K
krugman25
We've moved well beyond that. You could at least act like you have read beyond the first few pages.
I originally thought this thread was just clearly an academic discussion. I already provided the arguments why the original statement is wrong. That being said, if we change it to a practical discussion, aka can we build a profitable strategy based on this idea, now that is a different question.
After about 20 seconds of thinking, I came to the conclusion that since everyone knows the markets have a long bias, if we think of long term (aka investment) it is highly IRRELEVANT when the market raise occurs, during sunlight or in the darkness. So it boils down to this:
Why don't we just buy and blindly hold, instead of trying to outsmart the market????? Dollar cost averaging is the king!!!
After about 20 seconds of thinking, I came to the conclusion that since everyone knows the markets have a long bias, if we think of long term (aka investment) it is highly IRRELEVANT when the market raise occurs, during sunlight or in the darkness. So it boils down to this:
Why don't we just buy and blindly hold, instead of trying to outsmart the market????? Dollar cost averaging is the king!!!
Well thank you for the backhanded compliment.
Maybe... we could look at the data that was presented in the thread. The overnight long winning percent was 55%. This means that any good intraday long set up traded after hours has a built in edge. If you ignore short set ups between 1800 and 09:30 NY time and focus on good long set ups you would have edge and be avoiding the overtrading that kills most traders.
Last edited:
K
krugman25
I've spent countless hours this past week building up clean data sets and running preliminary tests, for that sole purpose. All you have done is spend a few minutes flapping your gums, but please keep telling us how we should be working on building a profitable strategy.
K
krugman25
And when my test 3 filters are applied the win rate jumps to 63% with a 1.69 profit factor. Not to shabby and we haven't even really gotten started yet.
K
krugman25
I took this test to a single name stock with good liquidity and good long term beta. That stock would be CAT.
A first pass look at the results are pretty amazing. Both tests buy 2,000 shares ($120,000 worth) in 1993. A buy and hold yielded $268,000 net profit. The second test which only bought on Friday, Monday or Tuesday, and only when the stock was either up 1.5% or down -1% over the past week, yielded $1,035,000. A massive quadrupling of the returns.
I think this definitely warrants looking into more high volume/high beta stocks. Hopefully this takes us down a path where we can develop a market neutral strategy.
This also warrants continuing to study the data to try and identify more trading conditions to isolate the profitable periods.
I also added a daytime only test just for giggles. It was total trash, down $240,000.
Buy and Hold
Daytime Only (No Filters)
Friday, Monday, and Tuesday/>1.5% OR <-1% for last 5 trading days
A first pass look at the results are pretty amazing. Both tests buy 2,000 shares ($120,000 worth) in 1993. A buy and hold yielded $268,000 net profit. The second test which only bought on Friday, Monday or Tuesday, and only when the stock was either up 1.5% or down -1% over the past week, yielded $1,035,000. A massive quadrupling of the returns.
I think this definitely warrants looking into more high volume/high beta stocks. Hopefully this takes us down a path where we can develop a market neutral strategy.
This also warrants continuing to study the data to try and identify more trading conditions to isolate the profitable periods.
I also added a daytime only test just for giggles. It was total trash, down $240,000.
Buy and Hold
Daytime Only (No Filters)
Friday, Monday, and Tuesday/>1.5% OR <-1% for last 5 trading days
Look into Larry Williams. These are exactly the types of set ups he trades. He does have stops, but they are catastrophe stops only. There are many videos on youtube about Larry. This is the type of data he based a career on.
Bull Crap. If you actually believe that revealing your edges won't kill them, then go ahead and post them on this forum. If you have any. I won't be holding my breath.