Perishabull Posted March 10, 2014 Author Report Share Posted March 10, 2014 No trades today Link to comment Share on other sites More sharing options...
Perishabull Posted March 10, 2014 Author Report Share Posted March 10, 2014 Dow Jones daily range - 1 year Link to comment Share on other sites More sharing options...
Perishabull Posted March 11, 2014 Author Report Share Posted March 11, 2014 Today's trade; 3 trades today, 2 losses and 1 win Link to comment Share on other sites More sharing options...
Perishabull Posted March 13, 2014 Author Report Share Posted March 13, 2014 Yesterday's trade; 3 trades, 2 losses and 1 win Link to comment Share on other sites More sharing options...
Perishabull Posted March 14, 2014 Author Report Share Posted March 14, 2014 Yesterday's trade; 1 trade, 1 loss Link to comment Share on other sites More sharing options...
Perishabull Posted March 15, 2014 Author Report Share Posted March 15, 2014 Yesterday's trade; 1 trade, 1 loss Link to comment Share on other sites More sharing options...
Perishabull Posted March 15, 2014 Author Report Share Posted March 15, 2014 The positive after this week's trade; Performance of strategy to date; Link to comment Share on other sites More sharing options...
happy Posted March 15, 2014 Report Share Posted March 15, 2014 Interesting slope on the second graph. Have you backtested your strategy? How does the slope compare w/ expected returns? Cf., Developing Robust Trading Systems The Role of Backtesting in Trading System Development Link to comment Share on other sites More sharing options...
Perishabull Posted March 15, 2014 Author Report Share Posted March 15, 2014 Interesting slope on the second graph. Have you backtested your strategy? How does the slope compare w/ expected returns? Cf., Developing Robust Trading Systems The Role of Backtesting in Trading System Development Thanks for the links, yes I backtested the strategy and it worked well, although it isn't working at the moment. I need to work out whether recent performance is temporary or terminal. Link to comment Share on other sites More sharing options...
Perishabull Posted March 15, 2014 Author Report Share Posted March 15, 2014 A look at the daily range on Dow Jones Industrial Average futures, relative to price, over the last 4 years; Link to comment Share on other sites More sharing options...
Perishabull Posted March 16, 2014 Author Report Share Posted March 16, 2014 A look at the number of occurences of daily ranges on Dow Jones Industrial Average futures from 2010-2013; The most frequent range over the 4 years was 94. Most frequent range tends to be around 75 to 150 points. Daily range occurence broken down by year (moving averages); The wide range of daily points ranges for 2011 seems to reflect increased volatility that year but that aside, the pattern is broadly similar each year. Although we can see that ranges from 90 to 125 have become more frequent over the years. Link to comment Share on other sites More sharing options...
happy Posted March 16, 2014 Report Share Posted March 16, 2014 A look at the daily range on Dow Jones Industrial Average futures, relative to price, over the last 4 years; Nice chart! Plotting the daily range like this seems to do a nice job in locating intermediate-term bottoms ... especially considering the "fat-tail" distribution (below). A look at the number of occurences of daily ranges on Dow Jones Industrial Average futures from 2010-2013; The most frequent range over the 4 years was 94. Most frequent range tends to be between 75 and 150 points. Looks like it would be worthwhile plotting the standard deviation of the daily range vs price ? Link to comment Share on other sites More sharing options...
Perishabull Posted March 16, 2014 Author Report Share Posted March 16, 2014 Nice chart! Plotting the daily range like this seems to do a nice job in locating intermediate-term bottoms ... especially considering the "fat-tail" distribution (below). Looks like it would be worthwhile plotting the standard deviation of the daily range vs price ? It's an interesting relationship isn't it. What do you think the standard deviation of the daily range vs the price would show? Link to comment Share on other sites More sharing options...
happy Posted March 16, 2014 Report Share Posted March 16, 2014 It's an interesting relationship isn't it. What do you think the standard deviation of the daily range vs the price would show? I'm not sure. And (more importantly) I'm not sure how actionable the findings might be. But the rationale would be that by plotting the distribution in terms of standard deviation you might be able to isolate the "fat tail" ... and the underlying hypothesis would be that the "fat tail" provides a disproportionate edge as an entry signal. E.g., for a look back period of 200 days: (('daily price range' - 'mean daily price range') / 'standard deviation price range') vs price. Something along those lines ? Anyway, by itself it's probably not sufficient for a reliable indicator, but it might be a useful filter? Link to comment Share on other sites More sharing options...
Perishabull Posted March 18, 2014 Author Report Share Posted March 18, 2014 No trades yesterday. A look at the daily range on Dow Jones Industrial Average futures, relative to price, over the last 4 years, and the ratio between the two; Link to comment Share on other sites More sharing options...
Van Posted March 18, 2014 Report Share Posted March 18, 2014 A look at the number of occurences of daily ranges on Dow Jones Industrial Average futures from 2010-2013; The wide range of daily points ranges for 2011 seems to reflect increased volatility that year but that aside, the pattern is broadly similar each year. Although we can see that ranges from 90 to 125 have become more frequent over the years. Careful with this.. 90 points when the Dow is at 8,000 is very different from 90 points when the Dow is at 16,000. Link to comment Share on other sites More sharing options...
Perishabull Posted March 19, 2014 Author Report Share Posted March 19, 2014 No trades yesterday Link to comment Share on other sites More sharing options...
Perishabull Posted March 20, 2014 Author Report Share Posted March 20, 2014 No trades yesterday Link to comment Share on other sites More sharing options...
Perishabull Posted March 21, 2014 Author Report Share Posted March 21, 2014 Yesterday's trade; Two trades yesterday, two wins Link to comment Share on other sites More sharing options...
Perishabull Posted March 22, 2014 Author Report Share Posted March 22, 2014 Yesterday's trade; 3 trades, 3 losses Link to comment Share on other sites More sharing options...
Perishabull Posted March 25, 2014 Author Report Share Posted March 25, 2014 Yesterday's trade; 3 trades, 2 losses and 1 win I've switched to show the time in Chicago on the chart now, rather than my local time. Link to comment Share on other sites More sharing options...
Perishabull Posted March 26, 2014 Author Report Share Posted March 26, 2014 3 trades yesterday; E-Mini Dow Jones 1 win and 2 losses Link to comment Share on other sites More sharing options...
Perishabull Posted March 26, 2014 Author Report Share Posted March 26, 2014 2 trades today; 1 win and 1 loss Link to comment Share on other sites More sharing options...
Perishabull Posted March 28, 2014 Author Report Share Posted March 28, 2014 Yesterday's trade; 3 trades, 2 losses and one win Link to comment Share on other sites More sharing options...
Perishabull Posted March 29, 2014 Author Report Share Posted March 29, 2014 Yesterday's trade; 3 trades, two wins and a loss Link to comment Share on other sites More sharing options...
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