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Quick code to fade Natural Gas Sunday Open

Posted: Mon Dec 15, 2014 1:35 pm
by rdh2f
Anecdotally, the natural gas (and likely other markets) Sunday opens are just stupid. 2 or 3% gaps that seem to reverse over the next 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