Sep

14

The movement of prices relative to the high and low of the day has always struck me as highly non-random. Holbrook Working had a test for the range of prices using the individual tick moves and the number of transactions — based on a simulation.

I believe the gist of the problem is more that the market moves a lot to generate trades, and the ranges are much higher than they should be considering where they end up. I also think that a test based on this ecological fact would be more to the point. I would be interested in ideas as to how to illumine this phenomenon for its relevance to natural philosophy and profits.

S P Z 6   - -   S & P   5 0 0   F U T U R E

  DATE   OPEN     HIGH     LOW      CLOSE

 T  9/14 1326.70  1329.80  1324.70  1329.40
 W  9/13 1323.40  1331.90  1322.60  1329.10
 T  9/12 1313.50  1326.00  1313.30  1325.10
 M  9/11 1306.10  1314.60  1302.70  1311.60

 F  9/ 8 1308.90  1312.30  1306.30  1310.50
 T  9/ 7 1308.70  1313.70  1304.00  1307.40
 W  9/ 6 1319.70  1320.10  1312.20  1314.00
 T  9/ 5 1324.30  1327.50  1321.70  1326.00
 M  9/ 4 

 F  9/ 1 1321.10  1325.00  1318.00  1324.00
 T  8/31 1317.80  1319.50  1316.00  1316.90
 W  8/30 1317.00  1319.80  1315.50  1316.40
 T  8/29 1315.30  1318.50  1309.50  1316.50
 M  8/28 1307.70  1318.50  1307.30  1315.10

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