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> Anyway, Crabel has reported some really ugly performance numbers
for the past 6 quarters.... just thought I'd throw that in.
See for yourself folks. Six years available. Look under CTAs:
http://www.autumngold.com/
No connection to Crabel or the above site.
BW
--- In realtraders@xxxx, "M. Simms" <prosys@xxxx> wrote:
> 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@x...]
> > Sent: Wednesday, July 17, 2002 9:36 PM
> > To: realtraders@xxxx
> > 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
> > > - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> > >
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