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no. i did not test it that way. you are clearly right. that is nonsense. 1 take highest high and the lowest low of the last x days. look at the average of this value over the last fifteen years. 2 calc the average dailyGain (close/open -1) 3 calc the average dailyGain and vary the...

recent high range indicates high range today. furthermore if recent (five to ten trading days) trading range was big this indicates not only big range today but shifts expectations for today upwards. the effect is almost tradeable in itself. peace

nice thought . . .

best range predictor i found is yesterday's range. amusingly simple.

from my persepcive there are two points to add: 1. within the sp future significant gaps down increase the likelihood of seeing a positive day. gaps up do not show significant changes in foreacsting the day. 2. whether a gap closes or not is not so much relevant as whether that day ends...

some analysis on 30 minute data on the sp future since 1995: average firstBar: -0.0049% average dailyGain (Close/Open-1): 0.0318% average GainAfterFirstBar: 0.0377% number of days analysed: 2275 before i did this i always thought that the market will on average make more in the...

"if you love me - buy me." the rest of the world calls it prostitution, american logic says it is patriotism. peace

that is a real sad thing about this business. whenever i thought something is good, smart and beautiful it turned out to be completely useless. acrary had that once: don't expect any reward out of this business but ... money. you probably won't get modelling satisfaction. at least i did not.

- Nothing astonishing backtests have much chance to be bullshit for statistical reason ... - harry trusting so much on technology that uses past data and at the same time diminishing backtesting is a unique point of view. there is only one reason why you do not do backtesting: you save...

the content of what you are saying does not and cannot justify the way you communicate. and i am sure you are already pretty much aware of this. you are not the judge of anyone. people are allowed to do what they think is best. heilbronner btw does not seem to be an ignorant loser to me. but...

bbmat back to school mister arrogant. seems like you missed some classes in conduct or you suffer from a lack of social intelligence. or both. disgusting. peace

harry i hope you trade well and succeed with your undertakings. good luck with the automisation process. peace

this is all just talking. build a sheet and test it out on your curve. period.

pabst if you are right, then this is really a difficult situation for people like myself. testing strategies on single stocks is not an easy task over a long period of time, since you have to take many baises into account. index membership bias, survivorship bias - all these things and...

harry my personal conclusion: 1. you don't do any backtesting, otherwise you could come with a sharpe ratio. furthermore you diminish the validity of doing so, which is from my perspective not a real scientific point of view. 2. you do not trade, otherwise you could come up with a sharpe...

yes. and i am very glad that we are still alive! 'seen many give up. thanks for reminding me of rule number one: "stay at the table." peace to you

main strategy is still pairs trading and that suffers from low dispersion and vola.

is the decrease in volatility.

harry i have to decide whether i will look at any of your posts ever again (sorry for sounding harsh). i like out of the box thinking, but it must make sense in the end. feynman himself, if i got him correctly, was very willing to think out of the box, but very unwilling to do so if there was...

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