10 Minute Bar Analysis - Update

Metastock User Group2/5/2008

Leland Brodeleland@elbsoftware.com

10 Minute Bar Analysis

Outline• Objective• Data• Tools (Excel, VBA)• Looking for Profitable Patterns• Profitable Results

10 Minute Bar Analysis

Objective Find patterns for intraday profits based on

price action in first half hour of trading. Analyze the status of Opening Gap – looking for

Gap Up or Gap Down Analyze the first three 10 minute bars

10 Minute Bar AnalysisData

10 minute bar data captured from Metastock via eSignal and Quotecenter data feeds

238 spreadsheets – 1 per security, 1 year of data per security, sample from 2004 to 2007

2.3 millions spreadsheet rows, (ie. 10 min bars)

S&P 100, Nasdaq 100, ETF’s and a few other stocks

Includes SPY, QQQQ, IWM to analyze index trading

10 Minute Bar AnalysisTools Excel / Visual Basic for Applications (VBA) Included with Excel Functionality is large subset of the “real” VB,

integrated into Excel (and Access, Word, Powerpoint)

VB program can address “cells”, “worksheets” (within workbook), “workbooks”, “files”

Debug - Run, set Breakpoints, Watch variables Uses Excel’s “Macro” capability

VBA - sample

Simple Macro Example with VBA Code added - select ‘Tools’ | ‘Macro’ | ‘Record New Macro…’ to record a macro, then - select ‘Tools’ | ‘Macro’ | ‘Visual Basic Editor’ in to view VBA code

Sub MacroTest()'' MacroTest Macro' Macro recorded 9/30/2007 by Leland'' Keyboard Shortcut: Ctrl+q

Range("A1").Select

For x = 1 To 20 Cells(x, 1) = x Next x End Sub

I added this code

VBA - sample

A B C D E F8/30/2004 3:00 PM 32.65 32.66 32.52 32.52

8/31/2004 8:40 AM 32.4 32.57 32.4 32.45

8/31/2004 8:50 AM 32.48 32.64 32.48 32.6

8/31/2004 9:00 AM 32.58 32.61 32.46 32.48

VBA code To find Gap Up in above spreadsheet, N = 1st row:

If Cells(N, 3) > Cells(N-1, 6) ‘is Open > Prev Close

Then gap_up =Yes

Else

gap_up = No

Spreadsheet data

1st bar of day

VBA – from actual program ‘ Is Gap Up ? (Open > High = MajorGapUp) If Cells(N, 3).Value > Cells(N - 1, 4).Value Then ' is 1st and 2nd and 3rd bar up If Cells(N, 6) > Cells(N, 3) And Cells(N + 1, 6) > Cells(N + 1, 3) And Cells(N + 2, 6) > Cells(N + 2, 3) Then ' now is it up before 12:00 If MornHigh > Cells(N + 2, 4).Value + UpAmt Then MjUpAM3 = MjUpAM3 + 1 MjGapUp3 = MjGapUp3 + 1 holdDelta = Abs(MornHigh - Cells(N + 2, 4).Value) U = UBound(MjUpAM3Delta) ReDim Preserve MjUpAM3Delta(U + 1) MjUpAM3Delta(U + 1) = holdDelta Else ' no just Gap Up MjGapUp3 = MjGapUp3 + 1 End If ‘ is it Up during the day If DayHigh > Cells(N + 2, 4).Value + UpAmt Then MjUpDay3 = MjUpDay3 + 1 holdDelta = Abs(DayHigh - Cells(N + 2, 4).Value) U = UBound(MjUpDay3Delta) ReDim Preserve MjUpDay3Delta(U + 1) MjUpDay3Delta(U + 1) = holdDelta End If ‘ is it Up at Close If Cells(N + 2, 4).Value + UpAmt < Cells(N + 38, 6) Then ' Close higher than 3rd Bar MjUpClose3 = MjUpClose3 + 1 holdDelta = Abs(Cells(N + 38, 6).Value - Cells(N + 2, 4).Value) U = UBound(MjUpClose3Delta) ReDim Preserve MjUpClose3Delta(U + 1) MjUpClose3Delta(U + 1) = holdDelta End If End If

