Blog readers should also be aware that the blog is searchable. If you see the market is gapping down a lot then you could just type "2% gaps" into the search bar at the top and several studies related to large gaps would apppear.
Edit: Today's gap while over 2% in the futures was "only" 1.8% in the SPY. Therefore is would have missed qualification for the particular study that was referenced.
3 comments:
thnx for reposting!
I have a suggestion for a study, which I hope would be an easy one but might lead to some interesting findings.
James B. Stewart, the author of the Common Sense column in the Wall Street Journal, often promotes his particular mechanical system. When the Nasdaq rises 25%, he sells half of his stocks. When it declines 10%, he uses half of his cash to buy stocks.
It seems to me that this system could be easily back-tested, but I don't have the skills to do so.
You could begin with, say, $100,000 on a variety of start dates. Redeploy half of cash or half of equities when Mr. Stewart's threshholds are reached (intraday).
His latest column about this system was published on Jan. 13 at:
http://www.smartmoney.com/investing/stocks/when-to-buy-and-sell-in-this-market/
It would be very funny if the WSJ was publishing a system that had terrible results in real life, or, conversely, was brilliant in its simplicity.
I'd be thrilled if you or anyone else would e-mail me about such a test. If you'd be so kind, you can use a temporary e-mail address that I've set up for this purpose, which I don't mind publishing:
mailbyte-quantifiable AT yahoo DOT com
Thanks for your excellent work!
Rob
I would be interested in seeing the 2% gap down study repeated but with the requirement reduced to include Wednesday's gap down (say, 1.7 or 1.8%).
Thanks
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