Motivated by e-mail from Roy W.
There's a strategy for buying and selling mutual funds due to Gil Blake.
He looked at "persistency of price" to establish trends and ...
I think he looked to see if there were several days in a row where the price increased (or decreased).
"If the Dow climbs 10 points, what's its expected further excursion before reversing?"
"... once they've gone, say, 1 percent in one direction, they're likely to go 2 percent further before they go back again."
>Just 60%? That means you'd lose 40% of the time.
>So you decided to test that, right?
Uh ... not exactly. However, I figured I should look at times when a stock increased by, say 1% over several days to see what the subsequent behaviour was.
After all, if one could find a stock where short term subsequent behaviour mimiced recent behaviour, then ...
>That'd tell you when to buy or sell. But that's assuming the future is like the past.
Yes, of course. Without this, we'd have to examine historical evidence.
Figure 1 is an example. Having increased by 1% over 4 days, it kept goin'.
>And that always happens?
Hardly, but Blake managed to find funds where that sort of thing happened over 60% of the time.
Yes, but suppose you bought and sold like crazy ... hundreds of times. Then you should eventually make a bundle.
In fact, the Blake Ritual became quite popular ... as long as trading fees didn't kill you.
See this and
>So where's the spreadsheet?
This one looks at the past year to see how often a stock increased by x% over n days, then what the average increase was over the next n days:
>Is that what Blake did?
No, it's what I did. Besides, I guess you'd like to know how often tomorrow's stock price was UP if the recent stock prices were UP and ...
>And whether tomorrow was DOWN if the stock had recently plumetted.
Yes -- that's where this spreadsheet comes in. You ask to look at n-days changes (either UP or DOWN) and check the "next" day's change.
Then you get a statement like:
Yes. That's all the interest I can muster.