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发表于 2009-6-9 09:34 PM
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本帖最后由 haoqi001 于 2009-6-9 22:43 编辑
In the past, SOX many times played the last spike of an up wave after the wave had been up for quite a few days. Here are the back test results when NYSE and SOX are both up but SOX up more, for a few days, then short at close and cover at the next close:
Date |
Time |
Action |
Quantity |
Price |
Profit-Loss |
Profit-Loss % |
Cumulative P&L |
5/26/2009 |
16:00:00 |
Sell Short |
238 |
41.87 |
0 |
0 |
1102.99 |
5/27/2009 |
16:00:00 |
Buy to Cover |
238 |
42.09 |
-52.36 |
-0.53 |
1050.63 |
5/28/2009 |
16:00:00 |
Sell Short |
233 |
42.84 |
0 |
0 |
1050.63 |
5/29/2009 |
16:00:00 |
Buy to Cover |
233 |
43.13 |
-67.57 |
-0.68 |
983.06 |
6/1/2009 |
16:00:00 |
Sell Short |
218 |
45.68 |
0 |
0 |
983.06 |
6/2/2009 |
16:00:00 |
Buy to Cover |
218 |
44.24 |
313.92 |
3.15 |
1296.98 |
6/4/2009 |
16:00:00 |
Sell Short |
227 |
43.97 |
0 |
0 |
1296.98 |
6/5/2009 |
16:00:00 |
Buy to Cover |
227 |
42.78 |
270.13 |
2.71 |
1567.11 |
6/9/2009 |
16:00:00 |
Sell Short |
224 |
44.47 |
0 |
0 |
1567.11 |
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