{"id":28670,"date":"2013-07-10T15:40:36","date_gmt":"2013-07-10T19:40:36","guid":{"rendered":"http:\/\/www.smbtraining.com\/blog\/?p=28670"},"modified":"2023-04-04T19:23:29","modified_gmt":"2023-04-04T23:23:29","slug":"a-quant-test-on-a-trading-thesis","status":"publish","type":"post","link":"https:\/\/www.smbtraining.com\/blog\/a-quant-test-on-a-trading-thesis","title":{"rendered":"A Quant Test on a Trading Thesis"},"content":{"rendered":"
\n
\n

Hi Mike,<\/p>\n<\/div>\n

I was halfway through typing my question when I remembered a blog post similar to my original question: http:\/\/www.smbtraining.com\/blog\/how-do-you-determine-how-far-stock-can-move<\/a><\/p><\/blockquote>\n<\/div>\n

I was wondering if you’ve found any statistical information by back-testing the above since then. For me personally, I first find important support\/resistance levels on a stock & after that do I then consider the likelihood of those support\/resistance levels coming into play (intraday) based on the stock’s ATR, gap %, and relative volume. It has been my experience (which is hardly a statistically sound statement) that if a stock is gaping at least 10% with “good” volume, it tends to see an intraday range of 2.5-3X its ATR prior <\/i>to the news catalyst\/gap. I would just like to hear your thoughts as well as to see about how you could back-test this in a meaningful way.<\/p><\/blockquote>\n

\n

@mikebellafiore\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 <\/strong><\/p>\n

I asked one of our quants for help here and this was his response:<\/p>\n

\n
Support and resistance levels are a great project. It’s relatively easy to define things like high and low of a day or high and low of first x-period (15min, 30min, hour, etc.) or 20-day highs\/lows. It’s more difficult to systematically define whether those are actual important tested support or resistance areas from a given day’s trading.<\/div>\n
{<\/div>\n
Test<\/strong><\/div>\n
I could look for stocks that gapped 10% and had relative volume > 2 by say 10am and then look at the percentages of those that moved x-atr’s by the close.<\/div>\n
So the output would look like this:<\/strong><\/div>\n
during the last 20-days there were 200 occasions where stocks fit your criteria. Of those 70% moved 2atr’s from 10am to the close, 20% moved 4atr’s.<\/div>\n<\/blockquote>\n

You can be better tomorrow than you are today!<\/p>\n

Mike Bellafiore<\/p>\n

The PlayBook<\/a><\/em><\/p>\n

One Good Trade<\/a><\/em><\/p>\n

\"\"<\/a><\/p>\n

No relevant positions<\/p>\n","protected":false},"excerpt":{"rendered":"

Hi Mike, I was halfway through typing my question when I remembered a blog post similar to my original question: http:\/\/www.smbtraining.com\/blog\/how-do-you-determine-how-far-stock-can-move I was wondering if you’ve found any statistical information by back-testing the above since then. For me personally, I first find important support\/resistance levels on a stock & after that do I then consider the likelihood of those support\/resistance … Read More<\/a><\/p>\n","protected":false},"author":144,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[2444,2449,4703,2448,1589,2451,4706,4707,733,1718,649,653,38,2445,1989,4712,4690,1888,207],"class_list":["post-28670","post","type-post","status-publish","format-standard","hentry","category-general-comments-2","tag-daytrading","tag-how-to-be-a-day-trader","tag-learn-trading","tag-prop-trade","tag-quant","tag-stock-market-course","tag-stock-trading-education","tag-stock-training","tag-test","tag-the-playbook","tag-thesis","tag-trader-training","tag-trading","tag-trading-careers","tag-trading-course","tag-trading-courses","tag-trading-education","tag-trading-school","tag-trading-stocks","no-post-thumbnail"],"yoast_head":"\nA Quant Test on a Trading Thesis | SMB Training<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.smbtraining.com\/blog\/a-quant-test-on-a-trading-thesis\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"A Quant Test on a Trading Thesis | SMB Training\" \/>\n<meta property=\"og:description\" content=\"Hi Mike, I was halfway through typing my question when I remembered a blog post similar to my original question: http:\/\/www.smbtraining.com\/blog\/how-do-you-determine-how-far-stock-can-move I was wondering if you’ve found any statistical information by back-testing the above since then. 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