There were the patterns triggering last night:
SHORT PATTERNS 96-97-357
Not so much to bet on, but the statistics were strong enough. It was a losing position in the first part of the night, then the trade came back to me with a small profit: +1,54%.
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This mathematical effect goes back to its discoverer Claude Shannon:
Markowitz portfolio theory is entirely based on the Shannon's Demon Effect: a portfolio of financial instruments or trading systems can beat the average return of all its components only if their correlation is low or, even better, is negative.
These computational effects are also stronger the often the portfolio is rebalanced.
This incredible edge coming from diversification can even transform a two systems portfolio with negative returns in one single low correlated and frequently rebalanced porfolio with a positive average return.
In this file:
I show how overall results are boosted by Shannon's Demon with 3 simple strategies that are rebalanced daily. One buys long each night from close to next day's open, one from close to next day's close and one from open to close (intraday). It is clearly evident how much overnight trading has a low correlation with other time frame strategy proxies and why it should be included in a trader's portfolio.
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Marco Simioni
NIGHTLY PATTERNS - Overnight Trading
The trade turned out well in the end, especially considering what it was in the middle of the overnight session. Thanks, Marco. From: NIGHTLY PATTERNS To: sweenrose@yahoo.com Sent: Friday, January 23, 2015 9:04 AM Subject: [New post] Futures Trading Room – Last night trade overview #yiv8156804022 a:hover {color:red;}#yiv8156804022 a {text-decoration:none;color:#0088cc;}#yiv8156804022 a.yiv8156804022primaryactionlink:link, #yiv8156804022 a.yiv8156804022primaryactionlink:visited {background-color:#2585B2;color:#fff;}#yiv8156804022 a.yiv8156804022primaryactionlink:hover, #yiv8156804022 a.yiv8156804022primaryactionlink:active {background-color:#11729E;color:#fff;}#yiv8156804022 WordPress.com | aimdal posted: “There were the patterns triggering last night:SHORT PATTERNS 96-97-357Not so much to bet on, but the statistics were strong enough. It was a losing position in the first part of the night, then the trade came back to me with a small profit: +1,54%” | |
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