to calculate these probabilities. There are virtually unlimited ways to build this engine. So don't be surprised to see various people who calculate this probabilities are coming up with different numbers. The area of market is not quite inside the domain of exact science.
If you need help with trading in general, the best place I have found so far is LBR Group headed by market wizard Linda Raschke. Beware that most other sites are purely scams.

Good luck and please direct any questions or suggestions!

Copyright © Ali Mohseni 2010 Charts are created using Tradestation software.












Gap Probabilities for Tuseday 6/29/2010

IMPORTANT NOTICE: Futures trading has large potential rewards, but also large potential risk . You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. This is neither a solicitation nor an offer to Buy/Sell futures or options. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this web site. The past performance of any trading system or methodology is not necessarily indicative of future results. There is no claim or guarantee that the following information are free of errors,including typos, program bugs, error in modeling the data, internet errors, etc.
Trade at your own risk!


If you need help with reading and using these data please visit Fading Opening Gaps 101.
Gaps are very popular trading tools. If you do a google search on market gap, it will come up about 34,000,000 entries. Many people worked on this subject of gaps 100's of years before internet was invented. Amongst the zillions of gap researchers, Masterthegap does a very good job primarily on calculating the probability for fading the opening gap. They also cover other markets as well as ES. I have come up with some ideas in the engine behind these numbers and I think they are great ideas. I am sure that others have come up with some other great ideas to calculate these probabilities. There are virtually unlimited ways to build this engine. So don't be surprised to see various people who calculate this probabilities are coming up with different numbers. The area of market is not quite inside the domain of exact science.
If you need help with trading in general, the best place I have found so far is LBR Group headed by market wizard Linda Raschke. Beware that most other sites are purely scams.

Not a single loosing trade so far!

Yesterday's post said
"Before Gap - Based on the market structure data shown below, If ES opens between high and close of yesterday(1079.50 to 1074.75), there will be a 72% (Profit factor of 1.37) that the target of 1074.74 would be hit. However, the timing data does not support it. There is a good chance that this will work but it is too aggressive for me to trade.
After Gap - Today's calculations data does not support any After Gap play."

Recap of yesterday Action:
Before Gap: ES opened at 1075.50 in the highest probability range. I did not make any trade because I considered it too risky and the max profit would have been less than one point. However, the gap closed very quickly.
After Gap: There was no valid 2nd trade because ES did not open in a high probability zone for this trade.
My college friend, one of the distinguished scientists in US, and his family visited me from Texas on Monday. We enjoyed my eggplant stew, grilled chicken, home-made wine and long conversations.

Today's Summary:
Before Gap - Based on the market structure data shown below, If ES opens between high and close of yesterday(1078.50 to 1075.50), there will be a 74% (Profit factor of 2.37) that the target of 1071 would be hit. However, the timing data does not support it. Being a conservative trader, I will not trade this. Generally Monday and Tuesdays are the worst days for these types of setups.
After Gap - Today's calculations data does not support any After Gap play.


Today's ES pivot points:
R3 - 1089.50
Fib 1.6 - 1086
R2 - 1084
Fib 1.27 - 1081.75
Day 2 Hi - 1079.50
High - 1078.50
R1 1077.50
Open - 1075.50
Pivot - 1072.25
Close - 1071
Low - 1066.50
Day 2 LS1 - 1065.50
ow - 1062.75
S2 - 1060
S3 - 1053.50

Before Gap probabilities
Gap fading probability numbers:

The following info is based on Market Structure:
Profit Target = Gap Close, Stop = 5 points.

Emini S&P Future
What are these rows and columns?

Opening Zone >H H-O O-C C-L All All


Short Short Short Long Long Longs Shorts
PF
1.29 2.37 1.33 1.09 0.89 0.97 1.46
PCT Prof
56% 74% 62% 58% 52% 54% 64%
Avg Loss
$25 $31 $29 $31 $30 $30 $29
Net Loss
$175 $338 $3,063 $1,438 $1,763 $3,388 $3,813
Loose
7 11 105 47 59 113 132
Avg Win
$25 $25 $24 $24 $25 $24 $24
Net Win
$225 $800 $4,063 $1,563 $1,563 $3,300 $5,575
Win
9 32 170 65 63 135 231
Avg P/L
$3 $11 $4 $1 $2 $0 $5
Net
$50 $463 $1,000 $125 $200 $88 $1,763
Total
16 43 275 112 122 248 363



The following info is based on timing:
Profit Target = Gap Close, Stop = 5 points.
Emini S&P Future
What are these rows and columns?

