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191: Combining Algos using State-Based Market Design – Richard Metzger
Better System Trader
How to Make a Long S and P Algo That Makes Money
If the market closes up 30 points or more, I will expect it to make about 7.24% or about 7%. And if the market sideways, in other words, it closes between negative four and up 30, then in my average, um, negative 1%. So I know that a third of the time, assuming these buckets hold, it should average 7%. But over the long run though, that kind of event shouldn't happen very often. It's usually more like up three weeks down a week.
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