Bar Analysis QuestionsPattern Questions using 10 minute barsIs it a Gap at Open ? Gap Up

Minor gap (O > prev C) Major gap (O > prev H)

Gap Down Minor gap (O < prev C) Major gap (O < prev L)

For each Gap Is 1st bar Up Is 1st and 2nd bar Up Is 1st, 2nd, and 3rd bar Up Is 1st bar Up, then 2nd bar Down Is 1st bar Down, then 2nd bar Up Is 1st bar Up, 2nd bar Down, then 3rd bar Up

Analysis Results

Results for each question… What is probability price goes Up

Up in AM (by noon cst) Up in Day Up at Close

What is price increase (delta) When is price highest (Hi of day)

-- looking for more questions !

Opening 10 minute bar patterns

3 white soldiers 1st bar up up/down/up dark cloud piercing line

2 bars up

Probability Up during day:

Min Gap Up .694 .643 .599 .578 .439 .553 Maj Gap Up .713 .649 .601 .510 .440 .550 Min Gap Dn .637 .621 .592 .616 .453 .586 Maj Gap Dn .624 .545 .593 .580 .454 .581

** see Appendix for actual criteria for determining above patternEach line is consolidated probability for all stocks meeting each pattern

Opening 10 minute bar patterns

3 black crows 2 down, 1 up 2 bar engulf Harami separating lines

morning star

Probability Up during day: Min Gap Up: .509 .674 .491 .558 .476 .802

Maj Gap Up: .513 .681 .494 .545 .452 .806 Min Gap Dn: .509 .709 .512 .554 .519 .808 Maj Gap Dn: .526 .699 .506 .530 .518 .811

** see Appendix for actual criteria for determining above pattern

25%

Next open >50%

50%

10 Minute Bar Analysis - amount of increase for 1st scenario

Gap Type Bars Up When Up Min Max Mode Ave Median Std DevFreq

Maj_GapUp 3rdBarUp UpDay 0.000 1.000 1.000 0.713 0.750 0.2178.44

Ave Price DeltaMin Max Mode Ave Median Std Dev

0 1.59 0 .423 .360 .268

Median Price DeltaMin Max Mode Ave Median Std Dev

0 1.31 0 .382 .310 .248

Max Price DeltaMin Max Mode Ave Median Std Dev

0 5.55 0 .982 .770 .792

• Each security has an Average Delta for this scenario

- Data to left is Max, Ave, Median for this consolidated Average Delta

• Each security has a Median Delta for this scenario

- Data to left is Max, Ave, Median for this consolidated Median Delta

• Each security has a Maximum Delta for this scenario

- Data to left is Max, Ave, Median for this consolidated Maximum Delta

10 Minute Bar Analysis - Time of High of Day

Distribution of Highs across Time

0

10

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8:40

9:00

9:20

9:40

10:0

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10:2

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10:4

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11:0

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11:2

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11:4

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12:0

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12:2

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12:4

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13:0

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13:2

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13:4

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14:0

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14:2

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14:4

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15:0

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Time

Hig

h c

ount

Series1

Series2

Series3

Series4

Series5

Series6

Series7

Series8

Series9

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Series11

Series12

Series13

Series14

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Series16

Series17

Series18

Series19

Series20

Series21

Series22

Series23

Series24

Series25

Setup Instructions to run AnalysisData: One spreadsheet per security - must look like following - with 10 minute bar data

Date Time Open High Low Close Volume Open Int.8/30/2004 8:40 AM 32.76 33.11 32.76 33.1 121200 08/30/2004 8:50 AM 33.1 33.14 33.05 33.05 115500 0

Other Files: "_symbols.txt" - contains list of security spreadsheet files - one entry per spreadsheet file - example follows the program uses this file to figure out which spreadsheets to open and process

a.xlsaapl.xlsabt.xls

Output file: the provided "_results_generic_empty.xls" is the template for all output result spreadsheets. One spreadsheet is created for each run of the program. The file must look like "_results_generic_empty.xls" - so Open _results_generic_empty.xls and

SaveAs to create a new "empty" file for your output. You can name it anything you like, but must be setup in the Customize section of the VBA program - "Ouputsheet = YourFileName.xls"

Criteria: In the Customize section of the VBA program you must 1) name your 3 criteria (8 character name) - Criteria1 = "3barsup" for example 2) build your If statement - Criteria1doc = "If Cells(N, C_) > Cells(N, O_) Then" for example 3) modify the actual If statement in the VBA program after the VBA comment -- Criteria1 - , etc.

