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10 Minute Bar Analysis - Update Metastock User Group 2/5/2008 Leland Brode leland@elbsoftware

10 Minute Bar Analysis - Update Metastock User Group 2/5/2008 Leland Brode leland@elbsoftware.com. 10 Minute Bar Analysis. Outline Objective Data Tools (Excel, VBA) Looking for Profitable Patterns Profitable Results. 10 Minute Bar Analysis. Objective

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10 Minute Bar Analysis - Update Metastock User Group 2/5/2008 Leland Brode leland@elbsoftware

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  1. 10 Minute Bar Analysis - Update Metastock User Group 2/5/2008 Leland Brode leland@elbsoftware.com

  2. 10 Minute Bar Analysis Outline • Objective • Data • Tools (Excel, VBA) • Looking for Profitable Patterns • Profitable Results

  3. 10 Minute Bar Analysis Objective • Find patterns for intraday profits based on price action in first half hour of trading. • Analyze the status of Opening Gap – looking for Gap Up or Gap Down • Analyze the first three 10 minute bars

  4. 10 Minute Bar Analysis Data • 10 minute bar data captured from Metastock via eSignal and Quotecenter data feeds • 238 spreadsheets – 1 per security, 1 year of data per security, sample from 2004 to 2007 • 2.3 millions spreadsheet rows, (ie. 10 min bars) • S&P 100, Nasdaq 100, ETF’s and a few other stocks • Includes SPY, QQQQ, IWM to analyze index trading

  5. 10 Minute Bar Analysis Tools • Excel / Visual Basic for Applications (VBA) • Included with Excel • Functionality is large subset of the “real” VB, integrated into Excel (and Access, Word, Powerpoint) • VB program can address “cells”, “worksheets” (within workbook), “workbooks”, “files” • Debug - Run, set Breakpoints, Watch variables • Uses Excel’s “Macro” capability

  6. VBA - sample Simple Macro Example with VBA Code added - select ‘Tools’ | ‘Macro’ | ‘Record New Macro…’ to record a macro, then - select ‘Tools’ | ‘Macro’ | ‘Visual Basic Editor’ in to view VBA code Sub MacroTest() ' ' MacroTest Macro ' Macro recorded 9/30/2007 by Leland ' ' Keyboard Shortcut: Ctrl+q Range("A1").Select For x = 1 To 20 Cells(x, 1) = x Next x End Sub I added this code

  7. VBA - sample Spreadsheet data 1st bar of day VBA code To find Gap Up in above spreadsheet, N = 1st row: If Cells(N, 3) > Cells(N-1, 6) ‘is Open > Prev Close Then gap_up =Yes Else gap_up = No

  8. VBA – from actual program ‘ Is Gap Up ? (Open > High = MajorGapUp) If Cells(N, 3).Value > Cells(N - 1, 4).Value Then ' is 1st and 2nd and 3rd bar up If Cells(N, 6) > Cells(N, 3) And Cells(N + 1, 6) > Cells(N + 1, 3) And Cells(N + 2, 6) > Cells(N + 2, 3) Then ' now is it up before 12:00 If MornHigh > Cells(N + 2, 4).Value + UpAmt Then MjUpAM3 = MjUpAM3 + 1 MjGapUp3 = MjGapUp3 + 1 holdDelta = Abs(MornHigh - Cells(N + 2, 4).Value) U = UBound(MjUpAM3Delta) ReDim Preserve MjUpAM3Delta(U + 1) MjUpAM3Delta(U + 1) = holdDelta Else ' no just Gap Up MjGapUp3 = MjGapUp3 + 1 End If ‘ is it Up during the day If DayHigh > Cells(N + 2, 4).Value + UpAmt Then MjUpDay3 = MjUpDay3 + 1 holdDelta = Abs(DayHigh - Cells(N + 2, 4).Value) U = UBound(MjUpDay3Delta) ReDim Preserve MjUpDay3Delta(U + 1) MjUpDay3Delta(U + 1) = holdDelta End If ‘ is it Up at Close If Cells(N + 2, 4).Value + UpAmt < Cells(N + 38, 6) Then ' Close higher than 3rd Bar MjUpClose3 = MjUpClose3 + 1 holdDelta = Abs(Cells(N + 38, 6).Value - Cells(N + 2, 4).Value) U = UBound(MjUpClose3Delta) ReDim Preserve MjUpClose3Delta(U + 1) MjUpClose3Delta(U + 1) = holdDelta End If End If

