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Mike Clark sent this idea to the list. It's too large with its attached
charts, but since those charts are an integral part of Mike's article,
I've put them in the ftp site:
ftp://ftp.eskimo.com/u/j/jimo in file: gcharts.zip
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From: clarkmj <clarkmj@xxxxxxxxxx>
To: omega <Omega-list@xxxxxxxxxx>
Message-id: <001f01bdb661$b7d34080$d33737a6@xxxxxxxx>
Sorry if you already got it.
For all of you who use systems that incorporate intraday bar range and ticks
here is an idea.
I am using it to adjust my stops to compensate for time of day volatility as
I call it.
1. Charts are in zip file gcharts.zip
There is a clear correlation between time of day and range. This is shown
in charts g1 and g3. Notice the best fit second order polynomial of the
order R=at^2+bt+c. By using it as a function you may express the range for
a given time t. Now you know what the normal range should be so do not put
a stop within the close+- the range. This should significantly reduce the
false signals caused by noise.
The same thing can be said for volume biases systems to account for the
daily tendencies and remove the bias in order to improve the linear
relations expressed in systems. See charts g2 and g4.
Any one have any comments?
Mike Clark
clarkmj@xxxxxxxxxx
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