Re: [RT] Dicey Deal,,,,be careful, RealTraders Email List Archive

Re: [RT] Dicey Deal,,,,be careful

Subject: Re: [RT] Dicey Deal,,,,be careful

From: "Jerry Wagner" <flexplan@xxxxxxxxxxxxx>

Date: Tue, 24 May 2005 23:10:20 -0400

PureBytes Links

Trading Reference Links

Here's some similar research from last week.  I'll ask them to check for
the 8 day history.

Jerry Wagner
flexplan@xxxxxxxxxxxxx



> [Original Message]
> From: Deosaran Bisnath <deobisnath@xxxxxxxxx>
> To: <realtraders@xxxxxxxxxxxxxxx>
> Date: 5/24/2005 11:05:59 PM
> Subject: Re: [RT] Dicey  Deal,,,,be careful
>
> Going to run this by the 
> trader-talk.com guys.
>
> One way of analyzing it would be to simulate 
> a system that buys/sells after x consecutive 
> down or up closes (contra close); x varying 
> from 4 to let's say 9; and maybe an additional 
> filter to buy/sell intraday ONLY if the close
> of a 5-min or hourly bar is above/below previous day's 
> high/low.
>
> Sounds interesting, but I am tired, and it 
> is only Tuesday. Maybe over the weekend.
>
> Regards,
>
>
> --- Tom Drake <deuxsous@xxxxxxxxx> wrote:
> > Someone told me today was the first time for eight in a row positive 
> > NASDAQ since 1999.
> > 
> > --- In realtraders@xxxxxxxxxxxxxxx, Deosaran Bisnath 
> > <deobisnath@xxxx> wrote:
> > > And, in the case of NASDAQ,  if my math is correct, 
> > > this is the EIGHT SUCCESSIVE UP session. I wonder 
> > > how many times this has happened, and did it 
> > > go to 9? 10? and did it decline by how much after? 
> > > If anyone has the stat tools to do this, greatly appreciated
> > > my inquiring minds (who, coincidentally, are holding a few 
> > > short ESM and NQM positions).
> > > 
> > > 
> > > 
> > > 
> > > --- Tom Drake <deuxsous@xxxx> wrote:
> > > > http://twocents.blogs.com/weblog/
> > > > 
> > > > 
> > > > 
> > > 
> > > http://www.JahajeeDesi.com 
> > > Home of the Caribbean Indian Diaspora
> > > 
> > > 
> > > __________________________________________________
> > > Do You Yahoo!?
> > > Tired of spam?  Yahoo! Mail has the best spam protection around 
> > > http://mail.yahoo.com
> > 
> > 
> > 
>
> http://www.JahajeeDesi.com 
> Home of the Caribbean Indian Diaspora
>
>
>
> 		
> __________________________________ 
> Yahoo! Mail Mobile 
> Take Yahoo! Mail with you! Check email on your mobile phone. 
> http://mobile.yahoo.com/learn/mail 
>
>
>
>  
> Yahoo! Groups Links
>
>
>
>  
>



------------------------ Yahoo! Groups Sponsor --------------------~--> 
In low income neighborhoods, 84% do not own computers.
At Network for Good, help bridge the Digital Divide!
http://us.click.yahoo.com/EpW3eD/3MnJAA/cosFAA/zMEolB/TM
--------------------------------------------------------------------~-> 

 
Yahoo! Groups Links

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/realtraders/

<*> 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/

Title: Nasdaq-100 Futures - Five Day Streak | markethistory.com | historical market intelligence

Nasdaq-100 Futures - Five Day Streak

Monday, May 23, 2005

By Gibbons Burke

The Nasdaq-100 futures last week enjoyed rallies on each of the five days of the week. The June contract closed at 1,533.00, up 0.4% on the day and closing the week up 3.8%. The futures crossed above the 200-day average on Wednesday as well.

Q: How have Nasdaq-100 futures (CME.ND) performed in the past after rallying in each of the five trading days in the week ending on a Friday when, on Friday, the contract is above its 200-day average price?

A: There have been 11 prior occurrences of this event. Over the next 14 trading days the ND futures have rallied in 10 of the 11 cases (91% ) by an average of 5.2%. The one decline fell -2.8% and the overall average return was 4.4%.

Stat geekery: The 4.4% overall return has a Student's t-score of 4.3, which puts the mean profitable trade hypothesis in the 99.9% confidence interval. The mean return at the 90% confidence interval is 3.0%, assuming this distribution of returns after this event is stationary, which, as always, is a big assumption.

Looking forward there is a secondary edge evident on a 30-day holding period. ND futures have rallied in 9 of the 11 cases (82%) by an average of 9.5%. The average of the two declines is -1.5% and the overall average is 7.5%.

Gibbons Burke is editor of MarketHistory.com

Let variable values:
@	=	CME.ND
theEvent	=	IF
    Date is Friday
  AND
  4 values ago {
      1 value move of @  is more than 0 }
  AND
  3 values ago {
      1 value move of @  is more than 0 }
  AND
  2 values ago {
      1 value move of @  is more than 0 }
  AND
  1 value ago {
      1 value move of @  is more than 0 }
  AND
    1 value move of @  is more than 0
  AND
    @ is more than 200 value average of @
THEN 1
ENDIF


      Date   Day        t+11        t+12        t+13        t+14        t+30

05/02/1997   Fri        -0.1         3.1         3.8         3.6         6.5
07/10/1998   Fri         2.5        -0.3        -0.9         2.0        -1.3
11/20/1998   Fri         7.5         8.7         6.3         7.8        26.4
01/08/1999   Fri         4.5         2.9         5.9         7.4         2.4
07/02/1999   Fri        -1.0        -0.4        -2.9        -2.8        -1.6
01/21/2000   Fri         1.7         5.3         2.2         5.7        15.6
02/04/2000   Fri         1.6         7.2         9.9         7.4        10.0
05/30/2003   Fri         3.7         3.1         3.7         2.0         8.2
08/15/2003   Fri         8.6         8.5         9.6         8.9         6.3
08/29/2003   Fri         3.1         2.7         4.2         3.7         5.5
11/05/2004   Fri         2.7         2.6         3.4         3.1         4.2
05/20/2005   Fri         NaN         NaN         NaN         NaN         NaN

             Avg         3.2         3.9         4.1         4.4         7.5
          AvgPos         4.0         4.9         5.4         5.2         9.5
          AvgNeg        -0.5        -0.3        -1.9        -2.8        -1.5
          PctPos        81.8        81.8        81.8        90.9        81.8
          PctNeg        18.2        18.2        18.2         9.1        18.2
         Maximum         8.6         8.7         9.9         8.9        26.4
         Minimum        -1.0        -0.4        -2.9        -2.8        -1.6
          StdDev         2.9         3.1         3.9         3.4         8.0
           ZStat         1.1         1.3         1.1         1.3         0.9
        Variance         8.4         9.8        15.0        11.7        63.4


12 Occurrences

XMIM Query Source