Closing Price in Relation to the Day’s Range, and Equity Index Mean Reversion
The location of the closing price within the day’s range is a surprisingly powerful predictor of next-day returns for equity indices. The closing price in relation to the day’s range (or CRTDR [UPDATE: as reader Jan mentioned in the comments, there…
The Predictive Value of the Number and Magnitude of Recent Up/Down Days: UDIDSRI
Rummaging through my bottomless “TO DO” list, I found this little comment: # of up/dn days in period, then re-scale that using percentrank….with net % move? An interesting way to spend Sunday afternoon, and another blog post! After playing around…
Tuesday’s QQQ Move and Equity Index Mean Reversion Worldwide
Tuesday saw QQQ drop somewhat heavily, and for the third day in a row. These three drops took us back to mid-August levels, blowing through a ton of support levels… My mean reversion senses are tingling! So, let’s take a look…
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