STAT244.Lecture.01 4

STAT244.Lecture.01 4 - x % further before it moves down by...

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
Filter Rule: (Alexander, 1961, 1964, IMR) I x % Filter I If a daily closing price moves up at least x %, buy and hold until its price moves down at least x % from a subsequent high, sell and go short. Maintain the short position until the price rises at least x % above a subsequent low, buy. Moves less than x % in either direction are ignored. I Fact I If the price moved up x %, it is likely to move up more than
Background image of page 1
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: x % further before it moves down by x %; thus RW is not upheld by data. I Bias in the results; because of price jumps, purchase price > low + x % and sale price < high-x %. I After adjusting for dividends/commissions, prots are much lower. Largest prots under the lter rule are those of the broker....
View Full Document

This note was uploaded on 10/16/2010 for the course STAT 244 taught by Professor Dr.velu during the Summer '10 term at Stanford.

Ask a homework question - tutors are online