Do European Index Futures Gap Fill? The Stats on it!

Here is a legitimate question that was asked of me do the Dax and ESTX50 index futures gap fill like the US index futures do? So I decided to conduct a study on it and here are the result of that study, it was based off 10 years of 15min data.  This study was also based off the extended DTB session that is 8am to 10:10pm European Time.

So the numbers are in and the conclusion is, yes they do gap fill like the US does. In fact they have better numbers than the ES, NQ, YM and TF. Both the DAX and ESTX50 highlight was that Friday’s historically is the best day to gap fade the DAX and ESTX50. Approximately 60% of gaps will fill in the first 2 hours of the session for both indexes.

Good trading and may all your trades have fat tails and flat distributions

KT

Disclaimer

Fading Fed Day Opening Gaps the Probability of it!

Here is some insight for all those gappers out there. Yes today is Fed day here are the numbers based off 10 years of Fed Day Gaps only gaps of scheduled meetings have been used in this study and I have just posted the results from the ES futures.

Assumptions are as follows

1. 10 contracts

2. Exit - 1/2 at 100% of Gap fill

3. Exit - 1/2 at (Gap Fill + 15% of 5d ATR)

4. Stop 5 points

5. Stop to B/E if the price gets to within 2 ticks of Gap Fill

6. Commission $2.40 per contract

In summary, fading both up and down gaps on Fed Day is a losing strategy with a profit factor of 0.82 and profitable 59% of the time. The best is to only fade down gaps on Fed Day as this has a profit factor of 1.76 (tidy return) and is 67.3% profitable.  The lesson from this study would be to sit on the sidelines on Fed Day when it gaps up as it is a losing strategy with a PF of 0.48 and only look for a gap fade on a gap down.

Good Trading and may all your trades have fat tails and flat distributions

KT

Disclaimer

Correlation Matrix update - 2009!

I have decided to share with you all an update to my correlation matrix for the end of the 2009 year. It is based off continuous contracts and the daily settlement prices over the last 12 months. There are bound to be some numbers that shock some.

Good trading and may all your trades have fat tails and flat distributions

KT

Disclaimer