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Lawrence - I can definitely confirm that Intraday "shorts" are
profitable.....and that EOD shorts have been mostly disasterous.....using
SPX data.
> -----Original Message-----
> From: Lawrence Chan [mailto:stnahc@xxxxxxxxx]
> Sent: Friday, February 18, 2000 12:07 PM
> To: Alex Dannenberg; omega-list@xxxxxxxxxx
> Subject: Re: Which holds best promise?; Big Bear !
>
>
> ----- 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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