Pierre Brodeur
07-23-2011, 10:56 AM
Whereas volatility declined in sync in absolute terms for both IWM and GDX Friday, I wonder why the algo for GDX is so generous for new entries this monday morning. Without revealing your proprietary secrets, perhaps a special comment would be appropriate on this specific robot.
Friday, the entry price was $58.95, about a buck below the previous day closing price of $60.05 for an expected return of 19.29% (my calculation)
This monday morning, the entry price is $60.73 vs a closing price of $60.76 a 3 cents difference = just get in for a lower E(r) of 17.64%. I am trying to understand the rationale here
TY
Pierre Brodeur
Pascal: Bonne vacances; c'est bien merite...!
Friday, the entry price was $58.95, about a buck below the previous day closing price of $60.05 for an expected return of 19.29% (my calculation)
This monday morning, the entry price is $60.73 vs a closing price of $60.76 a 3 cents difference = just get in for a lower E(r) of 17.64%. I am trying to understand the rationale here
TY
Pierre Brodeur
Pascal: Bonne vacances; c'est bien merite...!