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Totally agree with that one....
in fact I have added a trading "filter" rule which based on the past "x"
bars, if a "significant" gap occurs and the position is flat, then ignore
the subsequent buy/sell signal if it is against the gap for the next "y"
bars.
The trick was to define "y" and "significant".....it was done with 10,000
bars of history.
It has improved performance immensely.
TASC had an article on this recently as well.....
> -----Original Message-----
> From: HBernst963@xxxxxxx [mailto:HBernst963@xxxxxxx]
> Sent: Thursday, February 17, 2000 7:35 PM
> To: stnahc@xxxxxxxxx; omega-list@xxxxxxxxxx
> Subject: Re: Which holds best promise?; Big Bear !
>
>
> What are you saying? Short an opening upgap and cover at the
> close? I can't
> believe that has been more profitable in the last 15 years than
> buy and hold.
>
> Howard
>
>
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