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How long is the long run? Based on one bar and one indicator I would not know (4)
Carl
----- Original Message -----
From: Jose Silva
To: equismetastock@xxxxxxxxxxxxxxx
Sent: Monday, November 13, 2006 4:34 PM
Subject: [EquisMetaStock Group] Re: Buy High or Low? - an informal poll
Hmmm... perhaps I've made it sound more complicated than it needs to
be.
Imagine it's 7pm in the evening, 3 hours after market close, and the
day's final data arrives. We now know today's Open, High, Low and
Close of the day with 100% certainty.
We look at our finalized data, and find that today our favorite stock
has closed within 4% of today's High. Our decision now is:
1) Go Long at tomorrow's Open (strategy Y).
OR
2) Go Short at tomorrow's Open (strategy X).
Which strategy is more likely to be profitable in the long run?
---------------------------------------------
Strategy Y:
==========
* Buy Long at tomorrow's Open if today's Close was within
4% of today's High.
* Sell Long at tomorrow's Open if today's Close was within
4% of today's Low.
Strategy X:
==========
* Buy Long at tomorrow's Open if today's Close was within
4% of today's Low.
* Sell Long at tomorrow's Open if today's Close was within
4% of today's High.
---------------------------------------------
Y is basically a short-term trend-following strategy.
X is basically a short-term contrarian strategy.
So, which strategy is more likely to be profitable in the long run, Y
or X?
jose '-)
http://www.metastocktools.com
--- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@xxx> wrote:
>
> Exactly my point...we just don't know so always use stops.:-)
>
> Preston
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "Jose Silva" <josesilva22@>
> wrote:
>
> "Buy Long at next day's Open..."
>
> No hindsight required.
>
> No unknowns, no known unknowns, no unknown knowns, no unknown
> unknowns. (With apologies to that great poet, Donald Rumsfeld) ;)
> http://www.windsofchange.net/archives/003282.php
>
>
> jose '-)
> http://metastocktools.com
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@> wrote:
>
> Jose,
>
> Poses some interesting thoughts but IMO there are only 2 events
> that you will know...the open and the close. The low and high will
> not be known until after the open and right at the close. As far
> as the profit it would be nice if we knew the trend. Since
> everything is unknown my answer would be:
> 4) I don't know
>
> Preston
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "Jose Silva"
> <josesilva22@> wrote:
>
> I've posted this poll on another usergroup, but it is currently
> attracting little interest there. The question deals with our
> perception of the market vs its reality.
>
> I can't post a Poll here, but it would be interesting to get some
> informal results of members' opinions.
>
>
> ----------------------------------------------
>
> Strategy Y:
>
> Buy Long when Close is within 4% of today's High.
> (Buy Long at next day's Open when the Close is near the top of
> today's High-Low range).
>
> Sell Long when Close is within 4% of today's Low
> (Sell Long at next day's Open when the Close is near the bottom of
> today's High-Low range).
>
>
> Strategy X (Y reversed):
>
> Buy Long when Close is within 4% of today's Low
> (Buy Long at next day's Open when the Close is near the bottom of
> today's High-Low range).
>
> Sell Long when Close is within 4% of today's High.
> (Sell Long at next day's Open when the Close is near the top of
> today's High-Low range).
>
>
> Question:
> Which trading strategy is likely to be more profitable, Y or X?
>
> 1) Strategy Y
> 2) Strategy X
> 3) no difference - both are identical
> 4) I don't know
>
> ----------------------------------------------
>
>
> To make it easier to visualize the simple condition signals, below
> is the MS indicator code:
>
> ==============
> Poll indicator
> ==============
> ----8<-------------------------------------
>
> {©Copyright 2006 Jose Silva.
> For personal use only - trade at own risk.
> http://metastocktools.com }
>
> { User inputs }
> pr1:=Input("Entry: min Close's % dist [0~100%] from bar's
> Low",0,100,4)/100;
> pr2:=Input("Exit: min Close's % dist [0~100%] from bar's
> High",0,100,4)/100;
> rev:=Input("Reverse Close position condition? [0]No,
> [1]Yes",0,1,0) ;
> plot:=Input("Signals: [1]Clean, [2]All, [3]Trade
> binary",1,3,1);
> delay:=Input("Entry and Exit delay",0,5,0);
>
> { Close x% of High-Low range signals }
> rangePos:=(C-L)/Max(H-L,.00001);
> entry1:=rangePos<=pr1;
> exit1:=rangePos>=(1-pr2);
>
> { Reverse signals? }
> entry:=If(rev,exit1,entry1);
> exit:=If(rev,entry1,exit1);
>
> { Clean signals }
> init:=Cum(IsDefined(entry+exit))=1;
> bin:=ValueWhen(1,entry-exit<>0 OR init,entry);
> long:=bin*(Alert(bin=0,2)
> OR entry*Cum(entry)=1);
> short:=(bin=0)*(Alert(bin,2)
> OR exit*Cum(exit)=1);
> signals:=long-short;
>
> { Plot in own window }
> 0;
> Ref(If(plot=2,entry,0),-delay);
> Ref(If(plot=1,signals,
> If(plot=2,-exit,bin)),-delay)
>
> ----8<-------------------------------------
>
>
> jose '-)
> http://metastocktools.com
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