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My TS7 strategy uses stoploss, profit trailing, and max profit exits. On
8/21 the 'gap and trap' triggered all three exits in a variety of issues,
and more seriously, didn't put me back into positions after profitable
exits. I left a lot of money on the table that day. 8/22 had a similar
dynamics tho I was flat by then.
What I want to do is incorporate a 'Gap and Trap' sub strategy that takes me
out of my long positions at a likely reversal point after a big gap up and
lets me re-enter using my standard entry techniques after a 'gap and trap'
all clear. So I need a G&T ON, and a G&T ALL CLEAR signal.
I've focused my attention on $TICK as a global gap and trap indicator. On
both 8/21 and 8/22 the 5bar tick average went over 400 out of the chute,
then immediately tanked. I use 5 min bars:
8/21 10:05 815.60 max
10:20 456.20 5 bar cross under 10 bar, possible G&T On.
12:00 5 bar over 10 bar, both + rate, possible G&T all clear.
8/22 9:40 557 Max
9:50 279 5X<10, G&T On
11:05 5>10, both +; G&T all clear.
On those days, selling my longs on the G&T on, and enabling re-entry on the
'all clear', would have been very profitable.
This, of course, is classic monday morning quarterbacking, but it is based
on some successful MA crossover triggers I use elsewhere and generally good
results looking to Tick to confirm macro equity actions. I 'feel' I'm on the
right track but don't feel go enough to put a nickle on it!
A lot of the problem is, it is very difficult researching and backtesting
these singular events, intermittent. I don't have enough experience under
my belt manually trading through such days to know if I'm on the right track
or not. Further, given the infrequent singular nature of the events, it'll
take me forever to evolve what works and doesn't - hence this request for
help.
Do any of you have experience with what works and doesn't work on such days?
Any statistical data on what common indicators might or might not do on G&T
days?
Any luck with autotrading strategies to either bail out, or attempt to go
sequence a long-short-long strategy?
I'll be plugging away at this over the next week and will be happy to share
my code/results.
Tks, daver
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