Category | Prediction Rate | % Correct | Notes |
Direction | 17/23 | 74% | 19/23 disregarding minor closing range (losses were 0.30%, 0.65%, 0.20%, 0.22% gains could have been made on 2 of those days) |
Significant High/Low* | 1/1 | 100% | Threshold changed to 72% |
Gap Fill+ | 1/1 | 100% | |
Hypothetical Portfolio | Starting Date | Compounded Return | |
$10,000 starting balance | 11/18/2010 | +1% | $10,100 balance, profits are reinvested |
+ When the odds of a negative high/pos low <= 3% and the market gaps in the low odds direction, the gap fills.
Another failure for the system today, but I wouldn't call it a disaster. We were properly warned that the long side wasn't favorable when I saw that the most frequently occurring range in Friday's table was negative, even though the odds were higher for an up day. That's why I didn't take a trade. So overall, I'd say it worked. Also note that today's low was 1.34%, which again was above my suggested stop level of 1.5%. Imagine if someone was long friday and sold on the lows, they could have gotten nearly everything back by the close.
Tomorrow is the exact opposite -- the most frequently occurring range was positive but the odds were higher for a down day. Another reason to stay away and not get suckered into trading a mixed picture. I'm in cash.
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