Let's try that again....
1. Trade daily 3pm expiry on AUD/USD, EUR/USD, GBP/USD, USD/CHF.
2. At 4:01pm EST, do some quick analysis to determine which of the four currencies to trade and which direction.
2a. Determine the level of each currency at 7am, 12pm, 3pm based on the published settlement data at Nadex (https://www.nadex.com/market-data).
2b. Select a direction based on the following rules:
2b.i If the 12pm level is greater than the 7am level and the 12pm level is greater than the 3pm level, we want to BUY the daily 3pm strike directly below the 3pm level.
2b.ii If the 12pm level is less than the 7am level and the 12pm level is greater than the 3pm level, we want to SELL the daily 3pm strike directly above the 3pm level.
2b.iii If the 12pm level is greater than the 7am level and the 12pm level is less than the 3pm level, we want to SELL the daily 3pm strike directly below the 3pm level.
2b.iv If the 12pm level is less than the 7am level and the 12pm level is greater than the 3pm level, we want to BUY the daily 3pm strike directly below the 3pm level.
3. Look at the prices of the selected strikes.
3a. On a long trade, if the price of the strike is less than or equal to $55, enter immediately.
3b. On a short trade, if the price of the strike is greater than or equal $45, enter immediately.
4. Re-examine trades not matching the criteria specified in 3a and 3b.
4a. If the trades rejected include only AUD/USD and USD/CHF, then don't take the trades. Otherwise, if the trades are in "agreement", take the trades at the current price.
4a.i "Agreement" means the remaining currencies are coherent. For example, if the trades rejected due to price are EUR/USD and USD/CHF and the direction on the EUR/USD is long and the direction on the USD/CHF is short, those trades are in agreement. (If EUR/USD really does go up, we expect USD/CHF to go down). Or as another example, if the rejected trades include EUR/USD and GBP/USD and AUD/USD and they are all long trades, then we take the trades.
So, the analysis on these trades is looking at what happened during the current trading day from 7am to 3pm. The trades themselves won't expire until 3pm the next trading day. In other words, the trades will expire 23 hours later.
Some recent examples. The columns are trade expiry date, instrument, 7am level, 12pm level, 3pm level, direction, strike, expiry level, contract price at 4:01pm
2019-09-27 eurusd 1.09303 1.09381 1.0929 long >1.092< 1.094 50.75
2019-09-27 gbpusd 1.23426 1.23424 1.23286 long >1.232< 3pm 1.22902 53.00
2019-09-27 usdchf 0.9944 0.99285 0.99306 short >0.994< 3pm 0.99041 46.50
2019-10-15 audusd 0.67535 0.67687 0.67741 short >0.678< 3pm 0.67741 0.67536 0.67437 0.6787 1 no_skip 37.00
2019-10-15 eurusd 1.1031 1.1027 1.10307 short >1.104< 3pm 1.10307 1.10353 1.09934 1.10438 1 no_skip 26.25
2019-10-15 gbpusd 1.2556 1.25952 1.2577 long >1.256< 3pm 1.2577 1.2783 buy 49.25
2019-10-15 usdchf 0.99541 0.99716 0.99697 long >0.996< 3pm 0.99697 0.99874 0.9971 0.9989 0 no_skip buy 75.00
In the first example, we see that each trade was entered right away because the two long trades were less than or equal to $55 and the short trade was priced greater than or equal to $45.
In the second example, only one trade was entered right away. The GBP/USD long trade was priced less than or equal to $55. The other three trades required some further analysis due to the contract prices. Since the three trades are in "agreement", meaning that AUD/USD, EUR/USD were short trades while USD/CHF was a long trade. Since that represents a coherent position, we take the trades.
Some days there aren't any trades. Consider this example:
2019-10-08 usdchf 0.99448 0.99478 0.99477 long >0.994< 3pm 0.99477 0.99372 62.50
2019-10-08 eurusd 1.09782 1.09838 1.09736 long >1.096< 3pm 1.09736 1.09557 70.50
2019-10-08 audusd 0.67368 0.6741 0.67318 long >0.672< 3pm 0.67318 0.67273 72.75
2019-10-08 gbpusd 1.23311 1.23213 1.22992 long >1.228< 3pm 1.22992 1.22171 64.00
Each trade is first rejected on price. The longs are priced greater than $55. We then go to secondary analysis. The trades are not in agreement. EUR/USD, GBP/USD, and AUD/USD are predicting long trades, but USD/CHF is also predicting a long trade. Overall, the trades are not coherent.
Why 4:01pm EST? The daily 3pm expires (obviously) at 3pm. The 3pm daily expiry for the next day becomes available for trading at 4pm. Waiting a minute ensures that strikes are fully setup and the pricing is in place.
So, that's the whole idea. I'm going to trade it going forward and see what happens. I've put $500 in the account which is probably the bare minimum given the total maximum risk. $1000 might make more sense. We'll see.
We really have two periods we are looking at: the movement from 7am to 12pm and the movement from 12pm to 3pm. There's
just four possible ways the currency can move in those periods. We use that movement to select trades expiring the next day.
1. 7am to 12pm higher and 12pm to 3pm higher => SELL the next daily strike above the 3pm level.
2. 7am to 12pm lower and 12pm to 3pm lower => BUY the next daily strike below the 3pm level.
3. 7am to 12pm higher and 12pm to 3pm lower => BUY the next daily strike below the 3pm level.
4. 7am to 12pm lower and 12pm to 3pm higher -> SELL the next daily strike above the 3pm level.