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>>> wasted countless hours over too many years.
A while back I was playing with a system, another oddball inspired idea, for
short term trading of the $5 Dow. Only, instead of using Adv/Dcl, using
several of the actual stocks that make up the index. Since there are only 30
of them, it seemed to me that 6 or 8 of the *right* stocks in the index
might have some predictive value as to the direction of the index as a
whole, and thus, the futures. I didn't have enough intraday stock data to
test it much, but it looked like it would catch days when there were strong
moves in the Dow. The logic is simple enough....
If a short term average of each/every stock, data2 thru data9, is moving up
then buy the futures.
If a short term average of each/every stock, data2 thru data9, is moving
down then sell the futures.
It would need some sort of filter and some stops.
I still think It would be worth testing but, like you say, even with only 30
stocks it would take a lot of time. Figuring out which stocks worked best,
probably a mixture of the highest volume and the lowest volume, or the least
volatile and the most volatile, would take a lot of testing. It might even
work better to fade the most volatile stocks. Which would get into
divergences. Then again, it might not work out at all.
Anyway, I decided it was something more suited to the cold, winter months
than the springtime. So I shelved it.
gm
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