tag:blogger.com,1999:blog-2676650858658561710.post6775194397422571368..comments2023-11-02T06:14:07.871-04:00Comments on Quantifiable Edges: 3 Lower Closes - A Largely Misunderstood EdgeRob Hannahttp://www.blogger.com/profile/07596674657839065754noreply@blogger.comBlogger5125tag:blogger.com,1999:blog-2676650858658561710.post-60219622598196100822009-05-24T18:11:38.961-04:002009-05-24T18:11:38.961-04:00The 3 days runs do actually work pretty well, but ...The 3 days runs do actually work pretty well, but as Rob says, one needs to have patience and nerves of steel. <br /><br />It is relatively symmetrical trading strategy, i.e. 3 up and 3 down produces a pretty good effeciency after the E-mini contract was introduced. An addition would be to slap on a fixed ATR money management on top of it. <br /><br />The strategy works best on US futures markets, and is a losing strategy on less liquid markets...AlphaSeekerhttps://www.blogger.com/profile/10812632498185936902noreply@blogger.comtag:blogger.com,1999:blog-2676650858658561710.post-78749374199155503422009-05-24T03:26:10.303-04:002009-05-24T03:26:10.303-04:00Thanks for this article . Really got me thinking. ...Thanks for this article . Really got me thinking. Then again, you ALWAYS get me thinking :)quickturtlehttps://www.blogger.com/profile/07865905576664578721noreply@blogger.comtag:blogger.com,1999:blog-2676650858658561710.post-6521685812841520092009-05-23T10:39:14.119-04:002009-05-23T10:39:14.119-04:00I ran the study based on 3 down days because that ...I ran the study based on 3 down days because that is what had just occured. Based on the comments received I think this post will need some follow-up. I'll be sure to look at consecutive runs a few different ways. <br /><br />As Daniel suggested,if we use up/down days in conjunction with other filters or parameters they can be helpful in establishing edges. You can also adjust your exit to help establish an edge. <br /><br />A recent example is the gap study I posted within the last few weeks that looks at large gaps up after the market has closed down 2 days in a row vs. up 2 days in a row.<br /><br />Anyway, I'll be sure to do some follow-up on this concept and look at it a few different ways.<br /><br />Also, Daniel, I too cringe at some of the nice call / terrible call comments. I've been thinking about doing a post that dicusses in more detail how the edges may be used to better establish a mindset rather as a mechanical entry. <br /><br /><br />Thanks both of you for the thoughtful comments.<br /><br />RobRob Hannahttps://www.blogger.com/profile/07596674657839065754noreply@blogger.comtag:blogger.com,1999:blog-2676650858658561710.post-15500892064744588422009-05-23T00:59:30.680-04:002009-05-23T00:59:30.680-04:00Since I agree entirely with Daniel, the following ...Since I agree entirely with Daniel, the following question may seem to have missed the point. But the question is: have you done a similar study for multiple updays? Also why start with 3? What about buying/selling after 1+ and 2+ down/up days?Russ Abbotthttps://www.blogger.com/profile/15431389045571531450noreply@blogger.comtag:blogger.com,1999:blog-2676650858658561710.post-51867117663267166532009-05-22T11:55:33.686-04:002009-05-22T11:55:33.686-04:00> there’s a “historical difference between AT L...> there’s a “historical difference between AT LEAST 3 days in a row and EXACTLY 3 days in a row”...<br /><br />That kind of intelligent exactitude and careful precision in analysis is why we pay you the big bucks, Rob H.<br /><br />Basically the ‘question’ in investments is always an eternal one, if properly phrased. (And if it is NOT an eternal one it is not properly phrased...)<br /><br />?? When does one celebrate WEAKNESS and buy it, because it affords a more favorable entry, and when does one eschew weakness because it will lead to LOSSES within one’s target timeframe??<br /><br />There can never be a simple or ultimately non-paradoxical answer to an eternal question-- which is why Rob’s methodology is so outstanding. It does not throw up “answers”, but only probabilistic anticipations based on past patterns of a similar nature.<br /><br />This is why I cringe when new bloggers wander in and say NICE CALL Rob or TERRIBLE CALL Rob regarding a short term outcome. He does not make calls, he points out probabilities. An exam of his tables indicates that even the strongest seeming edges had non-successful outcomes in the past, some of the time. <br /><br />It is entirely risk/benefit allocation. Very little prediction, as the term is commonly understood.<br /><br />All that said, Rob, I would imagine that filtration with various nuance parameters such as ABOVE / BELOW some significant MA, MACD on BUY or SELL, New Highs/New Lows levels here or there, etc. etc. may well indicate or suggest different wrinkles, with an underlying concept as amorphous as “3 days in a row of lower close”...<br /><br />DanielDanielnoreply@blogger.com