  9. Bar Analysis Questions Pattern Questions using 10 minute bars Is it a Gap at Open ? • Gap Up • Minor gap (O > prev C) • Major gap (O > prev H) • Gap Down • Minor gap (O < prev C) • Major gap (O < prev L) • For each Gap • Is 1st bar Up • Is 1st and 2nd bar Up • Is 1st, 2nd, and 3rd bar Up • Is 1st bar Up, then 2nd bar Down • Is 1st bar Down, then 2nd bar Up • Is 1st bar Up, 2nd bar Down, then 3rd bar Up

  10. Analysis Results Results for each question… • What is probability price goes Up • Up in AM (by noon cst) • Up in Day • Up at Close • What is price increase (delta) • When is price highest (Hi of day) -- looking for more questions !

  11. Opening 10 minute bar patterns 3 white soldiers 1st bar up up/down/up dark cloud piercing line 2 bars up Probability Up during day: Min Gap Up .694 .643 .599 .578 .439 .553 Maj Gap Up .713 .649 .601 .510 .440 .550 Min Gap Dn .637 .621 .592 .616 .453 .586 Maj Gap Dn .624 .545 .593 .580 .454 .581 ** see Appendix for actual criteria for determining above pattern Each line is consolidated probability for all stocks meeting each pattern

  12. Opening 10 minute bar patterns 3 black crows 2 down, 1 up 2 bar engulf Harami separating lines morning star Next open >50% 25% 50% Probability Up during day: Min Gap Up: .509 .674 .491 .558 .476 .802Maj Gap Up: .513 .681 .494 .545 .452 .806Min Gap Dn: .509 .709 .512 .554 .519 .808 Maj Gap Dn: .526 .699 .506 .530 .518 .811 ** see Appendix for actual criteria for determining above pattern

  13. 10 Minute Bar Analysis - amount of increase for 1st scenario Gap Type Bars Up When Up Min Max Mode Ave Median Std Dev Freq Maj_GapUp 3rdBarUp UpDay 0.000 1.000 1.000 0.713 0.750 0.217 8.44 Ave Price Delta Min Max Mode Ave Median Std Dev 0 1.59 0 .423 .360 .268 Median Price Delta Min Max Mode Ave Median Std Dev 0 1.31 0 .382 .310 .248 Max Price Delta Min Max Mode Ave Median Std Dev 0 5.55 0 .982 .770 .792 • Each security has an Average Delta for this scenario • Data to left is Max, Ave, Median for this consolidated Average Delta • Each security has a Median Delta for this scenario • Data to left is Max, Ave, Median for this consolidated Median Delta • Each security has a Maximum Delta for this scenario • Data to left is Max, Ave, Median for this consolidated Maximum Delta

  14. 10 Minute Bar Analysis - Time of High of Day

  15. Setup Instructions to run Analysis Data: One spreadsheet per security - must look like following - with 10 minute bar data Date Time Open High Low Close Volume Open Int. 8/30/2004 8:40 AM 32.76 33.11 32.76 33.1 121200 0 8/30/2004 8:50 AM 33.1 33.14 33.05 33.05 115500 0 Other Files: "_symbols.txt" - contains list of security spreadsheet files - one entry per spreadsheet file - example follows the program uses this file to figure out which spreadsheets to open and process a.xls aapl.xls abt.xls Output file: the provided "_results_generic_empty.xls" is the template for all output result spreadsheets. One spreadsheet is created for each run of the program. The file must look like "_results_generic_empty.xls" - so Open _results_generic_empty.xls and SaveAs to create a new "empty" file for your output. You can name it anything you like, but must be setup in the Customize section of the VBA program - "Ouputsheet = YourFileName.xls" Criteria: In the Customize section of the VBA program you must 1) name your 3 criteria (8 character name) - Criteria1 = "3barsup" for example 2) build your If statement - Criteria1doc = "If Cells(N, C_) > Cells(N, O_) Then" for example 3) modify the actual If statement in the VBA program after the VBA comment -- Criteria1 - , etc. Your Criteria for this run….. 1/8/2008 UpHalf If Cells(N+1, C_) > (((Cells(N, H_) - Cells(N, L_))/2 + Cells(N, L_)) And Cells(N+2, C_) > (((Cells(N, H_) - Cells(N, L_))/2 + Cells(N, L_)) Then 3rdBarHi If Cells(N+2, H_) > PrevHi(N) Then 2ndBarHi If Cells(N+1, H_) > PrevHi(N) Then Top Level Filter Criteria if any….

