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Hi Glen
I agree. The bull market long term trend of Microsoft needs to be subtracted
from your calculations, i.e., if the upward trend is 2% per month and your
systems' returns average 5% then there are some calculations to be done.
However a trend <G> such as crude's recent run doesn't need to be
de-trended.
I just wondered whether you or anyone else had used these formulas. The
formulas given in the Nov. and Dec. TASC articles about trading the Opening
Gap are a little "lite", and need to be "pumped up" a bit. These looked like
they were on steroids.
Best regards
Walter
----- Original Message -----
From: "Glen Wallace" <gcwallace@xxxxxxxx>
To: "MetaStock listserver" <metastock@xxxxxxxxxxxxx>
Sent: Thursday, December 09, 1999 11:50 AM
Subject: Re: Gann Swings and Intraday Trading
| Walter:
|
| I've read similar gap statistics on other markets. The Microsoft gap-down
| results are not consistent with what I've read, but that might be the
result
| of the overall bull market, or perhaps a Microsoft peculiarity.
|
| I think gaps are tradable, but some securities have a mind of their own.
| For example, Crude Oil gapped down 3% at the open yesterday, but closed up
| 1.2% on the day.
|
|
| ----- Original Message -----
| From: Walter Lake <wlake@xxxxxxxxx>
| To: <metastock@xxxxxxxxxxxxx>
| Sent: December 9, 1999 05:01
| Subject: Re: Gann Swings and Intraday Trading
|
| > 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.
| > | >
| > |
| >
|
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