Wednesday, November 10, 2010

Back to Back Outside Days in QQQQ Revisited

Yesterday afternoon the Quantifinder identified an interesting study that I last wrote about in the 3/23/10 blog.  It looked at back to back outside days in QQQQ.  I’ve updated the study below.




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:

Tom said...

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.

nzbryant said...

Nice setup Rob. Were the instance spread out over the test period, or clustered?

Rob Hanna said...

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