|
PureBytes Links
Trading Reference Links
|
Thanks Bruce for your Post to the List
Has anybody used the following Metastock gap formulas from the Jon DeBry
site?
http://www.debry.com/MetaStock/gap_study.htm
Best regards
Walter
=======================
Gap Study - Microsoft
By Jon DeBry,
Last Update: 1:00 PM MT Feb 23, 1999
What are the odds that if Microsoft gaps up in the morning, it will close
even higher? How likely is it that it will return to the previous day's
price?
The following study examines gap openings in Microsoft from February 27,
1993 to February 22, 1999. The MetaStock formulas for conducting the tests
are included below.
Gaps
Results showed that a 1-3% gap up showed an above-average occurrence of the
stock closing even higher - if Microsoft gapped up between 1 and 2%, it
closed equal to or above the open 62% of the time. If Microsoft gapped up
between 2 and 3%, the percentage improved to 72%. There were 13 gaps of
greater than 3%, 8 of which closed even or higher. Compare these results to
the percent of the time that the close was greater than or equal to the open
on any day, which was 53%.
On the other hand, gaps down didn't show nearly as much follow through -
when Microsoft gapped down 1 to 2%, the close was lower than the open only
43% of the time, and when it gapped down 2 to 3%, the percentage dropped to
33%.
Ranges
If Microsoft gapped up, did it return to the previous close, as conventional
wisdom sometimes suggests? As it turns out, a 1-2% gap up returned to the
previous close 41% of the time, a 2-3% gap returned 12% of the time, and a
3+% gap returned 13% of the time.
Conversely, a 1-2% gap down will return to the previous close 58% of the
time, a 2-3% gap down 29% of the time, and a 3+% gap down 23% of the time.
The following day
How often did the opening price the day after a gap show a follow through?
For a 1-2% gap up, 63% of the time, for 2-3%, 60% of the time, for 3+%, 38%
of the time.
Conclusion
Microsoft's sweet spot seems to be a 2-3% gap up, which showed a
continuation of the trend 72% of the time. Also, if you bought on any
sell-offs, you showed a profit at the end of the day the majority of the
time, especially on large down gaps. Please note that Microsoft has been a
very strong stock over the 6 year period, and other stocks may not act the
same way, as Microsoft may not act the same way in the future. Readers are
encouraged to do their own research before making any decisions.
Formulas
The MetaStock formulas to calculate these percentages are shown below. The
first input is the minimum gap (e.g., 1%), and the second input is the gap
increment (e.g., 1%, which would give you a range of 1-2%). To calculate
gaps down, change the percentage to a negative.
Formula to determine whether the closing price is equal to or exceeds the
opening price on a gap day:
MinGap := Input("Minimum gap to consider (%)",-10000,10000,1);
GapIncrement := Input("Gap Increment (%)",0,100,1);
LookingForGapUp := MinGap >= 0; LookingForGapDown := MinGap < 0;
{ Gap percentage }
Gap := (OPEN - Ref(CLOSE,-1))/Ref(CLOSE,-1)*100;
NumGaps := If(LookingForGapUp, Cum(Gap >= MinGap AND Gap < MinGap +
GapIncrement), If(LookingForGapDown, Cum(Gap <= MinGap AND Gap > MinGap -
GapIncrement),0));
If(LookingForGapUp, Cum(If(Gap >= MinGap AND Gap < MinGap + GapIncrement,
If(CLOSE >= OPEN, +1,0),0)),
If(LookingForGapDown, Cum(If(Gap <= MinGap AND Gap > MinGap - GapIncrement,
If(CLOSE <= OPEN, +1, 0),0)), 0))/NumGaps*100;
Formula to determine whether the daily range crosses the previous day's
close on a gap day:
MinGap := Input("Minimum gap to consider (%)",-10000,10000,1);
GapIncrement := Input("Gap Increment (%)",0,100,1);
LookingForGapUp := MinGap >= 0; LookingForGapDown := MinGap < 0;
{ Gap percentage }
Gap := (OPEN - Ref(CLOSE,-1))/Ref(CLOSE,-1)*100;
NumGaps := If(LookingForGapUp, Cum(Gap >= MinGap AND Gap < MinGap +
GapIncrement), If(LookingForGapDown, Cum(Gap <= MinGap AND Gap > MinGap -
GapIncrement),0));
If(LookingForGapUp, Cum(If(Gap >= MinGap AND Gap < MinGap + GapIncrement,
If(LOW <= Ref(CLOSE,-1), +1,0),0)),
If(LookingForGapDown, Cum(If(Gap <= MinGap AND Gap > MinGap - GapIncrement,
If(HIGH >= Ref(CLOSE,-1), +1, 0),0)), 0))/NumGaps*100;
Formula to determine whether the following day's open continues the gap
trend:
MinGap := Input("Minimum gap to consider (%)",-10000,10000,1);
GapIncrement := Input("Gap Increment (%)",0,100,1);
LookingForGapUp := MinGap >= 0; LookingForGapDown := MinGap < 0;
GapYesterday := (Ref(OPEN,-1) - Ref(CLOSE,-2))/Ref(CLOSE,-2)*100;
NumGapsthruYesterday := If(LookingForGapUp, Cum(GapYesterday >= MinGap AND
GapYesterday < MinGap + GapIncrement), If(LookingForGapDown,
Cum(GapYesterday <= MinGap AND GapYesterday > MinGap - GapIncrement),0));
If(LookingForGapUp, Cum(If(GapYesterday >= MinGap AND GapYesterday < MinGap
+ GapIncrement, If(OPEN > Ref(CLOSE,-1), +1,0),0)),
If(LookingForGapDown, Cum(If(GapYesterday <= MinGap AND GapYesterday >
MinGap - GapIncrement, If(OPEN < Ref(CLOSE,-1), +1, 0),0)),
0))/NumGapsthruYesterday*100;
----------------------------------------------------------------------------
----
Jon DeBry is a former Equis programmer who now does MetaStock programming
and consulting. If you'd like Jon to write a formula for you, or even do a
study similar to the one above, send mail to jdebry@xxxxxxxxxx
----- Original Message -----
From: "Bruce K. Anderson" <bruceka@xxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Wednesday, December 08, 1999 5:58 PM
Subject: Re: Gann Swings and Intraday Trading
| Thanks for the Gannn Swings formulas from Guppytraders. They have a lot
| more MetaStock formulas than just the one I was looking to program.
|
| Also, I followed many of the links on that site and found another
| interesting link, http://www.debry.com/software_tools_and_services.htm
which
| has more MetaStock formulas and Trading systems.
|
| Thanks for your effort - Bruce
|
| >Subject: Gann Swings and Intraday Trading
|
|
| > I recall someone asking a while ago if anyone had written the MetaStock
| code
| > for the Oct99 TASC article "Gann Swings and Intraday Trading."
| >
| > I was poking around Daryl Guppy's site today and came across Adam
Hefner's
| > HiLo, Swing and Trend indicators and expert. You can find the code at
| > http://www.nt-tech.com.au/guppy/gup96.htm
| >
| > Looks like a lot of thought went into it. Adam deserves yet another pat
| on
| > the back.
| >
|
|