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I've done quite a bit of study re: gaps and momentum (as dependent and
independent variables) and what I found was that the direction of the gap
was not as important as the gap itself.
Mark, if you combine your thinking with what Clyde is saying, you'll see
some correlation, depending on the market (SP reaction stronger than ND, SP
appears more mean reverting, ND more random).
Superimpose on this the volatility and liquidity of each market, and it can
get a bit fuzzy... ;~)
Bottom line, I found the tradable significance of gaps (in and of itself) on
the SP to be greater than on the ND.
Best regards,
Gene Pope
----- Original Message -----
From: "M. Simms" <prosys@xxxxxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Thursday, July 18, 2002 12:30 AM
Subject: RE: [RT] Gap behavior
> 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.
>
>
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