the main hypothesis is that there is an amount of tradeable distortion within the daily data of the sp future. toby crabel's work is well documented and I wondered about the narrow range day and its forecast quality in terms of trendiness. I failed so far in proving that it exists. An insidebar with lower range then than the average of the previous bars is not followed by a more trendy day than usual IMO. Starting from there I began to analyze other things of that kind. The seasonalities were tempting yet seem to be too inconsistent. I currently work on volatility and it's influence on daily gain. I did some analysis as well on the relation between high/open and low/open and found that, although the market on average closes 0.04% higher than it opened, that it trades on average more down than up, which is surprising, yet was not significant enough to trade it. I am interesting in cycle length as well, defined by the length between two slope changes on a moving average. It seems as if cycle lenght correlated negatively with volatility - not really surprising. I am very early stage here. Finally I am patternising bars by giving the quintile for each OHLC within the range of recent x days. Found some mean reversion effect on weekly data, which I am paper trading now. I do not expect any specific number to work perfectly, just try to build a set of effects that can be combined efficiently. peace
man, I'm not that familiar with Crabel's work, but I had a little different impression of the narrow range day(NRD) concept. I thought the idea was to go with a breakout of the NRD, not that the NRD itself was indicative of an impending move. In effect, the NRD represents a coiled spring that, if triggered, should lead to a good move.
I havn't read his book either. I just found in another thread the claim that we should have a trending day yesterday, since we saw a narrow range inside bar day on friday. I understood the concept in the way that you better trade on breakout=trendfollowing after a NRD than bet on reversion games. peace
absolute daily gain = abs(ln(Cto/Oto)) in dependence of recently observed daily range. absolute daily gain could be seen as the best proxy for trendiness observable on daily data. environment days for range 1 upper 50% lower 0.00% median daily gain 0.51% mean daily gain 0.72% observations 4835 reading if yesterdays range (days for range =1) is below upper (50%) and above lower (0.00%) border then the median (absolute) daily gain is 0.51% with an average of 0.72%. since this wide range covers all cases this is all days since 1.1.1984.
environment days for range 1 upper 50% lower 1.00% median daily gain 0.58% mean daily gain 0.81% observations 3003 environment days for range 1 upper 50% lower 1.50% median daily gain 0.65% mean daily gain 0.92% observations 1545 environment days for range 1 upper 50% lower 2.00% median daily gain 0.73% mean daily gain 1.08% observations 771 environment days for range 1 upper 50% lower 2.50% median daily gain 0.89% mean daily gain 1.36% observations 383 environment days for range 1 upper 50% lower 3.00% median daily gain 1.04% mean daily gain 1.62% observations 202
varying the lower border requirement for yesterday's range I see significant increase in today's expected absolute gain.
now I am looking for the relation between high and close within the daily range. if (H-C)/DR is high we are basically closing near the low of the day. In addition I put now the change from closing to opening into it since it might be interesting in this context. Starting again "blank". observations 4824 (H-C)/DR upper 100% lower 0% range upper 100% lower 0% Cto/Oto median 0.04% avg 0.02% Oto/cT-1 median 0.01% avg 0.01%
measure of trendiness for the day is ABS(O-C). Daily change is flawed because sometimes gaps account for 90% of the daily change.
traderkay right on the gap thing. That's why I define dailyGain as ln(Cto/Ot-1) and yield as ln(Cto/Ct-1). peace