Comments on: Improving The Simple Gap Strategy Part 2 https://easylanguagemastery.com/strategies/improving-the-simple-gap-strategy-part-2/?utm_source=rss&utm_medium=rss&utm_campaign=improving-the-simple-gap-strategy-part-2 Helping you Master EasyLanguage Fri, 29 Jul 2022 17:06:40 +0000 hourly 1 https://wordpress.org/?v=7.0 By: Jeff Swanson https://easylanguagemastery.com/strategies/improving-the-simple-gap-strategy-part-2/#comments/6218 Tue, 16 Dec 2014 13:00:12 +0000 http://systemtradersuccess.com/?p=6822#comment-6218 In reply to Alex.

Yes, this was discussed in the article. There are different risks based upon what actions we next take.

]]> By: Alex https://easylanguagemastery.com/strategies/improving-the-simple-gap-strategy-part-2/#comments/6217 Fri, 12 Dec 2014 08:23:51 +0000 http://systemtradersuccess.com/?p=6822#comment-6217 In reply to Jeff Swanson.

That two, you are correct. But data-snooping of the kind you did makes things a lot worse and you do not want that. Obviously, you have to admit that your second oos test is not an oos test.

]]> By: Ryan https://easylanguagemastery.com/strategies/improving-the-simple-gap-strategy-part-2/#comments/6216 Thu, 11 Dec 2014 22:52:10 +0000 http://systemtradersuccess.com/?p=6822#comment-6216 Having experience with or ‘feel’ for a market certainly cuts down on the process time. I also have a simple battery of high level tests that I run which assists in determining if my trade idea as any merit.
Don’t give up on gap size filter. Take a look at short and long term market environment and various seasonality filters.

https://daxgaptrading.wordpress.com/

]]> By: Jeff Swanson https://easylanguagemastery.com/strategies/improving-the-simple-gap-strategy-part-2/#comments/6215 Wed, 10 Dec 2014 20:18:30 +0000 http://systemtradersuccess.com/?p=6822#comment-6215 In reply to Alex.

I would say undercapitalization and/or poor risk management is numero uno when it comes to traders failing.

]]> By: Alex https://easylanguagemastery.com/strategies/improving-the-simple-gap-strategy-part-2/#comments/6214 Wed, 10 Dec 2014 19:25:50 +0000 http://systemtradersuccess.com/?p=6822#comment-6214 After the first oos test that data sample became part of the in-sample and it makes absolutely no sense to refer to it as an oss in subsequent tests. This is too basic to dismiss and one major cause of trader failures.

]]> By: Marco https://easylanguagemastery.com/strategies/improving-the-simple-gap-strategy-part-2/#comments/6213 Tue, 09 Dec 2014 13:05:04 +0000 http://systemtradersuccess.com/?p=6822#comment-6213 Maybe cutting the profit target without waiting for the gap to fill should improve the odds.
http://nightlypatterns.wordpress.com

]]> By: Jeff Swanson https://easylanguagemastery.com/strategies/improving-the-simple-gap-strategy-part-2/#comments/6212 Mon, 08 Dec 2014 21:49:46 +0000 http://systemtradersuccess.com/?p=6822#comment-6212 In reply to Ryan.

Hey Ryan. The issue you bring up is a concern. However, it may be worth the risk. Since we only tested two filters, testing different filters is hardly a concern. There are many more logical and simple filters which could be tested. Only after my usual battery of filter testing would I begin to see this concept as unproductive and move on. Yes, this is subjective but if you find yourself spending more time than usual trying to make an idea work, that’s when it may be time to move on. Putting a time limit on your development process may help. Maybe you find that most good ideas pan out in about 2-3 weeks of work. Thus, if you can’t get an idea to work within 4 weeks it may be time to move on. However, we are not there yet.

]]> By: Ryan https://easylanguagemastery.com/strategies/improving-the-simple-gap-strategy-part-2/#comments/6211 Mon, 08 Dec 2014 21:23:18 +0000 http://systemtradersuccess.com/?p=6822#comment-6211 By continually going back to the in sample data and searching for a filter that works with the OOS data, you’re performing an optimisation that might create a false signal. The monkey at the key board problem. When does your trading ‘gut’ tell you that you’re trying to fit and square peg through a round hole and it’s time to move on to another opportunity?

]]> By: Jeff Swanson https://easylanguagemastery.com/strategies/improving-the-simple-gap-strategy-part-2/#comments/6210 Mon, 08 Dec 2014 15:16:45 +0000 http://systemtradersuccess.com/?p=6822#comment-6210 In reply to CJ.

The gaps strategy trades from 8:30 to 15:15 Central time. Thus, the gap is based upon yesterdays close vs today’s open.

]]> By: CJ https://easylanguagemastery.com/strategies/improving-the-simple-gap-strategy-part-2/#comments/6209 Mon, 08 Dec 2014 14:07:34 +0000 http://systemtradersuccess.com/?p=6822#comment-6209 What trading hours do you use for this? The ES trades pretty much continuously… I’m new to futures.

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