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Strategies & Market Trends : Predictions + Projections
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To: MechanicalMethod who wrote (17)1/23/2002 7:28:32 AM
From: Steve Lee  Read Replies (1) of 26
 
To work out the variance, I took the QQQ data for the last 3 years and removed the 75 (approx 10% of data points)outliers at each extreme. This resulted in a min variance of 1.05% and a max of 3.34%. I used the same variances for calculating the highs and lows.

I would have just used a year's data, but I already had the 3 yr data sitting nicely formatted to do the job quickly.

The signal is based purely on the most recent 2 bars.

Not sure that anything more sophisticated would be any better (apart from a little tuning of numbers of outliers and adjusting for volatility).

I think in the main the predicted bar will allow educated intraday trades if the actual fits the prediction, and will notify you of a change in trend if it doesn't.
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