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FYI: What you say is true for spus but not true for nasdaq futures, nor for
many individual large cap stocks. Also, if you use the following indicator,
you can see that there are many year-long periods where the effect is
reversed (e.g. 5/97 to 5/98 for spus), i.e. the year-on-year change is
positive and greater than the starting price plus the sum of the overnight
changes...
Very interesting nonetheless!
Here's the indicator:
vars: cumsum(0),LChan(0);
if barnumber=1 then cumsum=0;
if barnumber>1 then cumsum=cumsum[1]+open-close[1];
if barnumber>260 then LChan=close[260]+cumsum-cumsum[260];
plot1(LChan);
-----Original Message-----
From: Lawrence Chan [mailto:stnahc@xxxxxxxxx]
Sent: Thursday, February 17, 2000 2:25 PM
To: omega-list@xxxxxxxxxx
Subject: Re: Which holds best promise?; Big Bear !
Phil,
I understand you trade end of day position -
and I respect that.
Statistically, the sp future gaps all its gains - not trade its gains.
e.g. if you combine all the up and down gaps, we have 300+ pts in sp
last 2 yrs til now, that is the total gain we have without the trading
sessions at all.
If day trade only, then the total # of points traded up vs down
is in reverse to the gaps, at a lower rate.
in fact, trading on the short side of the U.S. index future is to a
day trader's advantage - ALL THE TIME SINCE ITS
EXISTENCE.
In fact mechanical real time short system is pretty easy to construct if
you analyze the stats/behaviour of sp first. You can make more money
shorting then buy and hold - the benchmark for a reasonable system.
-Lawrence Chan
----- Original Message -----
From: Phil Lane <patterntrader@xxxxxxxxxx>
To: <TradeWynne@xxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Thursday, February 17, 2000 2:05 PM
Subject: Re: Which holds best promise?; Big Bear !
> OK I admit it, I get a bad trade once in a while! But I'd have a lot more
if
> I ran my shorting stuff.
>
> I'd worry more about how risky it is to attempt to short a record bull
> market. Unless you're Livermore in 1929. What are the odds of that?
Leading
> stocks are still acting great, let's not kid ourselves.
>
> rgds phil
> http://www.patterntrader.com
>
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