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Strategies & Market Trends : DAYTRADING Fundamentals -- Ignore unavailable to you. Want to Upgrade?

To: TraderAlan who wrote (16912)	9/24/2003 11:20:47 AM
From: hypostomus	Respond to of 18137

Alan - I don't think there was any real periodicity in it. Ten days was just a rough average of maybe 8-12 days between four zero profit crossings. Event correlation? Bin Laden videos? Suicide bombers? Israeli air strikes? Easy to find anything you want. Maybe we could resurrect the DARPA-watch idea ("anti-American short sellers, DARPA says the increase in the weekend effect drawdown indicates it's OK to start holding over the weekend"). Also, the flaky thing about modeling this so-called effect is when to assume evil short sellers buy and sell. I assumed they would start buying the Friday open and finish selling by the Monday close, but who knows. Given that your book is undoubtedly coded into all the big boys' computers, maybe they wait for the morning countertrend to exhaust itself. The results are not good if you assume they buy near the close Monday and sell at the open Monday. If you were a fraidy-cat unpatriotic short seller, what would you do? If you use E-Signal I'll send you the code and you can look at it yourself. Maybe you could optimize it with one of those fast astro-cycles. What's interesting is that it is robust enough not to steadily decline bucking $5 commish and $7 slippage. My experience backtesting random entry (without money management) is that very rarely will you get a sequence which is more than slightly profitable, so there is some slight profitable bias here. Will go away soon, no doubt. Probably is already going away, since from 2000 to 2002 it was a real money maker, about $36K per contract (NOW you tell us!). But you might not have had the nerve to trade it then based on the wild swings in 1999. Best regards. - Mike