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A publication of
A simple, but effective strategy.
intalus.com
Powered by
PROFIT FROM GAP TRADING.
SKYS
CRA
PER.
Bur
j Kha
lifa,
Dub
ai.
The
wor
lds
talle
st b
uild
ing
on t
he s
cale
of
828
met
res
high
.
TR�DINGTIPS. Issue
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 FROMGAP TRADING.
by Philipp Kahler
TR�DING TIPS. Issue 06PROFIT FROM GAP TRADING.
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TR�DING TIPS. Issue 06PROFIT FROM GAP TRADING.
PROFIT FROM GAP TRADINGA simple, but effective Strategy
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
end;
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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
end;
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TR�DING TIPS. Issue 06PROFIT FROM GAP TRADING.
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
exitposition this bar on close;
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© 2013 Intalus – www.intalus.com
Distribution allowed under a Creative Commons Attribution-Noncommercial license:
http://creativecommons.org/licenses/by-nc/3.0/
Tradesignal® is a registered trademark of Tradesignal GmbH.
Unauthorized use or misuse is specifically prohibited.
TR�DING TIPS. Issue 06PROFIT FROM GAP TRADING.
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 FORTHE BEST.
How to find the best performers out of hundreds of stocks in seconds.
intalus.com
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TR�DINGTIPS. Issue
01
A publication of
How to create your own equity basket.
intalus.com
Powered by
SPEED UP YOURDECISIONS.
TR�DINGTIPS. 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�DINGTIPS. Issue
03
A publication of
How to identify and profit well from a short trade.
intalus.com
Powered by
HIGHLYEFFICIENTSHORTING.
TR�DINGTIPS. Issue
04
A publication of
How to use point & figure trend lines in candlestick charts.
intalus.com
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RULE-BASEDTRENDLINES IMPROVEDISCIPLINE.
TR�DINGTIPS. Issue
05
www.intalus.com/tradingtips
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TR�DING TIPS. Issue 06PROFIT FROM GAP TRADING.
Trad
esig
nal®
is a
reg
iste
red
trad
emar
k of
Tra
desi
gnal
Gm
bH. U
naut
horiz
ed u
se o
r m
isus
e is
spe
cific
ally
pro
hibi
ted.
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.
NOT ALREADY A TRADESIGNAL® USER?
CLICK HERE b
AND ORDER YOUR FREE TRIAL TODAY.
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