Thursday, April 28, 2016

A Unified Field Theory of Price & Volume...04.28.16

Well, it's a work in progress.  The recent TLT Perspectives posts on the ATR have gotten me into a major new research project with very encouraging results so far.  These are high odds trades using the daily volatility metrics of open/close, ATR and previous close to current low.
Turns out there may be some very actionable signals derived from looking at the standard deviation of those metrics.
The top 2 studies look at the PCL trend in TLT and QQQ. and highlight potential short signals that can be derived from upward penetration of the standard deviation band with a 38% retracement before a subsequent penetration.
The Lowest study (SPY) demonstrates that we can derive both short and long signals based on the PCL's cross of a .9% trend line if that line has retraced back to the .65% level before beginning a new leg up.
What we're showing here is of course premature for commitment of capital and the whole idea needs to be converted to a more empirically benchmarked and tracked platform. Once in a more controlled analytical mode I suspect that optimizing the standard deviation and retracement values for a specific ETF or stock input will produce a whole new persspective for evaluating market opportunities.

 Finally, a long/short SPY model