Chip the formula I have used for the 3 day buy wiggle is the following (this is EPSL but it is straightforward, i is the day 3)
(bar(eclose,i-2)>bar(eopen,i-2))
and (bar(eclose,i-2)> bar(elow,i-2)+(bar(ehigh,i-2)-bar(elow,i-2))*0.80)
and (bar(ehigh,i-1)>bar(ehigh,i-2))
and (bar(elow,i-1)>bar(elow,i-2))
and (bar(eclose,i-1)<bar(eclose,i-2))
and (bar(elow,i)<bar(elow,i-1))
and (bar(eclose,i)>bar(eopen,i))
and (bar(eclose,i)>bar(ehigh,i-2))
So I think it matches 1) 2) 3)
One may be more restrictive by asking inequalities to be sharper : something like day 2 closes lower than first day close minus some percentage of the range. But I'm not sure it will change the global picture.
So what do you think about this pattern now, Do you see some winning strategy (not too much over adapted to data) ?
If yes tell me I will be please to change my mind and to test it on a larger basket like SP500.
As for the case where the pattern is not completed after 3 days it is not considered in the scan. I'm not sure how one have to split things just allowing day 3 to take place from day 3 to to day 5 or 7 or allowing also day 1 and day 2 to take place in more than one day. Once More it seems to me that the 3 day buy wiggle has first to prove itself relevant to consider this refinement.
FWIW here is a scan of 3 day sell wiggle on DOW 30 basket :
AA 16/11/98 4,13% 1,31% 3,15 2 Day high
AA 08/01/98 -2,57% 4,51% -0,57 40 Day high
AA 09/11/94 2,76% 1,24% 2,22 4 Day high
AA 01/10/92 -1,34% 4,38% -0,30 2 Day high
AA 23/06/92 3,58% 0,86% 4,16 2 Day high
AXP 28/04/00 1,25% 6,79% 0,18 49 Day high
BA 17/12/99 8,16% 1,16% 7,06 2 Day high
BA 01/02/99 9,36% 0,93% 10,11 2 Day high
BA 17/06/96 7,22% 0,61% 11,93 2 Day high
BA 02/08/95 1,13% 1,53% 0,74 888 Day high
BA 22/04/94 2,86% -0,57% -5,03 5 Day high
C 19/04/99 6,19% -1,14% -5,45 181 Day high
C 08/05/98 5,03% -0,52% -9,65 2 Day high
C 31/12/92 3,23% 0,65% 4,97 4 Day high
C 07/07/92 6,34% 0,99% 6,44 39 Day high
C 02/06/92 1,97% 2,53% 0,78 2 Day high
CAT 04/03/97 4,48% -0,32% -14,0 2 Day high
CAT 25/07/96 4,87% -0,19% -25,0 2 Day high
CAT 28/02/96 0,18% 3,44% 0,05 154 Day high
CAT 04/08/95 -1,30% 7,83% -0,17 2 Day high
CAT 08/11/94 1,97% 2,00% 0,98 2 Day high
DD 04/08/98 4,12% 4,40% 0,93 7 Day high
DD 26/05/98 1,18% 6,27% 0,19 2 Day high
DD 21/05/98 1,15% 5,84% 0,20 2 Day high
DD 30/09/93 0,54% 2,20% 0,24 4 Day high
DD 31/12/92 3,18% 2,17% 1,47 3 Day high
DIS 04/01/99 19,24% -0,42% -45,6 2 Day high
DIS 01/11/96 5,34% 0,19% 27,95 2 Day high
DIS 27/01/94 1,34% 0,81% 1,65 11 Day high
DIS 16/06/92 0,00% 5,42% 0,00 3 Day high
