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In a message dated 6/22/00 2:11:26 PM Pacific Daylight Time, hm@xxxxxxxxxx
writes:
> I have a database of intraday FTSE futures prices from 1992 to date where
> each price swing of more than a certain value is recorded with its
> time/value. Thus I was easily able to compute how much time the market
> spent intraday moving up and down.
>
> The results were:
>
> Year % up % down
> 92 50.6 49.4
> 93 50.4 49.6
> 94 50.0 50.0
> 95 50.6 49.4
> 96 51.8 48.2
> 97 51.0 49.0
> 98 52.0 48.0
> 99 50.0 50.0
> 00 to date 50.0 50.0
>
> Furthermore, my simple breakout system (which has no pre-determined
> directional bias) has recorded almost equal numbers of buy and sell trades
> over the same period.
>
> Not sure what to make of this, except that 50% is as good a Fibo number as
> 62/38.
Hmmm...I obviously I know nothing about your system, but even FTSE has been
dragged higher by the NDX. So I'd be curious, given the obvious neutrality of
your system, what kind ratios are there for net point movement up vs down?
I tried the same thing on the SPX from 1991 (far too short a time period for
this type of study) using a simple 3 bar breakout. The results, as you noted,
show nearly equal #'s of buys and sells. The number of longside winners vs
short side winners was interesting though: 105 vs 66......about 61.4% ; in
the NDX since 1994
72 vs 42 (63.1%) and the percentage of winners on the longside vs percentage
of winners on the sell side was: 51% vs 30% (you do the math ;) I do not say
this proves anything.....but it's interesting.
No claims of profitability,etc,etc,etc.
BTW, I believe I have incorrectly stated those old studies. The findings
where that markets are in Bull vs Bear phases about 61.1% of the time
according to Robert Rhea's 1936 study covering 13,115 calendar days. I'm not
sure how he defined Bull vs. Bear markets.
Bill Wynne
TradeWynne@xxxxxxxxxxxxxxx
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