Quantifiable Edges: SPY 1% Gap Down From A Tight Consolidation

Thursday, March 10, 2011

A quick test I ran this morning...(results based on $100k/trade)

With only 3 instances I wouldn't get too worked up. I did find results interesting eough to share, though.

Anonymous said...: Thx for the share, Rob! Intraday results from 2008 are almost in a category by themselves, there was so much fear and volatility. If one were to throw them out, leaving just one datapt, which is insufficient, we all disappear, analysis-wise.

However, an real interesting application arises--almost like a mini Aggregator concept-- which is to measure the possible "submerged beachball" bounceback implied by the prior day's study... in light of today’s.

Sometimes, when such an effect is delayed, it emerges even stronger; other times it is simply negated by a new stimulus to the markets.

Maybe this study, today's, says to damper expectations of such a snapback occurring on this occasion. Because, while inconclusive in one sense, today's study is def'ly not bullish.

Again thx from all of us readers.; March 10, 2011 at 12:31 PM

Quantifiable Edges