Can anyone test the following strategy ??

Discussion in 'Strategy Building' started by abhay, Aug 26, 2003.

  1. abhay



    Just throwing an idea to test.

    I have observed that when the Market moves in any direction it goes to atleast certain distance, building on that if anyone can test the following :

    Say Market closed @ X previous day

    then if Market moves to X + ( 2 or 3) then it is very likely to go to X + (4 or 5 or 6)

    Similarly if market moves to X -2 then it is very likely to go to X - (4 or 5 or 6)

    I would like to see %winners, this number 4,5 or 6 can be optimized later.
  2. I really dont understand the specifics of what you're saying.

    But I think Multiple Bollinger band or Fibonancial would do.

    With regard to optimization... why would you go that route.


  3. lindq


    You will find that contrary to your hopes, when using daily bars generally strength is followed by weakness, and weakness by strength. In a particularly strong trend, buying strength or selling weakness can work for short periods, but in a typical trading range, where the market spends most of its time, you will get eaten up with losses.
  4. abhay


    No I am not talking about Bollinger Band or Fibo

    What I am trying to find is statistics of how many times this strategy will be successful and give 2 or 3 or 4 points everyday. on S&P on 1 contract which is = avg 3* $50 = $150/contract.

    We all know on any day price movement is > 5-8 S&P points atleast from opening.

    So say if S&P closed today @996.

    Now tomorrow if S&P goes UP then it will go atleast to 1001 - 1002 and if Market goes down then it will go atleast to 990 given that market moves atleast 6 points in a direction.

    So if we blindly place buy order @998 to be sold @1000 or 1001
    or on other side blindly place an order to sell @994 (if market moves down) tobe covered @992 or 991 or 990

    So if statistically we can determine the odds of this strategy then this can be a very simple strategy not needing any indicators or any other complex thing.
  5. abhay



    We can keep guessing but statistics will prove it.

    I hope you will also agree that those days are very very few where the price does not move even 4-6 points in a single direction.

    The assumption is if it moves 2 points then it will probably move 4 points also and we want to optimize this number ....
  6. You are talking about one pattern a market may move at a given period in time. The reality of the markets is, the trading patterns dont last long. Besides, why are you asking others to test the strategy for you? You can do it yourself papertrading.
  7. abhay



    Papertrading I don't want to be doing for next couple of months and sitting idle here.

    This is not a pattern that will be broken, Statistically back testing will prove how the results look like over any number of months or period.

    So this willsave us time in paper trading plus system will help us inoptimization of that number.

    I am trying to do testing myself, but am not sure if I can convert the strategy in to formula that easily...
  8. Some strategies are too complex, and others are just a little too simple to work. In my opinion, the latter applies here.
  9. abhay


    But will it work or not ???

    Even one trade in a day is enough my guess is morning may be the best time for this to work.
  10. newtoet


    Just glancing at some charts, it seems you would get whipsawed alot. The market does not always just go straight up or down. It might go down 2 points, trigger your trade, go up 4 points, trigger a trade on the opposite side, then go back down 8 points.
    #10     Aug 26, 2003