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My conclusion is that it is not enough to know whether the market is
going to close higher or lower in relation to the open. You have to
have some other tool such as some type of volatility gauge to
determine if the profit will be enough to make the strategy
practical. Only adopting this strategy at times of increased
volatility might net you the profits you need, but NOW, you have to
figure out
where to place your stops.......... :)
Walt Downs
CIS Trading
http://www.cistrader.com
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Walt,
Here is an idea I tried out when I was working for an equity day trading
firm. I adopted a formula form Sheldon Natenberg to estimate what an
underlying securities daily range would be. I set up a spreadsheet as
follows:
column A B C D
E F
1"symbol" "close*" "I/V*" "range*" "Hi"
"Lo"
row
2 xyz 36.125 .393 ((C/15.94)*B) ((C/15.94)*B)+B
B-((C/15.94)*B)
close = yesterdays close
I/V = 20 day implied volatility from S&P Comstock Option Chain Screen
Good Luck
Ron McEwan
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