|
PureBytes Links
Trading Reference Links
|
Very simplistic.....not really gap-based:
after "x" minutes from the session start, if range is significant, go
long/short based on the direction/slope for those x minutes...
there were some filters as well....I'll have to dig-out the specifics.
Anyway, Crabel has reported some really ugly performance numbers for the
past 6 quarters....
just thought I'd throw that in.
> -----Original Message-----
> From: tradewynne [mailto:tradewynne@xxxxxxxxx]
> Sent: Wednesday, July 17, 2002 9:36 PM
> To: realtraders@xxxxxxxxxxxxxxx
> Subject: Re: [RT] Gap behavior
>
>
> --- 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
> >
> > - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> > Clyde Lee Chairman/CEO (Home of SwingMachine)
> > SYTECH Corporation email: clydelee@xxxx
> > 7910 Westglen, Suite 105 Office: (713) 783-9540
> > Houston, TX 77063 Fax: (713) 783-1092
> > Details at: www.theswingmachine.com
> > - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> >
> >
> > Yahoo! Groups Sponsor
> >
> > Click here to find your contact lenses!
> >
> > To unsubscribe from this group, send an email to:
> > realtraders-unsubscribe@xxxx
> >
> >
> >
> > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service.
>
>
>
> 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/
>
>
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Free $5 Love Reading
Risk Free!
http://us.click.yahoo.com/TPvn8A/PfREAA/Ey.GAA/zMEolB/TM
---------------------------------------------------------------------~->
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/
|