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TradeWynne@xxxxxxx wrote on 22 June 2000 23:44
>
> 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?
>
To my surprise, almost exactly 50/50. Given the overall upward movement
of the market since 1992 I initially assumed I had done something wrong.
Then I realised that these these figures related to intraday movement only,
and took no account of opening gaps. Turns out that on average, all the
upward movement in FTSE future since 1992 can be accounted for by the
opening gaps.
>
> 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.
>
Again I had a similar number of long and short winners, with a slight (3%)
bias in favour of the short side! However, although totally different from
your figures, I don't think we can read too much into them, because they
are obviously system dependent.
This has been an interesting exercise, because although my systems trade
both ways, there are occasions when I find it more difficult to put on a
trade in one direction vs the other. These statistics will reinforce my
discipline!
Hugh
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