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and just think what juicy drawdowns you would have with that length of holding period
----- Original Message -----
From: "Gary Funck" <gary@xxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Tuesday, January 06, 2004 8:49 AM
Subject: RE: which timeframe is best?
>
> As a follow-up, attached is a chart showing
> the percentage of N-bar periods that closed in the same direction as
> the preceding N-bar period (basis S&P 500 cash index, 1950-2004).
>
> 1: 56%
> 28-32: 50%
> 266-304: 50%
> 104-129: 61%
> 839-931: 80%
> 1745-2000: 80%-87%
>
> So, we see that there's a decent 1-day trend probability of 56%, and
> there's a tendency for the trend to wash out at 30 days (6 calendar weeks),
> and again at 266-304 days (53-61 calendar weeks). The sweet spot for
> longer term trading would be at the 104-129 (21 to 26 calendar week)
> time period, at least by this measure.
>
> From above, the best simple trend-following system would use about a
> 120-day
> rate-of-change indicator as a directional indicator, with a similar 120-day
> holding period, on average.
>
>
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