  16. Your Criteria for this run….. 1/7/2008 2ndEngulf If Cells(N + 1, 3) <= ((Cells(N, 4) - Cells(N, 5)) * 0.25 + Cells(N, 5)) And Cells(N + 1, 4) > Cells(N, 4) And Cells(N + 1, 6) > Cells(N + 1, 3) Then Harami If Cells(N, 6) < Cells(N, 3) And Cells(N + 1, 5) > Cells(N, 5) And Cells(N + 1, 4) < Cells(N, 4) And Cells(N + 2, 3) >= ((Cells(N + 1, 4) - Cells(N + 1, 5)) / 2) + Cells(N + 1, 5) Then SepLines If Cells(N + 1, 5) >= ((Cells(N, 4) - Cells(N, 5)) * 0.5 + Cells(N, 5)) And Cells(N + 1, 6) > Cells(N + 1, 3) And Cells(N + 1, 4) > Cells(N, 4) Then Results Gap Bars Up Result Min Max Mode Ave Median StDev Min_GapUp SepLines Freq 2.000 34.000 15.000 17.396 17.000 4.385 Min_GapDn SepLines Freq 0.000 39.000 13.000 17.234 17.000 5.829 Min_GapUp Harami Freq 0.000 23.000 6.000 8.081 8.000 3.732 Min_GapDn Harami Freq 0.000 19.000 6.000 6.285 6.000 3.374 Maj_GapDn SepLines Freq 0.000 13.000 5.000 4.285 4.000 2.353 Maj_GapUp SepLines Freq 0.000 11.000 3.000 4.226 4.000 2.206 Min_GapUp 2ndEngulf Freq 0.000 10.000 2.000 3.421 3.000 2.183 Min_GapDn 2ndEngulf Freq 0.000 9.000 2.000 3.149 3.000 2.019 Maj_GapUp Harami Freq 0.000 8.000 2.000 2.345 2.000 1.714 Maj_GapDn Harami Freq 0.000 8.000 1.000 1.374 1.000 1.364 Maj_GapDn 2ndEngulf Freq 0.000 4.000 0.000 0.745 0.000 0.949 Maj_GapUp 2ndEngulf Freq 0.000 5.000 0.000 0.711 0.000 0.934 Min_GapUp 2ndEngulf UpDay 0.000 1.000 1.000 0.703 0.750 0.326 Min_GapDn 2ndEngulf UpDay 0.000 1.000 1.000 0.685 0.778 0.350 Min_GapDn Harami UpDay 0.000 1.000 1.000 0.662 0.700 0.259 Min_GapUp 2ndEngulf UpAM 0.000 1.000 1.000 0.652 0.667 0.335 Min_GapUp Harami UpDay 0.000 1.000 0.500 0.652 0.667 0.217 Min_GapDn 2ndEngulf UpAM 0.000 1.000 1.000 0.618 0.667 0.361 Min_GapUp SepLines UpDay 0.000 0.933 0.500 0.592 0.609 0.164 Min_GapUp Harami UpAM 0.000 1.000 0.500 0.582 0.600 0.236 Min_GapDn SepLines UpDay 0.000 0.952 0.500 0.578 0.600 0.179 Maj_GapDn SepLines UpDay 0.000 1.000 1.000 0.578 0.600 0.323 Min_GapDn Harami UpAM 0.000 1.000 0.500 0.577 0.600 0.259 Maj_GapUp SepLines UpDay 0.000 1.000 0.667 0.558 0.600 0.298 Maj_GapUp Harami UpDay 0.000 1.000 1.000 0.552 0.600 0.393 Min_GapUp SepLines UpAM 0.000 0.933 0.500 0.515 0.529 0.176 Maj_GapUp Harami UpAM 0.000 1.000 0.000 0.496 0.500 0.389 Maj_GapDn Harami UpDay 0.000 1.000 0.000 0.490 0.500 0.455 Maj_GapUp SepLines UpAM 0.000 1.000 0.500 0.483 0.500 0.289 Maj_GapDn SepLines UpAM 0.000 1.000 0.000 0.480 0.500 0.318 Min_GapDn SepLines UpAM 0.000 0.857 0.500 0.479 0.480 0.185 Maj_GapDn Harami UpAM 0.000 1.000 0.000 0.430 0.333 0.447 Min_GapUp 2ndEngulf UpClose 0.000 1.000 0.000 0.383 0.333 0.329 Maj_GapDn 2ndEngulf UpDay 0.000 1.000 0.000 0.375 0.000 0.471 Min_GapDn 2ndEngulf UpClose 0.000 1.000 0.000 0.370 0.333 0.318 Min_GapDn Harami UpClose 0.000 1.000 0.500 0.365 0.333 0.241 Maj_GapDn 2ndEngulf UpAM 0.000 1.000 0.000 0.350 0.000 0.456

