Inside days have generally suggested a bearish edge when the market is below the 200ma and no edge much better than upside drift when above the 200ma. I found it unusual that the inside day came with an unfilled gap down so I tested the possible effects under these circumstances.
At first glance the numbers seemed to suggest a downside edge. A closer look showed the numbers to be misleading. Here are the results in table format.
As you can see it has been a long time since this setup has produced compelling odds. Researchers should always take a look at the equity curve when considering whether to incorporate results into their analysis.
Another blogger who often makes this point is Michael Stokes of MarketSci. He did it again in his recent Thanksgiving returns post yesterday.
1 comment:
Hi Rob,
I think this is a very smart post, because it exposes a typical and hidden mistake.
Thanks,
Tamas
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