Thursday, November 20, 2008

SPY 1.68% Gap Down

And I thought we wouldn't gap down! Will it fill? Odds say yes [see Quant Edges*]. I was once invested in a gap strategy 'fund' that just got absolutely smacked.

Adaptive parameters and tight money management are needed for that strategy to work over time (guess what they lacked, not to mention they kept their bet size dollar level even after significant losses - double yikes!). We did touch the very top of my next "zone" target (also last bear market lows, btw) and the Vix broached 80 this morning. We'll see.

8:50am Update: Was your profit target hit? Did you have one? Watch it now.

*Parameters not quite "filled", but you'll get the idea.

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Anonymous said...

Gee, which gap strategy might that have been?

Jeff Pietsch, CFA said...

Gee, who might Anon be? Cars or boats? Well, here is to you!