Q: Thank you very much for your recent posts on market type. This is amazing stuff! I’ve applied the revised definition to my trading systems.
The systems have become much more robust (and profitable). Though I’ve got one question regarding your statistics. You wrote about historic percent change for the various market types (SQN100). Did you measure open to close percent change or close to close percent change? I can’t reproduce it as I don’t have S&P data going back that far. Thanks for your feedback.
A: The S&P data that I have is taken from Yahoo!. However, I couldn’t do the stats that I do without help from Leo (from XLQ).
The change is the close to close change. However, we do measure the range in the ATR%, which is over 20 days.
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