Posted by powerchord on 5th of Jan 2009 at 10:12 am
Matt:
Some time back there was some discussion on the effectiveness of
the mechanical systems when they crossed near the open on gap opens
-- has there been any info gained on this scenario? -- Thanks
I did a backtest to see if eliminating signals based on the
previous day's candles would improve or hurt performance. Entry is
$10K worth of shares at the open of the 15 min bar when there is a
cross of the 9/39 EMAs on the previous bar. For the "no
gap" test the earliest entry is the open of the 10am EST bar.
Results indicated that eliminating the early bar entries hurt the
performance. Net long 115% profit reduced to 111% and Net short
profit 133% reduced to 99%. Test from 6/1/2007 to 11/7/2008.
mechanicicals on gaps
SRS 15 min system 9,39 EMA.pngSRS 15 min 9/39 EMA's ...
Posted by powerchord on 5th of Jan 2009 at 10:12 am
Matt:
Some time back there was some discussion on the effectiveness of the mechanical systems when they crossed near the open on gap opens -- has there been any info gained on this scenario? -- Thanks
gaps
Posted by bkout3 on 5th of Jan 2009 at 10:24 am
I did a backtest to see if eliminating signals based on the previous day's candles would improve or hurt performance. Entry is $10K worth of shares at the open of the 15 min bar when there is a cross of the 9/39 EMAs on the previous bar. For the "no gap " test the earliest entry is the open of the 10am EST bar. Results indicated that eliminating the early bar entries hurt the performance. Net long 115% profit reduced to 111% and Net short profit 133% reduced to 99%. Test from 6/1/2007 to 11/7/2008.
interesting results -- thanks
Posted by powerchord on 5th of Jan 2009 at 10:38 am
interesting results -- thanks
looking back, most gaps had
Posted by matt on 5th of Jan 2009 at 10:15 am
looking back, most gaps had no effect, only very large gaps and today was not a large gap, it was very small