EK 27/01/99 3,29% 3,71% 0,89 2 Day high
EK 25/01/99 1,63% 4,31% 0,38 3 Day high
EK 20/12/95 3,23% -0,19% -17,0 4 Day high
EK 04/11/94 0,27% 3,87% 0,07 3 Day high
EK 26/10/94 2,89% 0,53% 5,47 3 Day high
GE 11/02/00 2,80% 7,05% 0,40 2 Day high
GE 08/04/98 0,80% 1,55% 0,52 153 Day high
GE 04/05/93 5,01% 1,13% 4,45 2 Day high
GE 23/10/92 2,47% 0,00% 10000 2 Day high
GE 07/07/92 2,30% 0,66% 3,48 2 Day high
GM 24/01/00 3,84% 3,40% 1,13 2 Day high
GM 11/06/99 1,08% 3,55% 0,30 2 Day high
GM 09/04/99 5,62% 1,41% 4,00 44 Day high
GM 23/10/98 4,77% 1,37% 3,49 37 Day high
GM 30/04/98 3,71% 0,94% 3,96 2 Day high
GM 23/07/96 0,78% 4,64% 0,17 6 Day high
GM 17/10/94 0,54% 15,84% 0,03 10 Day high
GM 02/09/94 4,24% 0,75% 5,62 20 Day high
GM 29/03/94 4,91% 7,69% 0,64 2 Day high
HD 27/09/99 8,06% 1,15% 7,00 3 Day high
HD 15/07/96 8,93% 2,08% 4,29 2 Day high
HD 14/06/94 2,62% 2,69% 0,97 2 Day high
HON 12/08/99 2,72% 1,53% 1,77 2 Day high
HON 17/02/99 3,29% 0,45% 7,30 24 Day high
HON 25/08/97 0,73% 3,80% 0,19 4 Day high
HON 12/08/97 -1,81% 8,28% -0,22 7 Day high
HON 10/06/96 2,48% 0,68% 3,64 6 Day high
HON 04/08/95 0,27% 2,54% 0,11 864 Day high
HON 10/03/94 1,47% 0,33% 4,49 9 Day high
HWP 30/11/99 15,42% -0,20% -78,1 43 Day high
HWP 09/04/97 -1,94% 6,46% -0,30 4 Day high
HWP 19/04/93 2,05% 6,16% 0,33 2 Day high
IBM 11/02/00 1,52% 3,48% 0,44 10 Day high
IBM 15/11/99 14,68% 1,55% 9,46 8 Day high
IBM 15/09/99 -1,37% 6,62% -0,21 39 Day high
IBM 06/05/99 17,56% -0,86% -20,4 5 Day high
IBM 04/09/98 8,17% 1,00% 8,13 2 Day high
IBM 25/08/97 -0,83% 4,48% -0,19 10 Day high
IBM 02/10/95 1,47% 1,63% 0,90 3 Day high
IBM 02/08/95 2,21% 1,78% 1,24 868 Day high
IBM 12/08/94 6,86% 0,00% 10000 39 Day high
IBM 28/12/93 1,93% 2,64% 0,73 3 Day high
IBM 17/03/93 0,23% 7,13% 0,03 2 Day high
IP 11/02/00 2,05% 8,07% 0,25 2 Day high
IP 18/02/93 1,96% 1,59% 1,23 2 Day high
IP 13/08/92 2,23% -0,40% -5,52 2 Day high
IP 11/08/92 1,00% 2,87% 0,35 2 Day high
JNJ 12/01/00 0,20% 3,82% 0,05 9 Day high
JNJ 17/06/96 -0,77% 2,63% -0,29 108 Day high
JNJ 20/11/95 2,09% -0,15% -14,0 942 Day high
JPM 09/11/99 5,57% 2,33% 2,39 3 Day high
JPM 04/08/99 2,06% 4,09% 0,50 2 Day high
JPM 26/02/99 2,80% 0,85% 3,31 62 Day high
JPM 08/02/99 11,08% 2,06% 5,39 3 Day high
JPM 06/05/98 1,98% 1,87% 1,06 6 Day high
JPM 28/06/96 2,81% 4,48% 0,63 2 Day high
JPM 22/09/94 1,25% 0,63% 1,99 2 Day high
JPM 08/02/94 1,83% 0,18% 9,98 2 Day high
KO 15/06/98 2,60% 2,01% 1,29 2 Day high
KO 09/07/97 2,16% 0,54% 3,98 10 Day high
KO 25/06/97 2,16% 2,96% 0,73 2 Day high
KO 28/02/96 3,53% 1,56% 2,26 103 Day high
KO 07/07/95 2,96% -0,20% -15,0 2 Day high
