I discovered an error in my script, that calculates the future returns.
Here are the corrected numbers:
(mean returns for the selected days of a TLB incl. correction for a small baseline drift up)
Conclusions:
1.
Pascal's idea to use a trend-line break as an exit signal and even a short becomes more valid.
2.
Don't trust my coding skills or spelling :) .
Thank you for this new data Peter.Originally Posted by PeterR
This means that we now count on you to post updates regarding this trendline break.
Pascal
ok will do :)
We are at the steeper trend line.
We had two days of RTH- selling.
What are practical conclusions from this ?
I would say, if one is in a short from some intraday pattern, it would be ok to hold short overnight.
Betting that the weakness in Asia or Europe continues.
For longer-term long positions this is not enough to close them IMO.
even during the BREXIT event,
the pattern of the strongest selling during overnight continuous.
A more or less flat RTH.
a little selling RTH
another RTH buying session.
and the ON selling trend might turn up.
The gap down, caused in Asia and Europe , makes today look severe on a normal chart (upper panel).
On the RTH-only chart it is barely visible.
(I made the scale bigger to see the details better.)
some buying rth
before the strong selling during BREXIT.
a 4th RTH buying session.
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