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Hello mrmxyptlk,
if you're doing the testing, you might also consider an open like
today's with anadditional filter--the absolute value of the
Adv-Declining issues. Today at 10:00 A-D was only -75 or so. That's
essentially flat breadth. The only thing possibly important is that
price lapped up fr yesterday's close.
I have some preliminary research from Linda Raschke indicating that a
change of A-D of 800 is a pretty good predictor of 1 day price change.
to wit:
If AD[0] - AD[1] > +800 then buy;
If AD[0] - AD[1] < -800 then sell;
According to her study (1999-2001), price exceeded High (low) of the next day 78%
of the time; closed in the direction of the change the next day 62%
of the time.
--
Best regards,
Jim Johnson mailto:jejohn@xxxxxxxxxxxxxxxx
Friday, March 15, 2002, 10:57:29 AM, you wrote:
mhc> Today is going to be the same thing. Because of the large up-spike on the first bar of yesterday, we will today go short EVEN THOUGH today's up bar is higher than the day before yesterday's.
mhc> This skew of the first bar seems to be a problem. When I have some time I will try to write some routines that deduct from it. Just taking the trade at 11:00 EST is cleaner but still has the
mhc> "problem" of the first bar skew.
mhc> So -- Do you go short now or not in light of the first bar skew?
mhc> Mr Myx
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