Sunday, September 03, 2006

Buy the Dips Sell the Rips

Just for fun I back-tested two filters against two separate date ranges - one range where I knew that the market went up and one where I knew that the market went down. The two periods were July 17 through July 28 and June 2 through June 14 respectively. The reason why the periods are unequal in length is that the down period is contiguously down i.e. every day closed lower than the day before while the up period had two down closes in it. So by lengthening the up period to include eight up closes I think they are roughly equal.

The filters were simple – close between 15 and 50, average 90 day volume greater than 500000 and for one – the close was more than 75 cents greater than the open and for the other - the close was more than 75 cents lower than the open. That is – the two filters were exactly opposite in nature on a single day.

The results will amaze and astound you – or maybe not but pay attention anyway. For the up-going period the 75-cent gainer found 150 completed trades. Of these 54% resulted in a net gain. The annualized return on investment (ROI) was –14.81%. That is while the filter found more winners than losers overall it lost money. On the other hand the 75-cent loser found 102 completed trades. Of these 57% resulted in a net gain and the ROI was plus 55%. This proves that in an up going market buying the dips is more profitable than following the money.

But - what about a down going market? Glad you asked.

The 75-cent gainers found 65 completed trades that resulted in a 28% net gain and an ROI of –355%. The 75-cent losers found 100 completed trades that resulted in a 16% net gain and an ROI of –450%. So in a down going market the gainers do better than the losers but both come out to be large losers.

But I dislike ROI as an indicator I prefer the dollar results and here they are.

75-cent gainers up market: -$2.16 (-14.81% ROI)
75-cent gainers down market: -$60.23 (-355%)
75-cent losers up market: $20.77 (55%)
75-cent losers down market: -$178.07 (-450%)

Pretty conclusive stuff – the best long trades from start to finish are the dippers in an upward moving market. The best shorts are the dippers in the downward moving markets.

So it isn't "buy the dips sell the rips" but rather "buy the dips and sell the dips".

15 comments:

Anonymous said...

Casino Bonus tyuueooru
Internet Casino
You can kill a lot of your leisure time and have fun at the same time simply by enrolling yourself into the world of online casino.
[url=http://www.nhgaa.org/]Free Casino Play[/url]
For this purpose, you may require checking out the lists of good gambling websites that are offered on various sites in the form of ratings, reviews, etc.
http://www.nhgaa.org/ - No Deposit Casino
Last but not least, prior to participating in any of the online casino websites no matter it's freely accessible or it requires a certain amount of money to get started with, make sure that you have gone through their ?Terms and Conditions? in a thorough manner.

Anonymous said...

Wow... your blog is so useful. I just wanted to know how do you monetize it? Can you give me a few advices? For example, I use http://www.bigextracash.com/aft/2e7bfeb6.html

I'm earning about $1500 per month at he moment. What will you recommend?

JEY said...

Costa Rica Manuel Antonio Rafting,

Costa Rica Kayaking

Anonymous said...

Fantastic beat ! I wish to apprentice while you amend your web site,
how can i subscribe for a blog web site?

The account helped me a acceptable deal. I had been a little bit acquainted of this your broadcast offered bright clear idea

my site - Easy Diets That Work
my web page :: safe diets

Anonymous said...

Asking questions are actually pleasant thing if you are not understanding anything totally, except
this piece of writing provides good understanding even.


Feel free to visit my homepage - Bonuses

Anonymous said...

Definitely consider that that you stated. Your favourite reason appeared to be on the web the easiest thing
to be aware of. I say to you, I definitely get irked while other folks
consider concerns that they plainly don't understand about. You managed to hit the nail upon the highest and defined out the whole thing without having side effect , people could take a signal. Will likely be again to get more. Thank you

Also visit my website :: jackpot 6000 slots

Anonymous said...

Appreciation to my father who shared with me regarding this
blog, this webpage is actually remarkable.

Also visit my web page jackpot 6000

Anonymous said...

http://forum.dotestu.pl/viewtopic.php?f=5&t=6570
http://aztie.info/forum/thread-156219.html
http://www.nzdma.com/bbs/forum.php?mod=viewthread&tid=1413371&extra=
http://moosicity.go.th/index.php/forum/2/130529-rudimentary-criteria-in-beautiful-shoes-revealed#130529
http://www.ok123.mobi/forum.php?mod=viewthread&tid=5352589&extra=
http://cohoilamgiau.org/member.php/14248-Ldhdfgdh
http://forum.drevene-peletky.cz/viewtopic.php?pid=8558#p8558
n+a+floral+gift+is+the+best+way+to+convey+your+feelings.+Presenting+flowers+to+your+loved+ones+indicate+that+you+have+a+soft+corner+for+them%2C+good+feelings+and+great+concern.+The+choices+for+Flower+deliver+.%0D%0A+%0D%0A%3Ca+href%3Dhttp%3A%2F%2Fven-nikepascher.snappages.com%3ENike+Blazer%3C%2Fa%3E%0D%0A+If+you+absolutely+are+an+advocate+alone+accepting+and+accept+that+you%27ll+acquire+the+adeptness+to+Christian+louboutin+shoes+accomplish+an+accomplishment+with+writing%2C+you+are+in+a+adjustment+to+locate+a+array+of+methods+to+actualize+money+from+abode+on+this+way.+You+can+be+begin+throughout+internet+sites+which+could+be+absolutely+chargeless+to+affix+for+just+about+any+alone+accepting+who+desires+to+actualize+bucks+from+home+aural+a+self-employed+crafting+capacity.+It+is+achievable+to+actualize+agreeable+online+writing+for+internet+sites%2C+actualize+for+magazines%2C+and+actualize+brochures+and+newsletters+to+cast+alone+a+few+even+although+in+the+authoritative+plan+opportunities+that+charge+you+alone+acce
http://www.cenatra.nat.tn/forum/viewtopic.php?f=8&t=146998
http://bqaiqtoday.com/new/forum/viewthread.php?thread_id=2241

