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 MarketTrak Question/Comment Message

Posted By: S   Date: Tue Mar 25, 2008

Title: Trading Model Question?

  Hello again,
  I don't think I had my question answered from my last post. I understand now from your answer that your forecasting method is optimized using closing values, from the end of the day.
  My real question is, when should I actually buy in according to the trading model? Knowing that the model and forecast are optimized with the closing values, would I want to trade as close to the end of the day as possible (3:59 PM EST) or right after, as soon as after hours trading opens? What would be the most optimum time to buy and sell?

  This is a good question, but unfortunately, my model does not provide an answer. I think you are looking for a day trading model. Such a model may tell you when you will get the best price during a trading day. My model's forecast horizon is 15 days which is much too long to resolve daily action. I am working on a 10 day model, but it is still under development and it will not help much on a timescale that you need. I did at one time look at much shorter time scales (like minutes - hours) but I believe that the market is just too efficient to forecast at this level with acceptable accuracy. The trading model has been optimized for end-of-day trades, but this may not give optimum results.

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