Log in or Sign up

ET News & Sponsor Info

General Topics

Markets

Technical Topics

Brokerage Firms

Company Specific

Interactive Brokers

Tools of the Trade

Trading for a Living

Community Lounge

Site Support

Feedback

Odds Czar: Simple Biases in the Futures Markets 2006

Discussion in 'Journals' started by Art Collins, Jan 2, 2006.

Prevail Guest
- 608
  Posts
- 0
  Likes
there is quite a bit of upward momentum now. I think we may hit one of the '01 cash highs of around 1316 before a sell off. thanks.

Quote from Art Collins:

For Friday, I will be looking to sell both the S&Ps and Russell. The yen is the only other market with a pronounced signal, also a sell.
More...

#101 Mar 16, 2006

Share
JackR
- 1,127
  Posts
- 4
  Likes
Art:

Do your "Calendar" biases take Options Expiration and Futures Expiration days into account other than being covered in a general way over time? From your introductory posts it does not seem to be the case.

Jack

#102 Mar 16, 2006

Share
Art Collins
- 1,246
  Posts
- 0
  Likes
jack wrote

Art:

Do your "Calendar" biases take Options Expiration and Futures Expiration days into account other than being covered in a general way over time? From your introductory posts it does not seem to be the case.

Jack

You are correct, they do not. those particular stats are derived from continuous data.
art

#103 Mar 16, 2006

Share
murray t turtle
- 21,724
  Posts
- 4,657
  Likes
Quote from boddintrader:

Art's futures biases for March 17.

A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long bias. A negative sum will be a short bias. A sum of zero will be a neutral bias.
More...

==================
Art;
Thought that was a nickname, at first , see its actually your name.

Helpful book ,When SuperTraders Meet K-nite, by Art Collins.
Including but nor limited to;
Buy a creeper, sell a leaper

murray

#104 Mar 17, 2006

Share
Art Collins
- 1,246
  Posts
- 0
  Likes
marray wrote

Art;
Thought that was a nickname, at first , see its actually your name.

Helpful book ,When SuperTraders Meet K-nite, by Art Collins.
Including but nor limited to;
Buy a creeper, sell a leaper

murray
___________________________

cha CHING
thanks for the sale uncle murray!
(just kidding all)

#105 Mar 17, 2006

Share
murray t turtle
- 21,724
  Posts
- 4,657
  Likes
Quote from Art Collins:

In line with the yearly rollover, the Daily CzarCharts will be presented in a somewhat modified fashion. There are now three sets of biases.

Either-Or Biases

The first set of biases includes six indicators that individually signal either long or short on a daily basis, except for the rare tie. Each indicator has a +1 value for long bias, and a -1 for short. The bottom line is the sum total, which can range from -6 to 6. Positive totals are bullish; negative are bearish.

The six either-or biases are listed below. Youâll recognize the first five as part of last yearâs eight biases. All biases are generated after the market close for the next dayâs trading. For bullish signals (opposite is bearish):

The 2-day average is below the 5-day average.

The close is above the 40-day average.

The highest close of the last 50 days occurs before the lowest close of the last 50 days.

The dayâs trading range is smaller than the 10-day average range and the dayâs close is higher than the 10-day average close OR the dayâs range is larger than the 10-day average range and the close is lower than the 10-day average close.

The close is above the midpoint of the average 15-day range. (The 15-day high average plus the 15-day low average divided by 2.)

Fade the majority direction of the last three open-to-closes.
[/list=1]

This last one is new, although we have discussed the concept. An open-to-close direction suggests a fade â either because it reverses more often than not or it produces bigger returns when it does or some combination thereof.

Infrequent Biases

The five infrequent biases are listed below. Youâll recognize them from last year. All biases are generated after the market close for the next dayâs trading. For bullish signals (opposite is bearish):

Four successively higher closes were followed by yesterdayâs down close. Todayâs action was irrelevant.

Five successively lower closes were followed by todayâs up close.

CUP trade. For the last three trading days, the middle day had both the lowest low and the lowest close. In addition, the low on the middle day must also be lower than the lows from the previous three trading days before the middle day. (CAP is the reverse and bearish.)