  17. Your Criteria for this run….. 1/8/2008 3BarDn If Cells(N, 6) < Cells(N, 3) And Cells(N + 1, 6) < Cells(N, 6) And Cells(N + 2, 6) < Cells(N + 1, 6) Then MornStar If Cells(N, 6) < Cells(N, 3) And Cells(N + 1, 6) > Cells(N + 1, 3) And Cells(N + 2, 6) > Cells(N + 2, 3) And Cells(N + 2, 3) >= ((Cells(N, 4) - Cells(N, 5)) / 2 + Cells(N, 5)) Then Dn3rdUp If Cells(N, 6) < Cells(N, 3) And Cells(N + 1, 6) < Cells(N, 6) And Cells(N + 2, 6) > Cells(N + 1, 3) Then Results Gap Bars Up Result Min Max Mode Ave Median StDev Min_GapUp 3BarDn Freq 3.000 30.000 15.000 12.404 12.000 4.559 Min_GapDn 3BarDn Freq 2.000 21.000 7.000 9.660 9.000 3.577 Min_GapUp MornStar Freq 1.000 17.000 6.000 7.974 8.000 3.106 Min_GapDn MornStar Freq 0.000 15.000 5.000 6.774 6.000 3.049 Min_GapUp Dn3rdUp Freq 0.000 15.000 5.000 5.566 5.000 2.547 Min_GapDn Dn3rdUp Freq 0.000 15.000 3.000 4.766 4.000 2.569 Maj_GapUp 3BarDn Freq 0.000 9.000 3.000 3.209 3.000 2.018 Maj_GapUp MornStar Freq 0.000 6.000 2.000 2.034 2.000 1.405 Maj_GapDn 3BarDn Freq 0.000 9.000 2.000 2.017 2.000 1.508 Maj_GapDn MornStar Freq 0.000 7.000 1.000 1.485 1.000 1.295 Maj_GapUp Dn3rdUp Freq 0.000 5.000 1.000 1.306 1.000 1.195 Maj_GapDn Dn3rdUp Freq 0.000 5.000 0.000 0.817 1.000 0.950 Min_GapDn MornStar UpDay 0.000 1.000 1.000 0.814 0.857 0.218 Min_GapUp MornStar UpDay 0.000 1.000 1.000 0.802 0.833 0.191 Min_GapDn MornStar UpAM 0.000 1.000 1.000 0.757 0.800 0.233 Min_GapUp MornStar UpAM 0.000 1.000 1.000 0.754 0.778 0.202 Maj_GapUp MornStar UpDay 0.000 1.000 1.000 0.684 1.000 0.416 Min_GapDn Dn3rdUp UpDay 0.000 1.000 1.000 0.660 0.667 0.286 Maj_GapDn MornStar UpDay 0.000 1.000 1.000 0.658 1.000 0.438 Maj_GapUp MornStar UpAM 0.000 1.000 1.000 0.627 0.750 0.420 Min_GapUp Dn3rdUp UpDay 0.000 1.000 1.000 0.626 0.667 0.263 Maj_GapDn MornStar UpAM 0.000 1.000 1.000 0.610 1.000 0.444 Min_GapDn Dn3rdUp UpAM 0.000 1.000 1.000 0.560 0.600 0.300 Min_GapUp Dn3rdUp UpAM 0.000 1.000 0.500 0.549 0.600 0.271 Maj_GapUp Dn3rdUp UpDay 0.000 1.000 0.000 0.443 0.500 0.449 Min_GapDn MornStar UpClose 0.000 1.000 0.500 0.438 0.444 0.218 Min_GapUp MornStar UpClose 0.000 1.000 0.500 0.422 0.429 0.201 Maj_GapDn Dn3rdUp UpDay 0.000 1.000 0.000 0.387 0.000 0.469 Maj_GapUp MornStar UpClose 0.000 1.000 0.000 0.383 0.333 0.373 Maj_GapDn MornStar UpClose 0.000 1.000 0.000 0.382 0.250 0.422 Maj_GapUp Dn3rdUp UpAM 0.000 1.000 0.000 0.365 0.000 0.427 Maj_GapDn Dn3rdUp UpAM 0.000 1.000 0.000 0.341 0.000 0.452 Min_GapDn Dn3rdUp UpClose 0.000 1.000 0.000 0.330 0.333 0.249 Min_GapUp Dn3rdUp UpClose 0.000 1.000 0.000 0.318 0.333 0.234 Maj_GapDn 3BarDn UpDay 0.000 1.000 0.000 0.255 0.000 0.338 Min_GapDn 3BarDn UpDay 0.000 0.667 0.000 0.227 0.222 0.148 Maj_GapUp Dn3rdUp UpClose 0.000 1.000 0.000 0.219 0.000 0.341