Opening Zone >H H-O O-C C-L All All


Short Short Short Long Long LONG SHORT
PF
0.46 0.67 1.34 1.33 0.80 1.14 1.05
PCT Prof
29.41% 52.78% 75.65% 78.13% 47.37% 67.97% 67.19%
Avg Loss $361 $329 $382 $315 $298 $288 $330
Net Loss $4,338 $5,600 $10,688 $4,413 $8,938 $25,888 $34,675
Loose
12 17 28 14 30 90 105
Avg Win
$400 $198 $165 $118 $263 $154 $169
Net Win
$2,000 $3,763 $14,313 $5,875 $7,113 $29,400 $36,350
Win
5 19 87 50 27 191 215
Avg P/L
$138 $51 $32 $23 $32 $13 $5
Net
$2,338 $1,838 $3,625 $1,463 $1,825 $3,513 $1,675
Total
17 36 115 64 57 281 320


After Gap probabilities

The following info is based on market structure:
Profit Target = 4 points, Stop = 5 points. These are gap close conditional probabilities
Emini S&P Future
What are these rows and columns?

Opening Zone
>H H-O O-C C-L All All


Short Short Short Long Long Longs Shorts
PF
100.00 100.00 0.80 1.00 100.00 0.82 0.80
PCT Prof
--- --- 50% 50% --- 50% 50%
Avg Loss
$0 $0 $250 $250 $0 $254 $250
Net Loss
$0 $0 $250 $250 $0 $1,775 $750
Loose
0 0 1 1 0 7 3
Avg Win
$0 $0 $200 $250 $0 $207 $200
Net Win
$0 $0 $200 $250 $0 $1,450 $600
Win
0 0 1 1 0 7 3
Avg P/L
--- --- $25 $0 --- $23 $25
Net
$0 $0 $50 $0 $0 $325 $150
Total
0 0 2 2 0 14 6

Good luck and please direct any questions or suggestions!

Copyright © Ali Mohseni 2010 Charts are created using Tradestation software.




Gap Probabilities for Monday 6/28/2010


IMPORTANT NOTICE: Futures trading has large potential rewards, but also large potential risk . You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. This is neither a solicitation nor an offer to Buy/Sell futures or options. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this web site. The past performance of any trading system or methodology is not necessarily indicative of future results. There is no claim or guarantee that the following information are free of errors,including typos, program bugs, error in modeling the data, internet errors, etc.
Trade at your own risk!

If you need help with reading and using these data please visit Fading Opening Gaps 101.
Gaps are very popular trading tools. If you do a google search on market gap, it will come up about 34,000,000 entries. Many people worked on this subject of gaps 100's of years before internet was invented. Amongst the zillions of gap researchers, Masterthegap does a very good job primarily on calculating the probability for fading the opening gap. They also cover other markets as well as ES. I have come up with some ideas in the engine behind these numbers and I think they are great ideas. I am sure that others have come up with some other great ideas to calculate these probabilities. There are virtually unlimited ways to build this engine. So don't be surprised to see various people who calculate this probabilities are coming up with different numbers. The area of market is not quite inside the domain of exact science.
If you need help with trading in general, the best place I have found so far is LBR Group headed by market wizard Linda Raschke. Beware that most other sites are purely scams.

Not a single loosing trade so far!

Yesterday's post said
"
Before Gap Play - Based on the market structure and timing data shown below, If ES opens between open and close of yesterday(1070.25 to 1082.25), I will go short with a stop of 5 and a target of close adjusted based on pivot points. Other situations are not appealing. This is not one of the best set ups, but it is good enough for me to trade.
After Gap Play - If ES opens between high and open of yesterday(i.e. between 1083.75 and 1082.50) and then closes the gap any time during the day, then there is 74% chance(with a profit factor of 2.37) that it will go up for additional 4 points."

Recap of yesterday Action:
ES opened at 1072.75 in the range for "Before Gap Play". I went short at the open and hit my target in a few minutes. The potential was 2.5 points but I lost two ticks because of my hesitation.
There was no valid 2nd trade because ES did not open in a high probability zone for After Gap Play.

