Feb

17

I looked at all combos of today's highs versus yesterday's highs, and today's lows versus yesterday's lows, for daily S&P from 2009 to present I find 96 inside days going up an average of 2.8 points with a sd of 15 the next day for a t of 1.7

today high > than yest high, today's low great than yest 516 ob u =0.3

today high > yest high & today low < then yest lo 121 ob u = 0.2

an outside da today high < yest hihg & today low > yest low 96 ob u =2.8 t=1.3

inside da today high < yest high & today lo < yest low 380 ob u = 1.0 t= 0.3

futures prices.

Rocky Humbert writes: 

What about if you limit your studies to 1) Fridays? 2) Fridays before 3 day weekends? 3) Fridays before 3 day weekends after severe weather/NYC school closings? 4) Fridays before 3 days weekends after severe weather/NYC school closings when the weekly closing price in natural gas is at a multi year high? 5) Fridays before 3 day weekends after sever weather/NYC school closings when the weekly closing price in natural gas is at a multi year high and the fed funds strip is pricing in no tightening for the next 90 days? 6) Fridays before 3 day weekends after severe weather/NYC school closing when the weekly closing price in natural gas is at a multi year high and the fed funds strip is pricing in no tightening for the next 90 days and there is a new Fed chairman and it's the second year of a presidential cycle and the trailing SPX p/e is 17 and the dividend yield is 1.95 and my dog threw up after eating too much snow?

Victor Niederhoffer writes:

It is always good to have Rocky poking fun at statistical studies. Apparently the mean and measures of the distribution variability have no value to him. However, we are agreed on one thing that splitting a variable with a zero mean into many bins does not add much value to decision making. Without meaning to denigrate the gist of the critique, I hasten to agree that there is a big difference between statistical significance in the past, and predictivity for the future. If there were no such difference, then all my followers and I would be very wealthy men like the Rosthchilds who always said that if they knew where the market was going "I would be a wealthy maaan". How do you say that in German.

anonymous writes: 

Ich ware ein reicher mann

Paolo Pezzutti writes: 

There are certain market paths and regularities that help making decisions about opening and closing trades. I am not sure whether this process can be fully automated in order to search, evaluate and implement these regularities. For sure, however, knowing and using the methodology is not enough to make you wealthy. There are many other factors, as your trading choices are discretionary, that influence your performance such as money management, discipline, consistency and so forth. I find that the "technical analysis" aspect of trading is not the main problem. Before beating the market I have to beat myself….. In this regard, Brett Steenbarger, for example, highlights pretty well the psychollogical and behavioral issues of trading. 


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