I also sliced this a few different ways (above/below 200ma, up/down close, etc.) and found little difference in the results. Despite the low number of instances I find this a compelling setup. You'll also note that on December 7, 2009 I performed the same study on SPY and found compelling results there as well.
3 comments:
Rob, as a relative newb to this blog, could you post an explanation of what the various results columns mean - in layman's terms?
Thanks for the interesting work.
Nice setup Rob. Were the instance spread out over the test period, or clustered?
Tom -
I'm going to do a series soon on how traders can better understand and take advantage of Quantifiable Edges information. I'll be sure to include that.
NZBryant -
From 2000 - 2010 there was at least 1 instance every year except '01. This is the 3rd instance in 2010. 1/6 and 3/22 were the others.
-Rob
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