Feb
07
Emini S&P Afterhours Behaviour Part 2 – A Simple System Exploiting the Basic Up Drift Bias
By Lawrence Chan
on 2012 Feb 7 Tue 19:32:07 
A simple trading system that exploit the up drift bias that happens in afterhours.
The System
The rules are extremely simple,
- Go long by 4:30 pm (for some people this is important due to holding position from regular trading session requires full margin)
- Exit long by 9:30 am, or
- Take profit when 5 points profit is reached
The following chart shows the number of points gain (the green line) of the system comparing to the performance of just going long the AH session (the blue line) i.e. without 3rd rule
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Comments
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Interesting. Since for many, this will be an unattended trade, how does one manage the downside risk … wide stops or some other?
Thanks for this excellent series.
As I get to write the other parts on this series, more statistics will be presented so that one can have a better handle of these things related to AH price actions.
Thank you, sir.