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----- Original Message -----
From: Alex Dannenberg <Alex@xxxxxxxxxxxxxxxxxxxxxxx>
> 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!
>
exactly, the net gain for most years with just the gaps are positive.
and there are times the condition does not hold.
I have done a lot of tests on this - including the one you are showing.
The key issue is that the bias of intraday is not to the upside for
the open to close period basis.
And like what I have sent to another guy, this lead to the following
funny conclusion for eod/intraday behaviour :)
eod trader / bullish -
almost always feel like being tortured in real time :)
thus discretion trader of this type tends to think they have to suffer to
gain.
eod trader / bearish -
if they trade all the time, they are bankrupt already.
Not because they are wrong, they are usually right for a few days,
then kill by gaps that they hope will pullback.
intraday trader / bullish -
pick momentum lows win 90% of the time, and loses back all the
money plus more when caught in the trend sell 10%.
intraday trader / bearish -
almost always win trying to sell top, but
when they start to think they can pick bottom, they are screwed.
In summary, I think eod trading of index future should be bias to
long side due to the gapping effect is to their advantage. For intraday
trader, they should design more balanced trading system with both
long and short.
been a while that we have a thread on system trading!
everyone please join in and lets talk about it.
-Lawrence Chan
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