The ACD Method

I did some gap statistics recently. A big gap on a Monday is the worst gap to fade. A small gap on a Friday is the best.

 

which instruments did you test ?

Btw, gap stats, especially when overlapping week of day effect will have very small sample size, especially if you did it only for one instrument. Its very easy to see pattern in randomness. Be very very careful.

I am saying above based on my below experience.

I did a comprehensive study on daily returns on equity indices (SP) for last 20 yrs, and found no evidence of so called Monday effect. I concluded that weekday anamoly doesn't exist. Interestingly, my first impression after crunching the numbers was that weekday anamoly does exist, but on much closer looking into data, I changed my conclusion.

 

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For those of you that use TOS, here is a list of their coming attractions! Feels like a suspense movie. LOL.

 

just for you Mav.

 

Just as a general question, I dont want to have this get away from ACd, what is a decent sample sample size of looking at statistical intraday behavior.

I am thinking 100 tradings days? (5 months of trading) That was it isnt too old to reflect old market environments, but not small enough where you arent getting a decent sample...

 

Ho Ho! I have had enough Coal in the last few years, about time I get something good.

 

thanks will take this trade everytime as it fits my risk profile, fading huge gaps is not for everyone, but the big moves creates opportunity; maybe some poor market maker needs my money to buy a turkey for Tiny Tim.

 

That's a work of art. That would look great hanging on a wall!

Trading seems so easy looking at that.

 

The King strikes again...Still long GLD? ES lows holding in for now!

Now we know the secrets of the king....... Gann Fans ?!

 

When you draw that many lines, it's hard to ever be wrong. The holy grail!!!!