KO 20/09/93 0,58% 1,18% 0,49 2 Day high
KO 22/01/93 3,35% 0,00% 10000 2 Day high
KO 27/11/92 -1,55% 4,19% -0,37 4 Day high
KO 12/06/92 -0,59% 8,68% -0,07 2 Day high
MCD 24/08/98 1,15% 16,85% 0,07 14 Day high
MCD 15/06/98 6,87% 0,10% 69,93 2 Day high
MCD 19/08/97 0,50% 2,84% 0,18 5 Day high
MCD 09/05/96 1,33% 0,00% 10000 3 Day high
MCD 23/02/94 2,28% 1,05% 2,18 508 Day high
MMM 14/07/99 2,27% 0,43% 5,31 2 Day high
MMM 31/12/97 2,74% 0,38% 7,17 2 Day high
MMM 01/07/97 2,36% 1,26% 1,88 5 Day high
MMM 21/06/94 0,74% 2,02% 0,37 68 Day high
MMM 21/08/92 -0,38% 1,54% -0,25 2 Day high
MO 18/04/00 7,85% 0,61% 12,92 2 Day high
MO 06/03/00 0,00% 4,26% 0,00 6 Day high
MO 14/12/98 3,62% -0,24% -15,0 2 Day high
MRK 11/08/99 6,67% -0,10% -65,0 2 Day high
MRK 18/05/99 2,76% 12,28% 0,22 2 Day high
MRK 23/03/99 -0,60% 3,27% -0,18 206 Day high
MRK 09/07/98 4,88% 1,00% 4,86 159 Day high
MRK 21/08/92 0,49% 3,84% 0,13 2 Day high
MRK 05/06/92 -0,25% 3,40% -0,07 2 Day high
PG 19/04/99 4,56% 5,29% 0,86 2 Day high
PG 08/04/98 -0,07% 5,02% -0,01 2 Day high
PG 25/06/97 4,04% 0,28% 14,63 2 Day high
PG 25/03/97 0,62% 6,18% 0,10 2 Day high
PG 12/12/96 3,46% 1,95% 1,78 5 Day high
PG 27/02/96 5,42% 2,31% 2,35 2 Day high
PG 04/01/95 -0,40% 2,06% -0,20 2 Day high
PG 30/07/93 -0,26% 3,45% -0,07 4 Day high
SBC 27/08/98 2,92% 10,00% 0,29 15 Day high
SBC 20/05/96 2,28% 0,51% 4,48 2 Day high
SBC 28/02/96 1,60% 2,10% 0,76 7 Day high
SBC 02/06/92 1,88% 0,42% 4,48 2 Day high
T 24/01/00 4,46% 5,21% 0,86 2 Day high
T 19/03/97 2,86% 2,56% 1,11 3 Day high
T 28/10/96 -0,35% 7,52% -0,05 2 Day high
T 09/02/96 2,26% 1,14% 1,98 24 Day high
T 20/12/95 1,34% 1,56% 0,86 2 Day high
T 11/04/95 -0,24% 4,30% -0,06 2 Day high
T 29/03/95 0,72% 0,97% 0,74 4 Day high
UTX 03/01/94 6,67% 3,45% 1,93 26 Day high
WMT 15/02/96 4,07% 6,83% 0,60 22 Day high
WMT 24/05/95 3,65% 1,59% 2,30 2 Day high
WMT 31/12/92 -1,76% 8,70% -0,20 5 Day high
WMT 21/08/92 0,22% 1,54% 0,14 124 Day high
XOM 14/04/00 1,43% 5,00% 0,29 3 Day high
XOM 02/09/98 8,89% 3,23% 2,75 2 Day high
XOM 14/09/94 2,55% 1,73% 1,47 2 Day high
XOM 28/02/94 1,93% 0,78% 2,48 3 Day high
XOM 01/07/93 -0,77% 2,16% -0,36 7 Day high
XOM 04/05/93 -0,19% 3,35% -0,06 2 Day high
INTC 09/04/97 -3,51% 10,92% -0,32 17 Day high
INTC 06/04/95 11,11% 0,59% 18,89 4 Day high
INTC 17/11/93 1,91% 4,67% 0,41 2 Day high
MSFT 24/09/97 1,51% 0,86% 1,76 3 Day high
MSFT 12/12/96 4,78% 6,06% 0,79 121 Day high
MSFT 25/03/96 3,25% 1,14% 2,86 2 Day high
MSFT 14/12/95 2,39% 3,95% 0,61 19 Day high
MSFT 21/03/94 5,11% 1,22% 4,20 30 Day high
MSFT 02/04/92 3,40% 3,56% 0,95 2 Day high |
