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trading the tail
When I worked in Hong Kong, I knew of a trader that only traded the overlap or shadow from the end of one day session into the early part of the next. He made a few points every day on the Hang Seng.
Shaun's method reminded me of that, so I hope he does not mind that I have done some stats on cable to show the probabilities if you automate an entry order at the New York close. It is possible to fine-tune for each market to increase accuracy and profitability.
My recommendations are given below. By increasing gain:loss from 1:1 to 1.5:1, monthly ROCE will rise from 80% to 377% on a theoretical 50:50 win:lose performance. If anyone is interested, I can publish the performance projections.
Tony Gold
Last edited by terton; 08-18-2007 at 06:16 AM..
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