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Jonathan:
I can only reference what most already know from reading LBR's book.
yesterday for example was a WR7 in the SnP. Today then should
see less volatility with an upward bias. At least prices should not
break dramatically to the downside, according to theory. Now that I
have written this; watch the market break hard<G>
Charles
----------
> From: Quantcap@xxxxxxx
> To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
> Subject: Re: March Bonds
> Date: Friday, February 12, 1999 7:26 AM
>
> Just a thought....
> Is an NR7 day a better predictor of volatility increasing or decreasing??
> Also, I've noticed that NR7 followed by WR7 is a better predictor of
increased
> volatility.
> Finally....it appears to me that the later on you are in "the game," the
more
> whippy the market gets.
> Example: SPus make a big decline off a large uptrend. The following
day,
> shorting SPus will be a tough trade, with lots of squeezes. I always
wait
> until later to play the continuations. Anyone else observe the same?
>
> ================================
> Jonathan Ludwig
> President, Quant Capital Management, Inc.
> ================================
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