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On Mar 8, 3:52pm, Michael Charness wrote:
> Subject: New (?) Index Strategy from Larry Connors
> > Larry has figured out how to dynamically measure change in the
> > VIX to anticipate market movement. Does it work? The proof is
> > in the pudding - 665 DOW points in 16 trading days.
Connors has some good ideas, and I like reading his books. One caveat
I've found however with his systems is that that seem to test well
on the past year/so of data, but not particularly well in other
timeframes. This may be neither good, nor bad, but it is what I've
seen.
> >
> > 4. Exit seven trading days later (or use some type of trailing stop.)
In the 1995 to 1998 time period, a 7 day hold has probably been a
win on the buy side about 60% of the time. So, if he actually made
decent money on the sell side, maybe he's onto something.
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| Gary Funck, Intrepid Technology, gary@xxxxxxxxxxxx, (650) 964-8135
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