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--- In realtraders@xxxx, "M. Simms" <prosys@xxxx> wrote:
> This would explain why Toby Crabel's "opening range breakout"
system.... never worked.
It worked today, and just the way Clyde research
suggested it should, and either way you want to
slice up the "ORB."
RTH ORB breakout to the downside after up-gap.
24hr ORB breakout was to the upside after a small down-gap.
I'm not aware that Crabel had an ORB-Gap system Mark. Could
you fill me in? I'm aware of his research on various patterns
and his conclusions about NR7s, etc....
Thanks,
BW
>
> -----Original Message-----
> From: Clyde Lee [mailto:clydelee@x...]
> Sent: Wednesday, July 17, 2002 1:59 PM
> To: Realtraders@xxxx
> Cc: MedianLine@xxxx
> Subject: [RT] Gap behavior
>
>
> With the big gap this morning I decided to look at the behavior
> of prices (on a daily basis) after gaps.
>
> I used the SP cash index from 1942 until now. That was the
> earliest that I had data with O/h/l/c data.
>
> There were a total of 619 gaps over this period (only about 7
> per year on average)
>
> I looked to see, for down gaps where the low price was for the
> gap day and 3 days after the gap relative to the opening price
> on the gap day.
>
> I looked to see, for up gaps where the high price was for the
> gap day and 3 days after the gap relative to the opening price
> on the gap day.
>
> Looking at the averages however, it would appear that for a
> quick buck the best trade is in the opposite direction of the
> gap!!!!! On average just over 1% of price.
>
>
>
> Averages on Gaps for SP Cash 1942-2002
>
> Direction Number Gap% H0% L0% H1% L1% H2% L2%
H3% L3%
> Up Gap 229 -0.28 0.84 -1.11 0.65 -1.14 0.67 -1.08
0.69 -1.05
> Down Gap 390 0.17 0.89 -0.60 1.06 -0.33 1.07 -0.38
1.07 -0.37
>
>
>
> Counts on Gaps for SP Cash 1942-2002
>
> Down Gap=Gap open to low of given day
> Up Gap =Gap open to high of given day
>
> Gap Day Gap Day+1 Gap Day+2 Gap Day+3
> <o >o <o >o <o >o <o >o
> -211 0 -188 41 -169 60 -159 69
> 0 379 -72 318 -89 301 -105 285
>
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> SYTECH Corporation email: clydelee@xxxx
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