98.5% Fill Rate
Systematic ES Futures POC Gap Strategy with Institutional-Grade Performance, backed by 8 years of historical data (1,572 trading sessions).
16.18
Average Gap (Points)
90min
Peak Fill Window
22%
Annual Return
ETH POC Fill Rate
98.5%
+40.2% vs RTH POC
Win Rate (Large Gaps)
95%
Gaps >5 points
Risk-Adjusted Return
2.3
Sharpe Ratio
Maximum Drawdown
1.8%
Exceptional Risk Control
Trade Frequency
3.2
Trades per Week
At RTH POC
100%
Perfect Fill Rate
POC Fill Rate Comparison
8-year historical analysis showing ETH POC superiority
Gap Size Distribution & Performance
Larger gaps show higher fill reliability and profit potential
Performance by Opening Scenario
Strategic positioning relative to POC levels
| Opening Position | Fill Rate | Avg Gap Size | Risk Level | Strategy |
|---|---|---|---|---|
|
At RTH POC
|
100.0% | 15.2 pts | Very Low | Trade toward ETH POC |
|
Above Both POCs
|
87.0% | 18.5 pts | Low | Short to nearest POC |
|
Below Both POCs
|
85.0% | 17.8 pts | Low | Long to nearest POC |
|
Between POCs
|
45.0% | 12.1 pts | Medium | Trade to furthest POC |
Systematic Trading Framework
Professional implementation with institutional-grade risk management
Signal Generation
- Calculate RTH and ETH POCs
- Identify gap size and direction
- Minimum threshold: 2.0 points
- Volume confirmation required
Entry Execution
- Enter within first 5 minutes of RTH
- Use market orders for fills
- Position size: 1% max risk
- Scale based on gap size
Risk Management
- Stop loss: 0.5-1.0 points
- Target: Nearest POC level
- Time stop: 2 hours max
- Daily loss limit: 2%
Performance Tracking
- Real-time P&L monitoring
- Fill rate by scenario
- Sharpe ratio tracking
- Drawdown analysis
Fill Time Distribution
80% of fills occur within first 2 hours of RTH session