Odds Czar: Simple Biases in the Futures Markets 2005

Today, I’m examining performance summaries of the simple average idea. Specifically, if your close was higher than the 40 day average close, buy and if lower, sell short. Link one is a performance summary in the full sized S&P. The table shows results in our remaining targeted eight financials. The testing period incorporated five years, back from 10-17-05.

Net Profit # Trades % Profit Avg Trade
Nasdaq (full) $60,900 1202 50.75 $50.67
Russell (full) ($51,225) 1202 50.08 ($42.62)
30 year Bond $22,843 1197 52.3 $19.08
10 year note $24,953 1198 52.67 $20.83
5 year note $11,953 1200 51.75 $9.96
Japanese Yen ($6,125) 1197 49.37 ($5.12)
Euro Currency $10,237 1197 49.29 $8.55
Swiss Franc $4,862 1200 49.58 $4.05
 

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Here are my futures biases for tomorrow, October 19.

A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long (L) bias. A negative sum will be a short (S) bias. A sum of zero will be a neutral (0) bias.
 

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Art
Excellent thread your bias's help sort out market direction.
Could you explain the -1 bias for rule #6 and #7. I can't get the right figures for nasd and russ for oct 19.
thanks bnun
+1 bias
6. CUP trade. For the last three trading days, the middle day had both the lowest low and the lowest close. In addition, the low on the middle day must also be lower than the lows from the previous three trading days before the middle day. (CAP would be reverse and bearish.)

7. The highest low minus the lowest low of the last 3 days is less than or equal to 20% of the highest high minus the lowest low of the last 3 days.
 
brun12 wrote
Art
Excellent thread your bias's help sort out market direction.
Could you explain the -1 bias for rule #6 and #7. I can't get the right figures for nasd and russ for oct 19.
thanks bnun
More...
thanks back at you brun.
6. the three indexes signaled cap sells for today meaning the Oct 17 high and close were both higher than the two days surrounding it. Also the oct 17 high was higher then the previous three days' highs. (think of that as a qualifier that tends to keep the formation from occurring in mid ranges--you need a bit of a running start into it).
as for #7, the indexes just missed conforming to this. the mini 3 day highest high (oct 14-17-18) was 119575. the lowest high was 119150. the difference, 425 is greater than the 20 percent or less requirement relative to the total three day range of 1700. (it's exactly 25%)
 
Art
I must be using the wrong quotes for the E-Mini Nas 100. The ones I have, show the High higher on 10/18 than 10/17.
Rule #6 show -1 on your table for oct 19
nasd
NQZ5 - E-MINI NASDAQ 100 December 2005 (IOM)

10/14/5 1536.5 1553.5 1536.5 1550
10/17/5 1550.5 1559 1542.5 1556
10/18/5 1556 1561.5 1544 1547

bnun
 
Rule # 7 reverse?

+1 bias
7. The highest low minus the lowest low of the last 3 days is less than or equal to 20% of the highest high minus the lowest low of the last 3 days.

wouldn't the reverse be

-1 bias
7. The highest high minus the lowest high of the last 3 days is greater than or equal to 80% of the highest high minus the lowest low of the last 3 days.

Bnun
 
bnun12 said
7. The highest low minus the lowest low of the last 3 days is less than or equal to 20% of the highest high minus the lowest low of the last 3 days.

wouldn't the reverse be

-1 bias
7. The highest high minus the lowest high of the last 3 days is greater than or equal to 80% of the highest high minus the lowest low of the last 3 days.
More...

no. we're not doing either/or indicators here. (which wouldn't fit as symetrical opposities in any case).
we're trying to act off a bunched up series of lows--(20 percent or less of the entire range) or bunched up highs ( same).
 
art ... do the indicators change intraday ?

having a short bias all day today would have been painful in the afternoon if one were trading the stock index futures
 
Today, we’ll look at results of the order of highest-lowest close of the last 50 day indicator. If the lowest close of the last 50 days is more recent than the highest, that’s a buy bias and vice versa. Link 1 shows the S&P. Table 1 shows our other financials. Again, this is five years back from 10-18-05.

Net Profit # Trades % Profit Avg Trade
Nasdaq (full) ($40,900) 1203 48.71 ($34.00)
Russell (full) $137,425 1203 49.88 $114.24
30 year Bond $23,343 1198 48.91 $19.49
10 year note $10,640 1199 48.46 $8.97
5 year note $7,968 1201 49.04 $6.64
Japanese Yen $23,400 1199 50.38 $19.52
Euro Currency ($3,863) 1198 49.33 ($3.22)
Swiss Franc ($288) 1201 48.63 ($0.24)
 

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Here are my futures biases for tomorrow, October 20

A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long (L) bias. A negative sum will be a short (S) bias. A sum of zero will be a neutral (0) bias.
 

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