  18. Your Criteria for this run….. 1/8/2008 3barsUp If Cells(N, 6) > Cells(N, 3) And Cells(N + 1, 6) > Cells(N + 1, 3) And Cells(N + 2, 6) > Cells(N + 2, 3) Then 2barsUp If Cells(N, 6) > Cells(N, 3) And Cells(N + 1, 6) > Cells(N + 1, 3) Then 1barUp If Cells(N, 6) > Cells(N, 3) Then Results Gap Bars Up Result Min Max Mode Ave Median StDev Min_GapDn 1barUp Freq 1.000 109.000 49.000 58.004 56.000 15.947 Min_GapUp 1barUp Freq 10.000 89.000 52.000 53.621 53.000 11.518 Min_GapDn 2barsUp Freq 0.000 60.000 28.000 27.770 27.000 9.299 Min_GapUp 2barsUp Freq 3.000 46.000 24.000 25.557 25.000 6.334 Maj_GapDn 1barUp Freq 0.000 32.000 14.000 13.855 13.000 5.561 Min_GapDn 3barsUp Freq 0.000 30.000 14.000 13.111 13.000 5.559 Maj_GapUp 1barUp Freq 2.000 28.000 11.000 11.549 11.000 4.804 Min_GapUp 3barsUp Freq 0.000 24.000 11.000 11.506 11.000 4.106 Maj_GapDn 2barsUp Freq 0.000 21.000 7.000 6.962 7.000 3.311 Maj_GapUp 2barsUp Freq 0.000 15.000 3.000 5.626 5.000 2.699 Maj_GapDn 3barsUp Freq 0.000 12.000 3.000 3.200 3.000 2.195 Maj_GapUp 3barsUp Freq 0.000 9.000 2.000 2.426 2.000 1.686 Min_GapUp 3barsUp UpDay 0.000 1.000 1.000 0.883 0.917 0.149 Min_GapUp 3barsUp UpAM 0.000 1.000 1.000 0.854 0.889 0.168 Min_GapDn 3barsUp UpDay 0.000 1.000 1.000 0.851 0.882 0.159 Min_GapDn 3barsUp UpAM 0.000 1.000 1.000 0.808 0.846 0.187 Maj_GapUp 3barsUp UpDay 0.000 1.000 1.000 0.781 1.000 0.363 Maj_GapDn 3barsUp UpDay 0.000 1.000 1.000 0.774 1.000 0.337 Maj_GapUp 3barsUp UpAM 0.000 1.000 1.000 0.752 1.000 0.370 Maj_GapDn 3barsUp UpAM 0.000 1.000 1.000 0.731 0.875 0.353 Min_GapUp 2barsUp UpDay 0.105 0.882 0.500 0.643 0.657 0.146 Maj_GapUp 2barsUp UpDay 0.000 1.000 1.000 0.636 0.667 0.251 Maj_GapDn 2barsUp UpDay 0.000 1.000 1.000 0.622 0.667 0.234 Min_GapDn 2barsUp UpDay 0.000 0.900 0.500 0.621 0.633 0.146 Min_GapUp 1barUp UpDay 0.018 0.872 0.500 0.586 0.604 0.130 Maj_GapDn 1barUp UpDay 0.000 1.000 0.500 0.580 0.600 0.186 Min_GapUp 2barsUp UpAM 0.000 0.875 0.500 0.576 0.600 0.161 Maj_GapUp 1barUp UpDay 0.000 1.000 0.500 0.573 0.571 0.183 Min_GapDn 1barUp UpDay 0.000 0.897 0.600 0.571 0.590 0.141 Maj_GapUp 2barsUp UpAM 0.000 1.000 0.667 0.560 0.625 0.256 Min_GapDn 2barsUp UpAM 0.000 0.850 0.500 0.541 0.553 0.162 Maj_GapDn 2barsUp UpAM 0.000 1.000 0.500 0.537 0.556 0.246 Min_GapUp 3barsUp UpClose 0.000 0.917 0.500 0.528 0.545 0.174 Min_GapUp 1barUp UpAM 0.000 0.821 0.500 0.500 0.508 0.139 Maj_GapUp 3barsUp UpClose 0.000 1.000 0.000 0.495 0.500 0.370 Maj_GapDn 1barUp UpAM 0.000 0.909 0.500 0.490 0.500 0.193