Today's Summary:
Before Gap - Based on the market structure data shown below, If ES opens between high and close of yesterday(1079.50 to 1074.75), there will be a 72% (Profit factor of 1.37) that the target of 1074.74 would be hit. However, the timing data does not support it. There is a good chance that this will work but it is too aggressive for me to trade.
After Gap - Today's calculations data does not support any After Gap play.

Today's ES pivot points:
R3 - 1098.75
Fib 1.6 - 1089.75
R2 - 1089
Fib 1.27 - 1084
Day 2 Hi - 1083.75
R1 1082
High - 1079.50
Close - 1074.75
Open - 1072.75
Pivot - 1072.50
Day 2 Low - 1066.50
S1 - 1065.25
Low - 1062.75
S2 - 1055.50
S3 - 1048.50

Before Gap probabilities
Gap fading probability numbers:

The following info is based on Market Structure:
Profit Target = Gap Close, Stop = 5 points.

Emini S&P Future
What are these rows and columns?

Opening Zone H HC CO OL L All All


Short Short Long Long Long Longs Shorts
PF
0.58 1.37 0.59 1.08 0.61 0.79 1.06
PCT Prof
48% 72% 59% 55% 45% 57% 64%
Avg Loss
$263 $242 $202 $230 $340 $243 $251
Net Loss
$6,575 $3,150 $4,250 $2,300 $2,038 $10,950 $11,538
Loose
25 13 21 10 6 45 46
Avg Win
$166 $127 $84 $207 $250 $144 $150
Net Win
$3,825 $4,325 $2,525 $2,488 $1,250 $8,625 $12,175
Win
23 34 30 12 5 60 81
Avg P/L
$57 $25 $34 $9 $72 $22 $5
Net
$2,750 $1,175 $1,725 $188 $788 $2,325 $638
Total
48 47 51 22 11 105 127


The following info is based on timing:
Profit Target = Gap Close, Stop = 5 points.
Emini S&P Future
What are these rows and columns?

Opening Zone H HC CO OL L All All


Short Short Long Long Long Longs Shorts
PF
0.88 0.86 1.15 0.81 1.07 1.05 0.89
PCT Prof
57% 82% 78% 68% 49% 64.11% 61.01%
Avg Loss $246 $335 $322 $313 $231 $274 $262
Net Loss $14,750 $1,675 $5,150 $2,188 $5,088 $24,363 $32,525
Loose
60 5 16 7 22 89 124
Avg Win
$161 $63 $106 $118 $260 $161 $149
Net Win
$13,050 $1,438 $5,925 $1,763 $5,463 $25,588 $28,850
Win
81 23 56 15 21 159 194
Avg P/L
$12 $8 $11 $19 $9 $5 $12
Net
$1,700 $238 $775 $425 $375 $1,225 $3,675
Total
141 28 72 22 43 248 318

After Gap probabilities

The following info is based on market structure:
Profit Target = 4 points, Stop = 5 points. These are gap close conditional probabilities
Emini S&P Future
What are these rows and columns?

Opening Zone
H HC CO OL L All All


Short Short Long Long Long Longs Shorts
PF
100.00 0.80 0.79 100.00 100.00 0.82 0.80
PCT Prof
--- 50% 50% --- --- 50% 50%
Avg Loss
$0 $250 $254 $0 $0 $254 $250
Net Loss
$0 $500 $1,525 $0 $0 $1,775 $750
Loose
0 2 6 0 0 7 3
Avg Win
$0 $200 $200 $0 $0 $207 $200
Net Win
$0 $400 $1,200 $0 $0 $1,450 $600
Win
0 2 6 0 0 7 3
Avg P/L
--- $25 $27 --- --- $23 $25
Net
$0 $100 $325 $0 $0 $325 $150
Total
0 4 12 0 0 14 6


Good luck and please direct any questions or suggestions!

Copyright © Ali Mohseni 2010 Charts are created using Tradestation software.

Gap Probabilities for Friday 6/25/2010


IMPORTANT NOTICE: Futures trading has large potential rewards, but also large potential risk . You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. This is neither a solicitation nor an offer to Buy/Sell futures or options. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this web site. The past performance of any trading system or methodology is not necessarily indicative of future results.
Trade at your own risk!