The highest low minus the lowest low of the last three days is less than or equal to 20% of the highest high minus the lowest low of the last three days.

For the previous two days, the market closed lower than it opened.
[/list=1]

Calendar Biases

The third box gives the calendar biases in the indexes. To review, days of the week produce a bias.

Monday: Buy or sell in the direction of Fridayâs close-to-close net change.
Tuesday: Go opposite Tuesdayâs close-to-close net change.
Wednesday: Fade either Monday or Tuesdayâs direction, depending on which move was larger. (Plus or minus).
Thursday: Buy if the weekly high minus Wednesdayâs close was greater than the close minus the weekly low (and vice versa).
Friday: Fade the largest close-to-close move (plus or minus) of the last four days.

Second, the day of the month can be broken down into two equally sized long-short biases. Specifically, the bias says to go short on the 7th day of the month and hold the short until the 22nd day of the month. On the 22nd day of the month, go long and hold the long until the following 7th day of the month.

Third, the month of the year can be broken down into two equally sized long-short biases. This bias says to be long November-April, and short May-October. Specifically, the bias say to be long November 2-May 1, and then short from May 2-November 1. Iâve recently verified this while writing my technical indicator book, which will be released this fall. I say âverifiedâ rather than âdiscovered,â because it incorporates some widespread beliefs about stocks. Stocks tend to do really bad in September and October. They also routinely experience malaise in summer months. The rest of the year, we should look for rallies, particularly in and around the year-end rollover.

I had one ground rule in optimizing Month-of-the-Year long-short time-frames. The time-frames had to be equal â six months apiece. Iâm sure we could get better results by making the long side bigger than the short, but thatâs too much targeting for my tastes. As always, we want to mitigate the chances that we are merely uncovering randomness that bunched up a certain way. As with the Day-of-the-Month bias, the theory is that some times of the year tend to over-perform. This guarantees there will be some corresponding periodic slacking off or even give-backs of profits. It canât hurt us to know whether our given longs or shorts are flowing with or fighting that prevailing trend.

Art

More...

==============
Art;
Have any favorite days of the week in respect to winning % on days of week bias;
stock index fiuures???????

Turnaround tues, ;
monday follow thru , both, or what?????
#106 Mar 18, 2006

Share
boddintrader
- 96
  Posts
- 0
  Likes
Art's futures biases for March 20.

A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long bias. A negative sum will be a short bias. A sum of zero will be a neutral bias.
- 060318collinsd.gif
  
  File size:
  
  19.6 KB
  
  Views:
  
  130
#107 Mar 18, 2006

Share
Art Collins
- 1,246
  Posts
- 0
  Likes
There is a tendency for Mondays to continue the action from Fridays in the indexes. This is on a close-to-close basis, and all three indexes finished higher. Ironically, both the S&Ps and Russell, though higher on the day, were actually lower than the open. Still a rule is a rule, and Friday's higher close ticks the overall calendar indicators to a net +1 across the board.

Combined with the positive numbers in the other signal categories, I have no choice but to probe the long side on Monday. If you're sensing reluctance, you're right. My gut tells me these are overbought markets, but as I continuously harp on in lectures and published works, my gut doesn't mean much. Nothing is ever guaranteed obviously. Still, when gut and numbers face off, the technicals are the inevitable better bet for me, and probably for most of us.

#108 Mar 19, 2006

Share
Jack Sparrow
- 32
  Posts
- 0
  Likes
"Tuesday: Go opposite Tuesdayâs close-to-close net change."

I'm just a humble pirate, Art. Mebrains can't figure this one out..can you explain?

#109 Mar 19, 2006

Share
Art Collins
- 1,246
  Posts
- 0
  Likes
jack sparrow wrote

"Tuesday: Go opposite Tuesdayâs close-to-close net change."

I'm just a humble pirate, Art. Mebrains can't figure this one out..can you explain?
____________________________________________

arrghgh matey. that be a typo for sure. should read--
"tuesday, go opposite monday's close-to-close net change."
sorry

#110 Mar 19, 2006

Share

(You must log in or sign up to reply here.)

Search