|
PureBytes Links
Trading Reference Links
|
This sort of what Bob Hunt was talking about in his earlier post.
This is such a small sampling of data. It looks like the PC vol ratios
could be lowered to 1.4 as long as there is a coincident Z score signal
within a day or two. The idea of buying on the next day's open looks OK
and the holding period of 2 is OK although 2 to 3 looks better.
A Z score buy signal is defined as the Z score crossing below the average
of its (0+H+L+C)/4 for that day. Buy the open the next day.
A Z score sell signal is defined as the Z score closing above its OHLC
average for that day. Sell on the close of that day.
A buy on the PC ratio occurs at levels 1.4 or higher if coincident with Z
score or 1.54 if not coincident.
According to these rules we clearly have a buy on the open tomorrow as the
Z score close crossed its day's average on Friday and the PC vol ratio is
right on 1.54. Now watch the mkt make a fool of the system.
BobR
Attachment Converted: "c:\eudora\attach\Zscore, PC822.gif"
|