Here are my futures biases for December 19. A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long (L) bias. A negative sum will be a short (S) bias. A sum of zero will be a neutral (0) bias.
Here are my futures biases for December 20. A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long (L) bias. A negative sum will be a short (S) bias. A sum of zero will be a neutral (0) bias.
Here are my futures biases for December 21. A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long (L) bias. A negative sum will be a short (S) bias. A sum of zero will be a neutral (0) bias.
Here are my futures biases for December 22. A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long (L) bias. A negative sum will be a short (S) bias. A sum of zero will be a neutral (0) bias.
Here are my futures biases for December 23. A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long (L) bias. A negative sum will be a short (S) bias. A sum of zero will be a neutral (0) bias.
Here are my futures biases for December 27. A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long (L) bias. A negative sum will be a short (S) bias. A sum of zero will be a neutral (0) bias.
Here are my futures biases for December 28. A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long (L) bias. A negative sum will be a short (S) bias. A sum of zero will be a neutral (0) bias.
hi Art - i have done a draft backtest of your bias rules with ES - my data is limited, from mid 2002 to mid 2005 with the base case of using +-1 as the threshold, i get a 56% win rate and a 1.4 profit factor raising the threshold to +-3 and greater, increases the win to 59% and profit factor to 1.5 going to +-4 and greater, i get 65% and 2.0 do these numbers seem reasonable to you? (i still need to double check and clean up my code). i am not too focused on profit factors at the moment, since you are presenting these rules as a directional bias - these win percentage rates look encouraging, i.e. seem to indicate that your bias rules have a positive expectation. also, rule 1. The 2-day average is less than the 5-day average. - is this average of (H+L)/2 ? or something else? thanks for sharing your work and all the best.
Here are my futures biases for December 30. A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long (L) bias. A negative sum will be a short (S) bias. A sum of zero will be a neutral (0) bias.
A new thread with new biases was started for 2006. Click here for the new thread. http://www.elitetrader.com/vb/showthread.php?s=&threadid=61477 Art