3 replies to this topic

[danzman]

Everyone always talks about WWW as if it's predictive of something. Clearly it's not...oh wait it is. If Tuesday's close before WWW is > last Wednesday's close AND my COT work is bearish THEN I sell short Wednesday morning and cover the close 72% winners out of 32 trades since 1997. The profit factor was a big 5.65 with commission and slippage factored in. Without my COT stuff, the profit factor is only 1.3 This ought to be interesting. D

[danzman]

As a follow-up. If it's also futures expiration (h,m,u,z) then there are 80% winners out of 10. The profit factor is 26.01 since the avg profit is 5x the avg loss. That's pretty insane. Too bad the longs don't have this kind of edge (there's a good edge doing the opposite, just not in the same league as shorting).

[spratman]

As a follow-up. If it's also futures expiration (h,m,u,z) then
there are 80% winners out of 10. The profit factor is 26.01
since the avg profit is 5x the avg loss. That's pretty insane.

Too bad the longs don't have this kind of edge (there's a good
edge doing the opposite, just not in the same league as
shorting).

Not quite the close but none the less... SWEET!

Best,
Spratman

[danzman]

As a follow-up. If it's also futures expiration (h,m,u,z) then
there are 80% winners out of 10. The profit factor is 26.01
since the avg profit is 5x the avg loss. That's pretty insane.

Too bad the longs don't have this kind of edge (there's a good
edge doing the opposite, just not in the same league as
shorting).

Not quite the close but none the less... SWEET!

Best,
Spratman

I would be surprised if next week is higher than today's close. If it is,
there's yet another edge selling short the week of op ex. There's also
a slight edge to buy next Monday's open and sell the close if Friday
is a strong up day. I love trading based on stats.

D