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Perry Kaufman in "Trading systems and Methods"
worked over the intraday highs and lows quite thoroughly. The open and
closing minutes were most significant. Also, for the snp gap up, opens
tended to be sold into and end as down days with the open thus near the high of
the day, whereas gap down opens tended to continue to sell off. In system
testing having a gap detector to modify trade philosopy and time filter to let
the PM trade run into the close makes quite a difference in equity curve
results.
bobr
<A
href="http://www.oextrader.com/sigma_trader";>http://www.oextrader.com/sigma_trader
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----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
Don
Thompson
To: <A
href="mailto:realtraders@xxxxxxxxxxxxxxx";
title=realtraders@xxxxxxxxxxxxxxx>realtraders@xxxxxxxxxxxxxxx
Sent: Thursday, May 10, 2001 9:25
PM
Subject: Re: [RT] Re: 5/11/2001 NASDAQ
Turning Point
Joe,
I was talking to Bobr the other day and he
remarked that Larry Pesavanto (sp?) made the observation that the SnP opens
70% of the time near the low or the high
of the day. 70% is not wow wee odds, but its much
better than a coin flip..
Don Thompson..
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----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
Joe Duffy
To: <A
href="mailto:realtraders@xxxxxxxxxxxxxxx";
title=realtraders@xxxxxxxxxxxxxxx>realtraders@xxxxxxxxxxxxxxx
Sent: Thursday, May 10, 2001 10:56
PM
Subject: Re: [RT] Re: 5/11/2001 NASDAQ
Turning Point
Haytham, your posts IMO at least are excellent. Marty Swartz always had
a rule to never day trade short if price was above the 10 day ema, and never
day trade long if price was below 10 day ema. Its amazing when you go back
and look at trade screw ups, how many times something so simple gets
overlooked, and how it can save you a lot of aggravation.
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