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Strategies & Market Trends : Technical analysis for shorts & longs
SPY 693.87-0.2%4:00 PM EST
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To: Lachesis Atropos who wrote (38691)12/31/2002 6:32:21 AM
From: Johnny Canuck  Read Replies (1) of 69720
 
It might be easier to simplify the presentation. From
memory, the site had 8 columns.

Extent Odds Duration Odds Extent odds Duration Odds
of Up of up of down of down
Trend trend trend trend
------ --- ----- ---- ------- ---- ------- ----
1.00% 7:1 1 day 5:1 -1.00% 7:1 1 day 6:1


The odds are for a continuation given the condition.
Rather than calculate all the probabilities for small
increments, one mulitples the probabilites together
for the extent and duration to get the probability
of a continuation given the two conditions ie....

down 15 percent in 3 day.

I would use 1/2 percent increments for the extent and only
go up to 20/25 percent. Larger moves than 20/25 percent
are just not sustainable. Similar only stats for
34 days for duration, essentially one options cycle is
required.
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