• From: Egypt- Saudi Arabia
  • Registered: 2009-12-12
  • Posts: 968

Topic: Do Not Trade Gaps

Hello popov
Most of winning trades i found with a steady curve are triggered by gaps!. do you have any optional filter to prevent trading gaps.

Thanks in advance

  • From: Germany
  • Registered: 2010-04-05
  • Posts: 839

Re: Do Not Trade Gaps

- Use quality data without gaps
- Enable close on Friday to avoid weekend gaps

geektrader's Website

  • From: Egypt- Saudi Arabia
  • Registered: 2009-12-12
  • Posts: 968

Re: Do Not Trade Gaps

I think i were not clear i my request

I mean if a strategy produce 100 % of its trades when gaps exists,  i.e " the Triger is the gap not the indicator it self"

when this happens we have an option to filter such trades ( its something like ambiguous bars filter ).

Donchian channel & Bollinger bands are an example for such behavior so instead of uncheck the indicator  lets filter uncommon trades and let the indicator itself produce other strategies .

Regards

  • From: Germany
  • Registered: 2010-04-05
  • Posts: 839

Re: Do Not Trade Gaps

I know exactly what you mean. You are getting a lot of strategies that trigger during rollover (most often 00:00 server time), they look great in the backtests and they won´t work at all in reality because the spread is extremely high during these few minutes at the start of rollover. The solution is easy: You´ll simply have to filter out these "gaps" (not really a gap but spread spike) from your trading times. Set your trading session to 01:00 -> 23:00 to skip the Asian session completely and close trades on Friday to skip weekend gaps. Voila, the issue is fixed (that´s how I am doing it for years to avoid getting such strategies).

geektrader's Website

  • From: Egypt- Saudi Arabia
  • Registered: 2009-12-12
  • Posts: 968

Re: Do Not Trade Gaps

geektrader wrote:

I know exactly what you mean. You are getting a lot of strategies that trigger during rollover (most often 00:00 server time), they look great in the backtests and they won´t work at all in reality because the spread is extremely high during these few minutes at the start of rollover. The solution is easy: You´ll simply have to filter out these "gaps" (not really a gap but spread spike) from your trading times. Set your trading session to 01:00 -> 23:00 to skip the Asian session completely and close trades on Friday to skip weekend gaps. Voila, the issue is fixed (that´s how I am doing it for years to avoid getting such strategies).

Nice idea never come to my mind before !. I will give it a try

many thanks GeekTrader