Last time, I shared a way to logically classify filters.
When creating intraday trading strategies, you should prefer* filters/data points that don’t change during the day.
It simplifies the problem – a LOT.
Here are some columns from my library that should be useful (RealTest users see P.S. below).
Today’s Gap (in percent or, better yet, in terms of ATR)
Anything related to yesterday’s action:
Yesterday’s range in terms of ATR
Yesterday’s volume compared to normal
Yesterday’s change in terms of ATR
Yesterday’s close position within its range
Aside from these data points being “set” (don’t change), do you notice anything else similar about these?
Reply and let me know.
* Notice I said “prefer” and not “exclusively use”
-Dave
P.S. Are you a RealTest user? If so, you’ll want to check out the Strategy Cruncher. All Strategy Cruncher users get access to my RealTest column library to use in their strategies. Early-bird discount available until 6/14. Reply if you want the code.
