Quick code to fade Natural Gas Sunday Open

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
Post Reply
rdh2f
Roundtable Fellow
Roundtable Fellow
Posts: 73
Joined: Mon Aug 16, 2004 5:24 pm

Quick code to fade Natural Gas Sunday Open

Post by rdh2f » Mon Dec 15, 2014 1:35 pm

Anecdotally, the natural gas (and likely other markets) Sunday opens are just stupid. 2 or 3% gaps that seem to reverse over the next day...it seems to happen 100% of the time, which I know is clearly not the case.

I'd like test a system that says:
if asset xyz opens 2% (variable) over it's last settle (I want to compare Sunday's globex open vs it's Friday close, not sure if this adds a layer of complexity in the code) then buy x contracts (variable) if it's a gap lower/sell if it's a gap higher and set stop out at x% and profit stop at y%.

I can't code in blox, if anyone wants to code/I'll test/optimize and share all the results or if someone wants to quote me for the work, I'd like to hear from you

Happy Trading

Post Reply