Performance After A Gap And Go Day

Cobra

One test I ran tonight looked at performance following a day when the market gapped up at least 1% and then tacked on another 1% from open to close. The first table below shows the results for the QQQQ:

Results here are quite negative.

Next I looked at the SPY:

Here results were more mixed with the max loss accounting for all of the losses in most time periods.

I also looked to see how often the gap up got filled when the market was trading below its 200 day moving average. For the Nasdaq 55% of the time the gap was filled within 5 days and 74% of the time within 10 days. For the S&P the results again were not nearly as negative. Only 41% were filled within 5 days and 55% within 10 days.

A partial retracement of today’s move at some point seems likely. It may or may not be a few days before that begins, though.

will

 

oldfrog

蛇老大说干就干，开始做Datamining了？

Cobra

不是俺，俺还没时间做呢。Engine是有，懒得碰。

Cobra

既然有人做，那干啥子自己那么累，转帖就是，自己还可以给自己发钻石，嘿嘿。

oldfrog

蛇老大日理万机，以前就建议过蛇老大找个秘书，就 liuyifei 吧。

oldfrog would volunteer if I was not too old, too ugly and too male. 

原帖由 Cobra 于 2008-4-17 10:50 发表 不是俺，俺还没时间做呢。Engine是有，懒得碰。

Cobra

是挺忙的。我需要点时间想想我要怎么样组织我的Engine，这样可以一劳永逸。