jpb Veteran   Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI  User Profile | I have a lesson learned to share with the process of determining the Market State by day as described in Mark's doc. I've followed it a dozen times and it has worked flawlessly until recently. I had gaps in the days that couldn't be explained by holidays and weekends. I thought for sure something changed and then the light bulb went on. It turns out, my ATM method had a Trade Filter that used correlation. The degree of correlation varies based on market state. Since I was using the SPY as the only symbol in the list, it always had perfect correlation to itself. So, effectively, the trade was being filtered out and I'd lose the day for purposes of viewing the market state for that day. To resolve this, I simply deactivated all the filters and the process began to function as it should to identify the MS for all the dates. | |
