Odds Czar: Simple Biases in the Futures Markets 2005

Here are my futures biases for December 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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Here are my futures biases for December 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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Here are my futures biases for December 21.

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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Here are my futures biases for December 22.

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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Here are my futures biases for December 23.

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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Here are my futures biases for December 27.

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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Here are my futures biases for December 28.

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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hi Art - i have done a draft backtest of your bias rules with ES - my data is limited, from mid 2002 to mid 2005

with the base case of using +-1 as the threshold, i get a 56% win rate and a 1.4 profit factor

raising the threshold to +-3 and greater, increases the win to 59% and profit factor to 1.5

going to +-4 and greater, i get 65% and 2.0

do these numbers seem reasonable to you? (i still need to double check and clean up my code).

i am not too focused on profit factors at the moment, since you are presenting these rules as a directional bias - these win percentage rates look encouraging, i.e. seem to indicate that your bias rules have a positive expectation.

also, rule 1. The 2-day average is less than the 5-day average. - is this average of (H+L)/2 ? or something else?

thanks for sharing your work and all the best.
 
Here are my futures biases for December 30.

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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