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  1. #1
    Quote Originally Posted by PeterR View Post
    I discovered an error in my script, that calculates the future returns.

    Here are the corrected numbers:

    Attachment 36386
    (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.
    This means that we now count on you to post updates regarding this trendline break.


    Pascal

  2. #2
    Quote Originally Posted by Pascal View Post
    This means that we now count on you to post updates regarding this trendline break.
    ok will do :)

  3. #3

    160613 EoD

    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.

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  4. #4

    160624 EoD

    even during the BREXIT event,
    the pattern of the strongest selling during overnight continuous.
    A more or less flat RTH.

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  5. #5

    160705 EoD

    a little selling RTH

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  6. #6

    190719 EoD

    another RTH buying session.

    and the ON selling trend might turn up.

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  7. #7

    160803 EoD

    a RTH buying session.

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    ----
    something else:

    I came across this article by Michael Ashton.
    https://mikeashton.wordpress.com/201...r-less-mester/

    He contrasts value, momentum and carry as drivers for equities.
    As a metric he introduces 10y yield - 3month libor spread to show the carry as a factor.

    I reproduced it as a ratio (not the right spreads on stockchart)

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    according to this, carry is not a strong factor currently.
    ... or carry has less impact on (long) positions
    Last edited by PeterR; 08-05-2016 at 01:59 AM.

  8. #8

    160610 EoD

    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.)

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  9. #9

    160623 EoD

    some buying rth
    before the strong selling during BREXIT.

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  10. #10

    160701 EoD

    a 4th RTH buying session.

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