  19. Your Criteria for this run….. 1/8/2008 UpDnUp If Cells(N, 6) > Cells(N, 3) And Cells(N + 1, 6) < Cells(N, 3) And Cells(N + 2, 6) >= Cells(N, 3) Then Up2ndDn If Cells(N, 6) > Cells(N, 3) And Cells(N + 1, 6) < Cells(N, 6) Then 1barUp If Cells(N, 6) < Cells(N, 3) And Cells(N + 1, 6) > Cells(N, 6) Then Results Gap Bars Up Result Min Max Mode Ave Median StDev Min_GapDn Up2ndDn Freq 1.000 52.000 28.000 28.251 28.000 8.185 Min_GapUp 1DnUp Freq 2.000 45.000 26.000 28.200 28.000 6.456 Min_GapUp Up2ndDn Freq 6.000 48.000 26.000 25.864 26.000 7.231 Min_GapDn 1DnUp Freq 3.000 39.000 20.000 22.821 23.000 5.771 Maj_GapUp 1DnUp Freq 0.000 18.000 6.000 7.140 7.000 3.260 Maj_GapDn Up2ndDn Freq 0.000 17.000 5.000 6.477 6.000 3.272 Maj_GapUp Up2ndDn Freq 0.000 17.000 5.000 5.549 5.000 3.014 Maj_GapDn 1DnUp Freq 0.000 14.000 5.000 4.940 5.000 2.642 Min_GapDn UpDnUp Freq 0.000 9.000 2.000 2.719 2.000 1.839 Min_GapUp UpDnUp Freq 0.000 8.000 2.000 2.379 2.000 1.655 Maj_GapDn 1DnUp UpDay 0.000 1.000 1.000 0.605 0.600 0.282 Min_GapDn 1DnUp UpDay 0.000 1.000 0.667 0.593 0.615 0.162 Maj_GapDn UpDnUp Freq 0.000 4.000 0.000 0.583 0.000 0.830 Maj_GapUp 1DnUp UpDay 0.000 1.000 0.500 0.576 0.600 0.244 Min_GapUp 1DnUp UpDay 0.000 0.848 0.667 0.574 0.588 0.144 Min_GapDn UpDnUp UpDay 0.000 1.000 1.000 0.530 0.500 0.381 Maj_GapDn 1DnUp UpAM 0.000 1.000 0.500 0.527 0.500 0.283 Maj_GapDn Up2ndDn UpDay 0.000 1.000 0.500 0.504 0.500 0.253 Min_GapDn 1DnUp UpAM 0.000 0.900 0.500 0.500 0.517 0.163 Min_GapUp UpDnUp UpDay 0.000 1.000 0.000 0.495 0.500 0.383 Min_GapDn Up2ndDn UpDay 0.000 0.833 0.500 0.494 0.500 0.150 Maj_GapUp 1DnUp UpAM 0.000 1.000 0.500 0.484 0.500 0.249 Min_GapUp 1DnUp UpAM 0.000 0.800 0.500 0.483 0.500 0.146 Min_GapUp Up2ndDn UpDay 0.000 0.769 0.500 0.473 0.481 0.135 Maj_GapUp UpDnUp Freq 0.000 3.000 0.000 0.468 0.000 0.706 Maj_GapUp Up2ndDn UpDay 0.000 1.000 0.500 0.452 0.500 0.274 Min_GapDn UpDnUp UpAM 0.000 1.000 0.000 0.440 0.429 0.381 Min_GapUp UpDnUp UpAM 0.000 1.000 0.000 0.413 0.400 0.372 Maj_GapDn Up2ndDn UpAM 0.000 1.000 0.500 0.407 0.400 0.251 Min_GapDn Up2ndDn UpAM 0.000 0.788 0.500 0.397 0.408 0.154 Min_GapUp Up2ndDn UpAM 0.000 0.735 0.333 0.381 0.381 0.135 Maj_GapUp Up2ndDn UpAM 0.000 1.000 0.000 0.372 0.375 0.271 Maj_GapUp 1DnUp UpClose 0.000 1.000 0.000 0.317 0.286 0.216 Maj_GapDn 1DnUp UpClose 0.000 1.000 0.000 0.297 0.333 0.240 Min_GapDn 1DnUp UpClose 0.000 0.600 0.286 0.297 0.294 0.126 Min_GapUp 1DnUp UpClose 0.000 0.576 0.286 0.293 0.292 0.108

