Search results

2 hours? By the time the first two hours are over, 2/3 of the days trading range has been made. Most of my daytrading stuff is in in the first 30 min. Look to the previous days action to indicate where to get in early. For instance, yesterdays SP high was about 850. Today, the market...

Here's the year by year results from Jan. 1 1990 - Dec. 31, 1996

For some reason, the link is getting changed when I cut and paste it. Here's a copy of the post: Edge Test I wrote a couple of programs. The first has a test trading system and writes a trade file with the entry date, length of hold in days and profit or loss in pts. with slippage...

Here's the code with the filters: vars:rg(0),rg1(0); condition1 = close > open and close[1] > open[1] and close[2] > open[2] and close < high; condition2 = close < open and close[1] < open[1] and close[2] < open[2] and close > low; condition3 = close > xaverage(close,200); condition4 =...

An the original results using SP data from 1/1/97 - 6/30/01:

Here's the original code:

I did post the methodology here: http://www.elitetrader.com/vb/showt...test#post134947

Yes, I'd love to have more trades. However, the difference between 200 and 1400 is statistically insignificant. As is, the sample size of 202 with a mean of +404 and a std. deviation of 1313 has a confidence level of 95% that the average trade is 404 +/- 183. To prove 404 is the expected...

I should have noted the testing was done on the SP market and not ES. The $1700 ave. loss on the short trades was about 7 points or about $340 on the ES. I used 20 points because it was near the average daily trading range and all I was doing was trying to avoid the outlier losers. With the...

And here's the results of the short trades only....just something to think about:

Aside from using two time periods 10-12 or 130 - 300, take a look at the range of the second bar. I found that if the open-close range of the second bar was greater than 65% of the high-low range, then it was more likely to be a winner. Also, I noticed the system can take on great risk. Since...

I took a quick look at what you're doing. It's looks like you're trying to capture a momentum trade. Try something simple like only initiate trades after 10am and before noon. If you need more trades, take a look at adding another window between 130 and 3pm. All times are Eastern. Also, make...

http://home.netcom.com/~ntaleb/newyorker.pdf

Take a look here. I've bought many research articles from them. http://www.frcnet.com/FRC/frc_home.htm

Yes, it's been a dud lately and it is totally dependent on the character of the market having a tendency to trend (as I warned in the second paragraph of the first post). It can go for months (or longer) while waiting for the market to establish a strong trend. I had originally intended to...

Peace "You are driven by a higher purpose than most people. You have a deeply-rooted desire to facilitate peacefulness in the world.You are driven by a desire to encourage others to think about the positive side of things instead of focusing on the negative.Usually, the thing that underlies...

Last year I was up 4% in Jan and 12% in Feb. This year I was up 11% in Jan. and so far down 1.8% in Feb. Not a big deal, but I do wish the mid session volatility would pick up.

To normalize volatility usually you'd take the log normal value of the change (high - low) and compute the standard deviation of the daily changes over a year. Then you can compare one year with the next. I did that plus added a indexing piece that allows for comparing one market's volatility...

The daily range has been dying. Here's the ND daytrading range (high - low) for the past few years: 2000 - 163 pts. 2001 - 78 2002 - 40 so far in 2003 - 29 Daytraders of Nasdaq stocks will have to shift to futures if this keeps up.

Trend day DOWN! Nice to be on the right side today. http://www.twistedtunes.com/asx/tt_334_2.asx