Thursday, October 22, 2009

The Day After Last Hour Smackdowns

So what happens for SPX after last hour breakdowns that are especially large compared to the size of the average daily range? I took a look. The most substantial results came on the day following the late-day selloff. Here they are:



Last night’s Subscriber Letter contained more details and observations about this study. Click here for a free trial.
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2 comments:

Buck V said...

love the analysis. would you share the code you used to test this ? i'm impressed you could whip this up in 1 day, as slow as I write TS code.

fwiw, how long did that take TS to calculate ?

T.I.A.

Buck

October 22, 2009 at 2:44 PM
Rob Hanna said...

Hi Buck,

I have some code in the "Free Downloads" section of the website. I think one looks at Distribution Days and the other at the Nasdaq/S&P relative strength model. You may be able to use it as a template for building your own code.

There are also some studies available for sale under the studies section on the main page.

Most studies take very little time to calculate. This one took a little longer because of all the intraday data. Still less than a minute.

Best,
Rob

October 31, 2009 at 7:30 PM

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