  20. Your Criteria for this run….. 1/8/2008 UpHalf If Cells(N+1, C_) > (((Cells(N, H_) - Cells(N, L_))/2 + Cells(N, L_)) And Cells(N+2, C_) > (((Cells(N, H_) - Cells(N, L_))/2 + Cells(N, L_)) Then 3rdBarHi If Cells(N+2, H_) > PrevHi(N) Then 2ndBarHi If Cells(N+1, H_) > PrevHi(N) Then Results Table of Results from PercentUp Calculations Gap Bars Up Result Min Max Mode Ave Median StDev Min_GapUp UpHalf Freq 4.000 77.000 42.000 46.396 45.000 8.380 Min_GapDn UpHalf Freq 2.000 83.000 49.000 46.034 45.000 11.927 Min_GapUp 2ndBarHi Freq 5.000 71.000 44.000 43.000 43.000 9.215 Min_GapUp 3rdBarHi Freq 3.000 68.000 41.000 41.468 41.000 8.760 Maj_GapUp 2ndBarHi Freq 3.000 45.000 21.000 22.711 22.000 7.317 Maj_GapUp 3rdBarHi Freq 2.000 43.000 25.000 21.404 21.000 6.979 Min_GapDn 3rdBarHi Freq 0.000 26.000 9.000 11.562 11.000 4.407 Maj_GapDn UpHalf Freq 1.000 27.000 11.000 11.260 11.000 4.334 Maj_GapUp UpHalf Freq 0.000 27.000 9.000 10.791 10.000 4.073 Min_GapDn 2ndBarHi Freq 0.000 22.000 9.000 10.034 10.000 3.828 Min_GapUp UpHalf UpDay 0.136 0.980 0.857 0.758 0.783 0.136 Maj_GapUp UpHalf UpDay 0.000 1.000 1.000 0.748 0.778 0.182 Min_GapDn UpHalf UpDay 0.000 1.000 0.667 0.745 0.780 0.147 Maj_GapDn UpHalf UpDay 0.000 1.000 1.000 0.738 0.778 0.189 Min_GapUp UpHalf UpAM 0.068 0.979 0.667 0.703 0.732 0.154 Maj_GapUp UpHalf UpAM 0.000 1.000 0.667 0.692 0.714 0.202 Min_GapDn UpHalf UpAM 0.000 0.962 0.750 0.685 0.717 0.163 Maj_GapDn UpHalf UpAM 0.000 1.000 0.500 0.676 0.714 0.206 Min_GapDn 3rdBarHi UpDay 0.000 1.000 0.750 0.675 0.667 0.180 Min_GapUp 3rdBarHi UpDay 0.000 0.880 0.667 0.614 0.635 0.129 Min_GapDn 3rdBarHi UpAM 0.000 1.000 0.500 0.599 0.615 0.199 Min_GapUp 2ndBarHi UpDay 0.000 0.833 0.528 0.571 0.588 0.136 Maj_GapUp 3rdBarHi UpDay 0.000 