A simple, but effective strategy.
PROFIT FROM
GAP TRADING.
SK YS CR A PE R. B urj K ha lif a, D ub ai . Th e w or ld s t al le st b ui ld in g o n t he s ca le o f 8 28 m et re s h ig h.TIPS.
06
Philipp is the Senior Quant Analyst at Intalus. He was born in Austria and studied electrical engineering before joining a large German Bank. He developed fully automated trading strategies for their proprietary trading department. His book about how to design winning trading strategies has been among the top sellers in Germany for the last two years. At Intalus he is responsible for the in house training of
institutional traders and the development of custom made algorithmic trading strategies.
You may contact Philipp at
PROFIT FROM
GAP TRADING.
Ever wanted to test a simple gap strategy? Sometimes the simplest of strategies can reveal startling results. This example below from British Sky Broadcasting illustrates this nicely (see performance chart in the lower pane).
Of particular importance is the equity curve. A steadily rising stream of profit. Here comes the Equilla code to do just this:
The strategy is designed to keep things simple. It is works best if run on daily data and it enters a short trade if there has been an up-gap overnight. (open tomorrow > high today). The trade is closed if the gap is closed.
Watch this video to see how you can create a gap trading strategy using Tradesignal.
if bartype=bartypedaily then begin
// only runs on daily data
if open of tomorrow > high then short next bar
at market;
// short if overnight up gap.
cover ("Gap closed") next bar at high limit; // cover if gap closed
As with most strategies this may be applied to a portfolio or watch list. Here I have a selection of stocks from the FTSE 100 to find good opportunities for trading the gaps.
To do the same in reverse (that is go long, if we get a down gap) we just add again reversing the direction like so;
if bartype=bartypedaily then begin
// only runs on daily data
if open of tomorrow > high then short next bar
at market;
// short if overnight gap up.
cover ("Gap closed") next bar at high limit; // cover if gap closed
if open of tomorrow < low then buy next bar
at market;
// long if overnight gap down.
sell ("Gap closed") next bar at low limit; // sell if gap closed
If the gap is not closed during the day a second strategy can provide the emergency exit and closes the trade at the end of the day. This is the code I would use for my end of day exit;
Take care, take profit, Philipp Kahler
Senior Quantitativ Analyst at Intalus
SCAN FOR THE BEST.
How to find the best performers
out of hundreds of stocks in
seconds.
SPEED UP YOUR DECISIONS.
How to creat your own equity
basket.
AUTO-ADJUST
POSITION SIZE.
How to create and trade an
optimal portfolio.
HIGHLY EFFICIENT
SHORTING.
How to identify and profit well
from a short trade.
RULE-BASED TRENDLINES.
How to use point & figure trend
lines in candlestick charts.
MORE KNOW-HOW AND VIDEOS HERE
PROFIT FROM THESE TRADING
TIPS AND VIDEOS TOO.
A publication of
SCAN FOR THE BEST.
How to find the best performers out of hundreds of stocks in seconds.
intalus.com Powered by TR DING TIPS.Issue 01 A publication of
How to create your own equity basket.
intalus.com Powered by SPEED UP YOUR DECISIONS. TR DING TIPS.Issue 02 A publication of
How to create and trade an optimal portfolio.
intalus.com
Powered by
CONTROL YOUR RISK.
AUTO-ADJUST POSITION SIZE.
TR DING TIPS.Issue
03
A publication of
How to identify and profit well from a short trade.
intalus.com Powered by HIGHLY EFFICIENT SHORTING. TR DING TIPS.Issue 04 A publication of
How to use point & figure trend lines in candlestick charts.
intalus.com Powered by RULE-BASED TRENDLINES IMPROVE DISCIPLINE. TR DING TIPS.Issue 05
www.intalus.com/tradingtips
Tr ad es igna l ® is a r eg is te re d t ra de m ar k o f T ra de si gn al G m bH . U na ut ho rize d u se o r m is us e i s s pe ci fic al ly p ro hi bi te d.
FIND TRADING
GAPS QUICKLY.
Are you looking for an assistant who permanently watches the market for trading opportunities like gaps? Find out how you can trade more efficiently. Use Tradesignal to improve your returns.
