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Here's the result of the inquiry - still positive!
Jerry Wagner
flexplan@xxxxxxxxxxxxx
> [Original Message]
> From: Tom Drake <deuxsous@xxxxxxxxx>
> To: <realtraders@xxxxxxxxxxxxxxx>
> Date: 5/25/2005 12:22:37 AM
> Subject: Re: [RT] Dicey Deal,,,,be careful
>
> Good stuff. It then becomes a question how to use such data. Do we
> constuct a system around it or just file it away in trader memory as
> a "lean" or bias factor when evaluting the whole technical situation
> as of now? As a baseball fan my bias is that in-a-row stats are fun
> to talk about but not terribly instructive for what the man at bat or
> on the mound will actually accomplish.
>
> In this case, however, the in-a-row stats coincide with technical
> crises: gap fills, range bisects, etc., so stats add an edge to the
> TA and allow one to bet a bit more confidently. Judgement isn't easy,
> of course, or everyone would be right most of the time, and we know
> that isn't the case. Good judges have good sense and have seen a lot
> of reality. And they know what's true and what isn't. I follow neural
> networks somewhat, but I'm not convinced that humans can't do it
> better.
>
> --- In realtraders@xxxxxxxxxxxxxxx, "Jerry Wagner" <flexplan@xxxx>
> wrote:
> > Here's some similar research from last week. I'll ask them to
> check for
> > the 8 day history.
> >
> > Jerry Wagner
> > flexplan@xxxx
> >
> >
> >
> > > [Original Message]
> > > From: Deosaran Bisnath <deobisnath@xxxx>
> > > 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@xxxx> 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
> > > > >
> > > > >
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Title: Nasdaq-100 - Eight is Enough | markethistory.com | historical market intelligence
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![]() |
![]() NDX | ![]() ND |
Nasdaq-100 - Eight is EnoughThursday, May 26, 2005
By Gibbons Burke
![]() Alert
subscriber J.W. notes that the Nasdaq-100 index, futures and ETF (QQQQ)
all enjoyed an eight-day streak of gains which ended on Tuesday. We
featured five-day streaks ending on Friday on Monday (looking at the futures). Will the bullish prognosis offered there (see related ideas below) hold? Q: How has the Nasdaq-100 index (NDX) performed in the past following an eight-day run to the upside? A:
There are 12 prior occurrences of this event. Over the next eight
trading days the NDX has continued to rally in 10 of the 12 cases
(83%). The two declines have averaged -2.8%. Holding on for fifteen
trading days raises the return achieved - the average of the 10 gains
is 4.2%. The declines average -4.3%.
We use the index for this analysis because it's got the most
number of occurrences after this event. When we run this event on the
futures, we get three prior occurrences, all positive. See the lower
chart below. Gibbons Burke is editor of MarketHistory.com Related Ideas:
![]() |
| | Let variable values:
@ = NDX
theEvent = IF
@ is up
repeated for the previous 7 and current value
THEN 1
ENDIF
Date Day t+7 t+8 t+12 t+15 t+16
01/29/1985 Tue 2.8 2.9 1.6 0.4 0.2
02/11/1986 Tue 2.1 1.4 1.6 1.4 1.8
04/17/1986 Thu 0.5 -0.5 -1.2 -1.2 -0.7
01/13/1987 Tue 5.2 4.5 3.8 7.5 8.7
10/09/1989 Mon -4.3 -2.2 -4.5 -7.5 -6.0
05/09/1990 Wed 6.1 7.8 7.8 9.6 10.4
05/23/1990 Wed 1.7 0.8 0.4 1.9 2.0
12/04/1990 Tue 1.2 0.3 3.0 2.5 1.8
02/01/1991 Fri 5.9 6.8 5.7 6.6 5.7
08/17/1994 Wed 3.2 3.0 1.2 3.6 2.1
09/20/1996 Fri -1.2 0.6 1.3 3.0 3.8
11/08/1996 Fri 0.9 1.2 3.4 5.8 4.9
05/24/2005 Tue NaN NaN NaN NaN NaN
Avg 2.0 2.2 2.0 2.8 2.9
AvgPos 3.0 2.9 3.0 4.2 4.1
AvgNeg -2.8 -1.4 -2.9 -4.3 -3.4
PctPos 83.3 83.3 83.3 83.3 83.3
PctNeg 16.7 16.7 16.7 16.7 16.7
Maximum 6.1 7.8 7.8 9.6 10.4
Minimum -4.3 -2.2 -4.5 -7.5 -6.0
StdDev 3.0 2.9 3.2 4.5 4.3
ZStat 0.7 0.7 0.6 0.6 0.7
Variance 8.9 8.7 10.0 20.3 18.7
13 Occurrences
Table 2 - performance of ND futures after this event:
Let variable values:
@ = CME.ND
theEvent = IF
@ is up
repeated for the previous 7 and current value
THEN 1
ENDIF
Date Day t+11 t+16 t+17 t+20 t+21
09/17/1996 Tue 3.1 4.1 3.5 6.7 5.9
11/08/1996 Fri 2.8 3.9 4.0 6.8 6.0
11/04/2004 Thu 2.8 4.1 3.8 6.4 6.8
05/24/2005 Tue NaN NaN NaN NaN NaN
Avg 2.9 4.1 3.8 6.6 6.2
AvgPos 2.9 4.1 3.8 6.6 6.2
AvgNeg NaN NaN NaN NaN NaN
PctPos 100.0 100.0 100.0 100.0 100.0
PctNeg 0.0 0.0 0.0 0.0 0.0
Maximum 3.1 4.1 4.0 6.8 6.8
Minimum 2.8 3.9 3.5 6.4 5.9
StdDev 0.2 0.1 0.3 0.2 0.5
ZStat 15.7 35.8 14.1 28.7 12.3
Variance 0.0 0.0 0.1 0.1 0.3
4 Occurrences | |
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