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Re[2]: Review The Band Study



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Hello  Glen,

good idea about incorporating the adx - this study was originally done
for a large hedge fund that i traded for where we sold option premium
on the major  cash  indexes.  we wanted to understand what the likely
hood  of a sustained move would be and how far it would travel when it
did  move.   since  we  were  straddling  the market we basically just
needed a bench mark to "know where the hell we were at" in the market.

it is truly a fantastic study even though i am really into much deeper
math  applications  for  trading  actual futures.   i have always been
amazed  at  how  this  study  has held up - a mechanical system i have
shows  profitability  of  85 % depending upon what your profit targets
are.   if  you optimize the buy at the lower band with a target of the
mid   band   or   the   upper   band.  the optimization i have used to
start a delay count at the bottom of the band is around 3 days.

an  interesting ide note is that what would you think the biggest move
was  up or down on the sp from option expiration to option expiration?

wrong  if  you  said  down,  the sp has had moves as big as 13% up and
only 8% down this illustrates the market is in fact continually moving
up since inception " bigger " if not faster up than down.

mark

GW> Nice work Mark and HHP.

GW> A technique Chuck LeBeau described in his book, "Computer Analysis
GW> of the Futures Market," is to trade the envelope or band breakouts when
GW> ADX is rising (the market is trending) and trade inside the bands when
GW> ADX is falling (the market is in a trading range).  When the market is
GW> not trending, there is a tendency for price to bounce off the upper and
GW> lower bands.

GW> Regards.

--
Best regards,
  Mark Brown   mailto:markbrown@xxxxxxxxxxxxx
  Y = Offset + Amplitude * sin(Frequency * X)