1.000 0.500 0.571 0.579 0.154 Maj_GapUp 2ndBarHi UpDay 0.000 0.909 0.667 0.565 0.586 0.155 Min_GapDn 2ndBarHi UpDay 0.000 1.000 0.500 0.542 0.556 0.210 Min_GapUp 3rdBarHi UpAM 0.000 0.840 0.500 0.539 0.561 0.141 Maj_GapDn 3rdBarHi Freq 0.000 4.000 0.000 0.494 0.000 0.759 Maj_GapUp 3rdBarHi UpAM 0.000 1.000 0.500 0.492 0.500 0.160 Min_GapUp 2ndBarHi UpAM 0.000 0.788 0.500 0.483 0.500 0.150 Maj_GapUp 2ndBarHi UpAM 0.000 0.909 0.500 0.477 0.500 0.170 Min_GapDn 2ndBarHi UpAM 0.000 1.000 0.500 0.444 0.444 0.212 Maj_GapUp UpHalf UpClose 0.000 0.909 0.500 0.431 0.444 0.178 Min_GapUp UpHalf UpClose 0.000 0.679 0.500 0.422 0.429 0.116 Maj_GapDn UpHalf UpClose 0.000 1.000 0.500 0.400 0.400 0.198 Min_GapDn UpHalf UpClose 0.000 0.686 0.500 0.400 0.400 0.113 Min_GapDn 3rdBarHi UpClose 0.000 1.000 0.333 0.381 0.364 0.174 Maj_GapDn 2ndBarHi Freq 0.000 3.000 0.000 0.340 0.000 0.602 Min_GapUp 3rdBarHi UpClose 0.000 0.591 0.400 0.331 0.340 0.098 Maj_GapUp 3rdBarHi UpClose 0.000 0.667 0.333 0.305 0.308 0.125

  21. Summary There are tradeable patterns based on Morning Gap, and action of the first three 10 minute bars with probabilities of higher prices in the 60, 70 and 80% range. An entry point for the trade is on the 2nd or 3rd bar depending on the pattern. The analysis is not complete because an Exit strategy has not been discussed. There has been no discussion of how to determine the High of the day and therefore when to exit the trade. Also there are many more patterns to review. I plan to do analysis of the probability of price Decrease after finding the patterns. I am also working on streamlining the VBA program so that there is only one program with the ability input the pattern to look for.

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