http://quantifiableedges.blogspot.com/2009/08/large-gaps-up-from-1-month-high.html
But what of times like now when the makret is at a new high, but the gap up is only modest? Below is one way to look at it.
It appears when the gap up is of a moderate size a downside edge no longer exists. And while a large gap up would have had me excited about shorting this morning, this study suggests no substantial edge at all.
1 comment:
You put the Q in quantitative sir.
"How to define reality", writer G.Bateson once asked; his answer-- "draw a distinction."
Another excellent and helpful analysis.
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