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I 'tested' the below dates for market turns. The test is
fairly subjective, as we are missing several major parts of the equation:
what is defined as a market turn, how close to the date must the market turn,
how large a move must be produced after said market turn? For what it is
worth, here is the data I gathered on the Live Cattle futures contract, which I
believe was the basis for the original example. I only have data from 1976
forward. The moves are measured close to close.
Nothing- I could not make any argument for a turning
point for 5 of the 13 dates, 7/12/90, 6/14/92, 5/23/94, 5/2/96,
4/13/98.
Dead On- 4/25/81. The market closed at 7077.5 and
dropped 637.5 points or 9.01% over the next 20 days. I find this to be a
large move in which nearly any entry strategy around the date would produce a
good winner.
Close to a Significant Turn- I
found two dates, 4/5/83 and 6/6/77, to be withing 11 and 7 days
respectively of fairly major turns. The 6/6/77 date produced a rally of
8.55%. (The market dropped 5.87% from the Taurus day until the
bottom.) The top 11 days after the 4/5/83 date was major.
Minor Rally- 2 of 13, 5/16/79 and 3/15/85, had minor moves of
290 and 195 begin on the specified day.
2/20/87 had a 152.5 point drop begin on 2/23/87.
1/19/89 had a 342.5 point rally begin two days
later.
3/23/00 had a significant top 6 days later.
In my subjective opinion 4 of the 13 days produced tradable
moves within an acceptable window. I doubt one could create a set of
trading rules, even in hindsight, that would be able to trade these 13 days
profitable. Perhaps, they could be useful if one looked for a major turn
within two weeks of the date.
Please, take these very elementry results for the very little
they are worth. I did not see a significant amount of large turns
associated with these dates; however, someone else may. One can not do a
study like this without a definition of an extreme, a turn, a timeframe
etc.? If someone would care to post his definitions of those things,
then I would be glad to test them. If I used mine, the turn would have to
come on the day or the day after and would need to produce a move of >200
points. Given those parameters, 2 of the 13 days produced "winning"
trades. Again, given other parameters or filters perhaps those results
could be greatly improved.
sb
<BLOCKQUOTE
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
Norman
Winski
To: <A title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Monday, May 14, 2001 4:42 PM
Subject: [RT] Mars In Taurus
For anyone wanting to research Mars in Taurus,
hopefully, here are the dates:
The times are about 5 hours late, but I don't
think that will make much difference.
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