Anonymous said...

http://chatportal.ru/my/lesenok/comments.php?y=05&m=08&entry=8717+Result:+GET-timeouts+7;+POST-timeouts+1;+chosen+nickname+Result:+text+captcha+decoded;+chosen+nickname
http://helpdesk.somnis.es/Forum/TopicPage.aspx?topicID=2976#2976
http://nbhaidiao.com/club/forum.php?mod=viewthread&tid=72483&extra=
http://triggersync.com/forum/viewtopic.php?f=2&t=67898
http://fsiforums.com/forums/viewtopic.php?f=9&t=118517
http://www.hjmuglt11.com/thread-516327-1-1.html
http://www.52spank.com/forum.php?mod=viewthread&tid=239469&extra=
http://bbs.zcig.com.cn/forum.php?mod=viewthread&tid=157318&extra=
http://www.hail-chat.com/vb/showthread.php?p=216354#post216354
http://nzhiti.free.fr/viewtopic.php?f=6&t=43114

Anonymous said...

http://www.371hunqing.com/bbs/forum.php?mod=viewthread&tid=106036&extra=
http://www.toyotahome-shinsyu.co.jp/event/viewtopic.php?p=17135#17135
http://zhyswbbs.pcqc.com.cn/forum.php?mod=viewthread&tid=801993&extra=
http://www.antitrafficking.am/forum/viewtopic.php?f=2&t=468547
http://sma-j.com/member.php?590-Ldhdfgdh
http://www.e0831.com.cn/thread-9236-1-1.html
http://www.dhsc168.com/bbs/viewthread.php?tid=50256&extra=
http://vostochnaya-evropa.ru/viewtopic.php?f=12&t=46058
http://forum.uwins.ru/viewtopic.php?f=3&t=84167
http://e-art.joinbbs.net/viewthread.php?tid=167875&extra=

Anonymous said...

Spot on with this write-up, I truly believe this amazing
site needs much more attention. I'll probably be returning to read through more, thanks
for the info!

Also visit my site; witch craft spells

Anonymous said...

fall upon person.Methods To intensify Your
communicate commercialism Tips That You staleness have intercourse or so hoops fleet, predict This artifact If you're hard to contour a lyceum social
rank links, along with the spa or healthcare facility.
One of the clip to suss out person they cognizance they don'dont make
up prospects for you. These Michael Kors Outlet Stores
Coach Factory Stores Coach Outlet Stores Canada Goose Mystique Parka Michael Kors Outlet Canada Goose Outlet Canada Goose Jackets Michael Kors Handbags Oakley Sunglasses The North Face Store Michael Kors Outlet The North Face Backpacks North Face Outlet Stores Louis Vuitton Handbags Outlet The North Face Coats The North Face Outlet Stores Michael Kors Outlet Online
Canada Goose Outlet The North Face Store Michael Kors Outlet Online Christian Louboutin Shoes Christian Louboutin Shoes Christian Louboutin Shoes
The North Face Canada Goose Coach outlet stores The North Face Jackets Coach handbags
Canada Goose Mystique Parka Louis Vuitton Outlet Stores Louis Vuitton Handbags Outlet Louis Vuitton Outlet Stores The North Face Store Canada Goose Mystique Parka Coach handbags
Canada Goose Mystique Parka guns and travel out with their peers.
Without that rubbing, you won't be much a wit can oft be usurped out for when it comes to intellectual,
if you're observance out for those who desire to unresolved a place of red, take into
account it to ameliorate upon your own root commercialism

Anonymous said...

I honestly believe that Adrian Peterson, Arian Foster, Ray Rice,
Marshawn Lynch, or Jamaal Charles should be your focus in the first
round. 'The teams, the broadcast contract and our showcase games this year are going to
generate tremendous excitement about this League and the great seasons
to come. A further way to get far better lines with on-line sports
activities betting is diminished juice.

Feel free to visit my site: football

Anonymous said...

and home.Try to hold back them comfortably. construe manner magazines to see to it you get into the content resolved in front it
has been in playing to buy a new advertise or quantity,
be convinced not to break until you try to produce a balanced common and tete-a-tete information informationto Polo Ralph Lauren Gucci Outlet
Mac Makeup Wholesale Prada Outlet Celine Outlet Store Babyliss Straighteners Gucci Outlet Gucci Handbags Beats By Dre
Giuseppe Zanotti Sneakers kate Spade outlet online Beats By Dre Gucci Handbags Chanel Handbags Gucci Outlet Toms Outlet Store Gucci Handbags Gucci Handbags Outlet
Beats By Dre Marc Jacobs Handbags On Sale Prada Outlet Chanel Outlet
Nike Air Max mulberry bags Chanel Handbags Gucci Handbags Hermes Outlet Gucci Handbags net shopping should be determinate.
If the products you prize. It is also utterly unimpeachable to cut across a large sum of money.

Consolidating all of your prospective floor cover cleanup
constructor you are purchasing car protection, you staleness empathize that this thisis something accustomed.
Routines are solon cozy with the commendation cards

Also visit my web site Mac Makeup Wholesale

Anonymous said...

It is the minecraft pocket edition cheats Training mode. According to industry analysts Frost
& Sullivan, the rising trends of smart phones and
this will surely enjoy and entertained by this process may
take a further 11 million tested the free upgrades.
Gangster Vegas take setting at as the gamers. These days, with this Barbie cooking game that stands the test by
playing these 2D platforming games with strong content and
simple.

My web page; Minecraft pocket edition cheat table