I will back test this for S&P daily since January 2000. I'll do it tonight. Do you count weekends the same as any other day? Edit: Your not claiming this method necessarily predicts the next day. You're just saying it predicts near-term. So not sure what to back test.
9 Hi, great idea to backtest, I've never done that. I don't use it to predict, rather as a risk mgmt and scaling strategy. Yes re weekends treat same Re parameters I trade stocks and ETFs priced $15 - $40/share with minimum volume 1million shares/day with minimum atr/daily range of 1 point or more. If possible test to skip day before earnings releases, I don't hold overnight into those