The ACD Method

[baggerlord]

Quote from kinggyppo:

I have not seen a gap like that 5%, I will take a few lotto tickets on a partial gap fill.

I did some gap statistics recently. A big gap on a Monday is the worst gap to fade. A small gap on a Friday is the best.

 

[gmst]

Quote from baggerlord:

I did some gap statistics recently. A big gap on a Monday is the worst gap to fade. A small gap on a Friday is the best.

which instruments did you test ?

Btw, gap stats, especially when overlapping week of day effect will have very small sample size, especially if you did it only for one instrument. Its very easy to see pattern in randomness. Be very very careful.

I am saying above based on my below experience.

I did a comprehensive study on daily returns on equity indices (SP) for last 20 yrs, and found no evidence of so called Monday effect. I concluded that weekday anamoly doesn't exist. Interestingly, my first impression after crunching the numbers was that weekday anamoly does exist, but on much closer looking into data, I changed my conclusion.

 

[Maverick74]

<iframe width="560" height="315" src="http://www.youtube.com/embed/wWxHjG8rTNM" frameborder="0" allowfullscreen></iframe>

For those of you that use TOS, here is a list of their coming attractions! Feels like a suspense movie. LOL.

 

[kinggyppo]

Quote from Maverick74:

The only thing I'll warn you against is not over complicating things. Don't be one of those guys with 50 lines on your charts. LOL. At the end of the day, the price action should be the same no matter what time frame you are looking at.

just for you Mav.

 

[mdl060374]

Quote from gmst:

which instruments did you test ?

Btw, gap stats, especially when overlapping week of day effect will have very small sample size, especially if you did it only for one instrument. Its very easy to see pattern in randomness. Be very very careful.

I am saying above based on my below experience.

I did a comprehensive study on daily returns on equity indices (SP) for last 20 yrs, and found no evidence of so called Monday effect. I concluded that weekday anamoly doesn't exist. Interestingly, my first impression after crunching the numbers was that weekday anamoly does exist, but on much closer looking into data, I changed my conclusion.

Just as a general question, I dont want to have this get away from ACd, what is a decent sample sample size of looking at statistical intraday behavior.

I am thinking 100 tradings days? (5 months of trading) That was it isnt too old to reflect old market environments, but not small enough where you arent getting a decent sample...

 

[mdl060374]

Quote from Maverick74:

Well Santa has just the thing for you. I'll have him drop a few number lines in your stocking this year.

Ho Ho! I have had enough Coal in the last few years, about time I get something good.

 

[kinggyppo]

Quote from baggerlord:

I did some gap statistics recently. A big gap on a Monday is the worst gap to fade. A small gap on a Friday is the best.

thanks will take this trade everytime as it fits my risk profile, fading huge gaps is not for everyone, but the big moves creates opportunity; maybe some poor market maker needs my money to buy a turkey for Tiny Tim.

 

[Maverick74]

Quote from kinggyppo:

just for you Mav.

That's a work of art. That would look great hanging on a wall!

Trading seems so easy looking at that.

 

[Shanb]

The King strikes again...Still long GLD? ES lows holding in for now!

Now we know the secrets of the king....... Gann Fans ?!

 

[Maverick74]

Quote from Shanb:

The King strikes again...Still long GLD? ES lows holding in for now!

Now we know the secrets of the king....... Gann Fans ?!

When you draw that many lines, it's hard to ever be wrong. The holy grail!!!!