If you need help with reading and using these data please visit Fading Opening Gaps 101.
Gaps are very popular trading tools. If you do a google search on market gap, it will come up about 34,000,000 entries. Many people worked on this subject of gaps 100's of years before internet was invented. Amongst the zillions of gap researchers, Masterthegap does a very good job primarily on calculating the probability for fading the opening gap. They also cover other markets as well as ES. I have come up with some ideas in the engine behind these numbers and I think they are great ideas. I am sure that others have come up with some other great ideas to calculate these probabilities. There are virtually unlimited ways to build this engine. So don't be surprised to see various people who calculate this probabilities are coming up with different numbers. The area of market is not quite inside the domain of exact science.
If you need help with trading in general, the best place I have found so far is LBR Group headed by market wizard Linda Raschke. Beware that most other sites are purely scams.


Yesterday's post said
"
If the market opens in HC area (i.e. Between High and Close), there is a 74% chance that it will hit the close with an excellent profit factor of 1.98. The long trades do not look as good. But if the market opens above 1080.25, according to market structure, there is 63% chance of winning with low sample size. Its corresponding data from timing is very good. It does not meet my criteria for high probability trades but it may be good for more aggressive traders.
I can't see anything here that supports the second trade (the trade after the gap closes). "

Recap of yesterday Action:
ES opened at 1082.50 below 1087 which was my criteria for trading short. Long gaps were not appealing and did not quite meet my threshold for trading. As you see in the graph, it was a good decision and I saved myself a loosing trade.

Today's Summary:
Before Gap Play - Based on the market structure and timing data shown below, If ES opens between open and close of yesterday(1070.25 to 1082.25), I will go short with a stop of 5 and a target of close adjusted based on pivot points. Other situations are not appealing. This is not one of the best set ups, but it is good enough for me to trade.
After Gap Play - If ES opens between high and open of yesterday(i.e. between 1083.75 and 1082.50) and then closes the gap any time during the day, then there is 74% chance(with a profit factor of 2.37) that it will go up for additional 4 points.

ES pivot points:
R3 - 1098
Day 2 Hi - 1095.75
Fib 1.6 - 1094.50
R2 - 1090.75
Fib 1.27 - 1088.50
High - 1083.75
Open - 1082.50
R1 1080.50
Day 2 Low - 1080.25
Pivot - 1073.75
Close - 1070.25
Low - 1066.50
S1 - 1063.50
S2 - 1056.25
S3 - 1046.25

Gap fading probability numbers:
All numbers below are based on Profit Target = Gap Close, Stop = 5 points.

The following info is based on Market Structure:
Emini S&P Future
What are these rows and columns?



H HO OC CL L All All


Short Short Short Long Long Longs Shorts
PF
1.29 2.37 1.33 1.09 0.89 0.97 1.46
PCT Prof
56% 74% 62% 58% 52% 70% 64%
Avg Loss
$25 $31 $29 $31 $30 $147 $29
Net Loss
$175 $338 $3,063 $1,438 $1,763 $3,388 $3,813
Loose
7 11 105 47 59 23 132
Avg Win
$25 $25 $24 $24 $25 $61 $24
Net Win
$225 $800 $4,063 $1,563 $1,563 $3,300 $5,575
Win
9 32 170 65 63 54 231
Avg P/L
$3 $11 $4 $1 $2 $142 $5
Net
$50 $463 $1,000 $125 $200 $10,913 $1,763
Total
16 43 275 112 122 77 363


The following info is based on timing:
Emini S&P Future
What are these rows and columns?



H HO OC CL L All
All


Short Short Short Long Long Longs Shorts
PF
1.72 0.74 1.47 1.19 2.06 1.27 1.58
PCT Prof
56.52% 44.00% 78.81% 78.95% 56.36% 65.88% 72.17%
Avg Loss $274 $296 $390 $375 $303 $324 $323
Net Loss $2,738 $4,138 $9,738 $4,500 $7,263 $28,175 $31,025
Loose
10 14 25 12 24 87 96
Avg Win
$362 $278 $154 $119 $483 $213 $197
Net Win
$4,700 $3,063 $14,313 $5,350 $14,975 $35,863 $48,950
Win
13 11 93 45 31 168 249
Avg P/L
$85 $43 $39 $15 $140 $30 $52
Net
$1,963 $1,075 $4,575 $850 $7,713 $7,688 $17,925
Total
23 25 118 57 55 255 345



Good luck and please direct any questions or suggestions!

Copyright © Ali Mohseni 2010 Charts are created using Tradestation software.