This study gets off to a bit of a slow start, but then there appear to be solidly bearish implications for up to several weeks out. Even as much as 4-5 weeks out the % winners is exceptionally low, as are the win/loss ratio, the profit factor and the average trade.
5 comments:
Sorry if you've already answered this question many times, but...
Are your "nn Days Out" CALENDAR days or TRADING days?
Thanks,
Phil M.
Think about it: they cannot possibly be calendar days.
Hi Phil,
veenmr1 is correct. I use trading days in all my studies when looking at results X days out.
Best,
Rob
Hi Rob,
I think we need to differentiate between EQUITY and INDEX put/call ratio for some reasons. I did a little study where I found a downside edge for low equity p/c readings, similar to you.
Right now,though, we also record a high reading of the index p/c ratio(different situation to what we observed last year several times). I did a little study that indicates that there might be even an upside edge.
http://wp.me/pCTzl-5X
Thx
Michael
Hi,
When i tried to program this strategy in easylanguage i got only positive net profits. I just cant find out what i am doing wrong.
I am using pinnacle data:
OEX - PC (put call ratio)
Easylanguage code:
Inputs:x(0);
{data1=sp , data2=put/call ratio cboe}
Variables: Var1(0), Var2(0);
If the PercentChange(close, 1) < 0.005 then var1=1 else var1=0;
If low of data2 < lowest (low of data2,40)[1] then var2=1 else var2=0;
If var1+var2= 2 then buy on close;
If barssinceentry=x then exitlong on close;
Can you please tell me what i am doing wrong.
Kind regards,
Michiel C.
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