Interesting Winning Opening Gap Trades With Index Futures Today

admin | June 21st, 2010 - 5:43 pm

It was an interesting day to trade the opening gaps on the index futures with our mnGapAutotrader automated trading system.

You can see the live trades in the images at the end of this post, but the trades were dominated by the size of the opening gaps, which were very large, and had very little chance of filling – or that is what we thought…..!

The autotrader coped very well, though, and although it was stopped out on two out of three lots, we only made a very small loss with NQ and in fact the ES and YM were winning trades even with the stop outs. The ES trade proved to be very profitable.

Interesting point

The triggered stops on NQ and YM proved very annoying as both indexes went on to fall further towards complete gap fill. However this is what system trading, and in particular automated system trading is all about – rigourously managing risk and managing trades using a statistically proven system.

mnGapAutotrader creates good risk reward ratios by having long profit targets, but short stop losses. This wins over time, even with consecutive stopped out days, however on an emotional level this is sometimes hard for a trader to cope with. Although the automated system did get stopped out, it would seem unnecesarily in retrospect, those trades could have continued moving strongly against the system at considerable loss to the trading account.

These are the actual trade P&L’s after commission and slippage with three lots traded per market:

ES: $823
YM: $23
NQ: -$22