Trading the Odds

A statistical approach to profit in the US equity markets, trading the markets like professional card counters are playing Blackjack or expert poker players are playing Poker.

Rollercoaster ride w/the S&P 500 – III

Rollercoaster ride w/the S&P 500 – III

This is just for the records concerning yesterday’s post Rollercoaster ride w/the S&P 500.

Although 10 occurrences since 01/02/2001 were -from a statistical point of view- a way too small sample size to read anything into it, today’s sessions almost perfectly fulfilled all observations concerning the statistical variance (a higher high and -to a significant percentage extent- a higher low than the previous session’s high and low) and made it no. 1 on the list (as the most recent one):

No. Date Higher High Lower Low Close True Range
1 03/26/2009 +0,75% +2,87% +2,33% +2,35%
2 12/08/2008 +4,45% +7,86% +3,84% +4,85%
3 11/14/2008 +0,42% +6,25% -4,17% +5,16%
4 10/29/2008 +3,13% +9,11% -1,11% +5,07%
5 09/19/2008 +4,46% +7,02% +4,03% +4,86%
6 01/24/2008 +1,20% +5,06% +1,01% +1,56%
7 03/18/2003 +0,48% +3,65% +0,42% +1,11%
8 10/11/2002 +4,56% +4,87% +3,91% +4,90%
9 08/15/2002 +1,42% +4,79% +1,15% +1,64%
10 07/25/2002 +1,13% +5,21% -0,56% +4,47%
11 01/04/2001 +0,18% +4,28% -1,06% +1,57%

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  • @QuantStratTradR Sorry, I didn't follow the entire communication. Link to what ? // @easyvolatility 4 years ago


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March 2009
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