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--- In realtraders@xxxx, "BobR" <bobrabcd@xxxx> wrote:
> 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
> http://www.oextrader.com/sigma_trader
I did not read his book but I will certainly add it on my reading list
(to do). I hate gaps. I did not foreget there is still recent one
which is not filled and that is around 1950 for the NASDAQ. I have to
make my calculations this weekend to see if it will fill it this time
or not.
Haytham
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