Comments on: Rollercoaster ride w/the S&P 500 http://www.tradingtheodds.com/2009/03/rollercoaster-ride-wthe-sp-500/ A quantitative approach to profit in the US equity and futures markets, trading the markets like professional card counters are playing Blackjack or expert poker players are playing Poker. The key is to have the odds on your side and bet accordingly, knowing what, when, where, why and how much you bet on each trade or wager. Mon, 06 Sep 2010 14:46:22 +0000 hourly 1 http://wordpress.org/?v=3.0.1 By: Frank http://www.tradingtheodds.com/2009/03/rollercoaster-ride-wthe-sp-500/comment-page-/#comment-2352 Frank Thu, 26 Mar 2009 07:18:50 +0000 http://tradingtheodds.wordpress.com/?p=145#comment-2352 Aesus, this setup seems to be typical for bear markets (all occurrences between 2001 and 2003, and in 2008). In order to check its -if any- statistical validity (as already mentioned 10 occurrences is a way too small sample size to read anything into it) I posted a Follow Up ... Best, Frank Aesus,

this setup seems to be typical for bear markets (all occurrences between 2001 and 2003, and in 2008). In order to check its -if any- statistical validity (as already mentioned 10 occurrences is a way too small sample size to read anything into it) I posted a Follow Up …

Best,
Frank

]]> By: moneyfriend http://www.tradingtheodds.com/2009/03/rollercoaster-ride-wthe-sp-500/comment-page-1/#comment-2351 moneyfriend Thu, 26 Mar 2009 01:33:54 +0000 http://tradingtheodds.wordpress.com/?p=145#comment-2351 Thanks so much for sharing! Congrats on your new blog! Thanks so much for sharing! Congrats on your new blog!

]]> By: Aesus http://www.tradingtheodds.com/2009/03/rollercoaster-ride-wthe-sp-500/comment-page-1/#comment-2350 Aesus Thu, 26 Mar 2009 01:07:38 +0000 http://tradingtheodds.wordpress.com/?p=145#comment-2350 First of all, great blog. I am a numbers nerd and love crunching but On this data set, the lack of samples, as you mentioned, is troubling. Truly robust samples are well over 100 no? Also, 50% of the available data points happened in one year which could point to a shift in how this data set behaves. Finally, as the closes were almost evenly split, looks like flipping a coin might be just as predictive? Perhaps it might be useful to look at the standard deviation of the changes on the day after the ATR spikes and compare them to the previous 20 days or so? Then, look at the same for the day the ATR spiked and see if there is anything correlative there? Just a thought. With such a small data set, I would find the results to be statistically not correlative. First of all, great blog. I am a numbers nerd and love crunching but
On this data set, the lack of samples, as you mentioned, is troubling. Truly robust samples are well over 100 no?
Also, 50% of the available data points happened in one year which could point to a shift in how this data set behaves.
Finally, as the closes were almost evenly split, looks like flipping a coin might be just as predictive?
Perhaps it might be useful to look at the standard deviation of the changes on the day after the ATR spikes and compare them to the previous 20 days or so? Then, look at the same for the day the ATR spiked and see if there is anything correlative there? Just a thought.
With such a small data set, I would find the results to be statistically not correlative.

]]> By: Renee Ann http://www.tradingtheodds.com/2009/03/rollercoaster-ride-wthe-sp-500/comment-page-1/#comment-2349 Renee Ann Wed, 25 Mar 2009 23:52:36 +0000 http://tradingtheodds.wordpress.com/?p=145#comment-2349 Great post. This is my first day to read your blog and I look forward to more. : ) I subscribed to your RSS. Great post. This is my first day to read your blog and I look forward to more. : ) I subscribed to your RSS.

]]> By: Tahir Ahmed http://www.tradingtheodds.com/2009/03/rollercoaster-ride-wthe-sp-500/comment-page-1/#comment-2348 Tahir Ahmed Wed, 25 Mar 2009 23:13:09 +0000 http://tradingtheodds.wordpress.com/?p=145#comment-2348 Great analysis, Thanks Frank! Great analysis, Thanks Frank!

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