Excellent Performance From mnGapAutotrader
admin | June 17th, 2010 - 3:29 pmWe have recently been adopting a more conservative trading strategy when fading the opening gap with the mnGapAutotrader. It’s yielding some excellent results this week.
A quick recap, for those just finding this blog. mnGapAutotrader is our automated system for fading the opening gap. It fully manages the trade placing up to three profit targets as well as a stop loss.
By conservative trading we reduce our profit targets to the following percentages of gap fill, trading index futures with 3 lots (contracts).
Our profit settings currently are:
First target: 0.25% of gap fill
Second target: 0.5% of gap fill
Second target: 1.0% of gap fill
This approach can prove successful as targets are more easily met, however on some days it does reduce the profitability of trade if there is a strong and sustained move towards gap fill.
Here are three profitable trades for the 16th June 2010. We traded ES, YM and NQ, three lots each with our conservative profit targets. As you can see the results were great!
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2 Responses to “Excellent Performance From mnGapAutotrader”
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Can you run a backtest over the past 10 years? I am contemplating purchasing your Gap autotrader and would like to see how it has done in a wide range of market conditions. I anticipate trading ES contracts, though I may trade other markets.
Many Thanks!
Greg Kuhn
Hi Greg
Thanks for your comment.
We have a problem back testing the mnGapAutotrader as it uses limit orders for precise order entry and Ninjatrader back tester uses completed bars for test results. This means that the back tested results are not representitive of actual performance.
It is also why we used Tradestation to do the initial testing of the concept behind the Gap Trader, hence this equity curve using oil futures (CL):
http://www.medianetrix.com/trading-products/mngapautotrader/mngapautotrader-equity-curve-for-crude-oil-futures/
We published many live trade results on this page:
http://www.medianetrix.com/trading-products/mngapautotrader/mngapautotrader-live-trading-results/
We have also begun compiling live results again this week, which has been good for opening gap fills:
16 June ES: $338, YM: $323 NQ: $208
17 June ES: $188, YM: $148 NQ: $178
18 June ES: No trade, YM: No trade NQ: No trade
These were all with three lots.
I hope this helps
Chris