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John, just run a best fit linear regression on the last 20 or so bars in
whatever time frame you are trading and consider confirming if both headed
in same direction with a minimum correlation coeff e.g. .80+-.
Earl
----- Original Message -----
From: "John Cappello" <jvc689@xxxxxxx>
To: "Earl Adamy" <eadamy@xxxxxxxxxx>; <realtraders@xxxxxxxxxxxxxxx>
Sent: Wednesday, April 03, 2002 12:22 PM
Subject: Time and Motion Study
> Dear Earl,
>
> Coming from you it is worth a lot. I need to find out the composite
> value of the Dow vs the composite value of the Nasdaq within the S&P
> proper. At this time I can only find Dow data for testing but that
> can be surmounted.
>
> I am having the method/system coded and ELA'ed as we speak and will
> first test it in its raw state without a trigger.
>
> Thanks,
>
> John
>
>
>
> ------------------ Reply Separator --------------------
> Originally From: "Earl Adamy" <eadamy@xxxxxxxxxx>
> Subject: Re: [RT] Time and Motion Study
> Date: 04/03/2002 10:53am
>
>
> FWIW, I would suggest trading the SP with ND as a confirming trigger
> to take
> advantage of confluence of direction.
>
> Earl
>
> ----- Original Message -----
> From: "John Cappello" <jvc689@xxxxxxx>
> To: <realtraders@xxxxxxxxxxxxxxx>
> Sent: Wednesday, April 03, 2002 10:39 AM
> Subject: [RT] Time and Motion Study
>
>
> >
> >
> > According to the rules laid out yesteday , the profit at 11:15 exit
> > would have been $2000 + or therabouts minus slippage.
> >
> > I also took the time to visit the oddball trading system developed
> by
> > Mark. I was impressed with the advance decline ratio concept applied
> > to the S&P.
> >
> > Not having access to that figure, and since all have their own
> > trading style and belief systems, I selected the Dow as my filter.
> So
> > if the Dow movement coincides with the S&P movement between 10:00 AM
> > and 10:15 PM then the trade would be taken. If not , then no trade.
> > Today they coincided.
> >
> > Please realize this is a work in process. I chose the Dow since my
> > impression is that the Dow components would more likely also reflect
> > the S&P 500 as well as advancer/decliner ratio.Obviosly A/D ratio
> > has an effect judging from its outstanding performance!
> >
> > If I am wrong , I stand corrected and will still test the Dow
> > correlation factor for lack of timely data in my current
> > environment.I personally like to prove a system over at least 2 and
> > up to 5 years of testing, so when completed I may seek help for code
> > and ELA either on this list or elsewhere.
> >
> > Sincerely,
> >
> > John
> >
> >
> > To unsubscribe from this group, send an email to:
> > realtraders-unsubscribe@xxxxxxxxxxxxxxx
> >
> >
> >
> > Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/
> >
> >
> >
>
>
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