Stock Market Directional Bias Reversal

DLPAL LS results as of the close of Friday, January 12, 2018, point to a reversal in short-term directional bias after nine trading days this year with DJIA gaining 4.38% and S&P 500 up 4.21%.

This is the output of DLPAL LS as of the close of Friday:

TS is the profit-target and stop-loss file,  P-long and P-short are the long and short probabilities for a position in the corresponding ticker, P-delta is the difference  (P-long – P-short), a measure of the directional bias and S is the significance of the result (for weekly data 0 means low or no significance.) 

There are 14 stocks with positive directional bias P-delta and 16 with negative. This is the lowest value for the ratio Positive/Total since last October.

This is the workspace used and the settings. Note that we used the new “Conservative cluster” for the above results.

We also use adjusted data for all DOW 30 stocks starting on 01/03/2000.

Note that DLPAL LS generates historical data for the features (predictors) shown on the statistics popup to be used with fixed algos or machine learning classifiers (marked as ensemble history under History options.)

Click here for more details of how hedge funds can download a free fully-functional demo of DLPAL LS to test for a month.

If you have any questions or comments, happy to connect on Twitter: @priceactionlab


Disclaimer:  No part of the analysis in this blog constitutes a trade recommendation. The past performance of any trading system or methodology is not necessarily indicative of future results. Read the full disclaimer here.

Copyright notice: Any unauthorized copy, reproduction, distribution, publication, display, modification, or transmission of any part of this report is strictly prohibited without prior written permission.

This entry was posted in DLPAL software and tagged , , , . Bookmark the permalink.

Leave a Reply