Your Criteria for this run….. 1/8/2008UpHalfIf Cells(N+1, C_) > (((Cells(N, H_) - Cells(N, L_))/2 + Cells(N, L_)) And Cells(N+2, C_) > (((Cells(N, H_) - Cells(N, L_))/2 + Cells(N, L_)) Then

3rdBarHiIf Cells(N+2, H_) > PrevHi(N) Then

2ndBarHiIf Cells(N+1, H_) > PrevHi(N) Then

Top Level Filter Criteria if any….

Results

Gap Bars Up Result Min Max Mode Ave Median StDevMin_GapUp SepLines Freq 2.000 34.000 15.000 17.396 17.000 4.385Min_GapDn SepLines Freq 0.000 39.000 13.000 17.234 17.000 5.829Min_GapUp Harami Freq 0.000 23.000 6.000 8.081 8.000 3.732Min_GapDn Harami Freq 0.000 19.000 6.000 6.285 6.000 3.374Maj_GapDn SepLines Freq 0.000 13.000 5.000 4.285 4.000 2.353Maj_GapUp SepLines Freq 0.000 11.000 3.000 4.226 4.000 2.206Min_GapUp 2ndEngulf Freq 0.000 10.000 2.000 3.421 3.000 2.183Min_GapDn 2ndEngulf Freq 0.000 9.000 2.000 3.149 3.000 2.019Maj_GapUp Harami Freq 0.000 8.000 2.000 2.345 2.000 1.714Maj_GapDn Harami Freq 0.000 8.000 1.000 1.374 1.000 1.364Maj_GapDn 2ndEngulf Freq 0.000 4.000 0.000 0.745 0.000 0.949Maj_GapUp 2ndEngulf Freq 0.000 5.000 0.000 0.711 0.000 0.934

Min_GapUp 2ndEngulf UpDay 0.000 1.000 1.000 0.703 0.750 0.326Min_GapDn 2ndEngulf UpDay 0.000 1.000 1.000 0.685 0.778 0.350Min_GapDn Harami UpDay 0.000 1.000 1.000 0.662 0.700 0.259Min_GapUp 2ndEngulf UpAM 0.000 1.000 1.000 0.652 0.667 0.335Min_GapUp Harami UpDay 0.000 1.000 0.500 0.652 0.667 0.217Min_GapDn 2ndEngulf UpAM 0.000 1.000 1.000 0.618 0.667 0.361Min_GapUp SepLines UpDay 0.000 0.933 0.500 0.592 0.609 0.164Min_GapUp Harami UpAM 0.000 1.000 0.500 0.582 0.600 0.236Min_GapDn SepLines UpDay 0.000 0.952 0.500 0.578 0.600 0.179Maj_GapDn SepLines UpDay 0.000 1.000 1.000 0.578 0.600 0.323Min_GapDn Harami UpAM 0.000 1.000 0.500 0.577 0.600 0.259Maj_GapUp SepLines UpDay 0.000 1.000 0.667 0.558 0.600 0.298Maj_GapUp Harami UpDay 0.000 1.000 1.000 0.552 0.600 0.393Min_GapUp SepLines UpAM 0.000 0.933 0.500 0.515 0.529 0.176Maj_GapUp Harami UpAM 0.000 1.000 0.000 0.496 0.500 0.389Maj_GapDn Harami UpDay 0.000 1.000 0.000 0.490 0.500 0.455Maj_GapUp SepLines UpAM 0.000 1.000 0.500 0.483 0.500 0.289Maj_GapDn SepLines UpAM 0.000 1.000 0.000 0.480 0.500 0.318Min_GapDn SepLines UpAM 0.000 0.857 0.500 0.479 0.480 0.185Maj_GapDn Harami UpAM 0.000 1.000 0.000 0.430 0.333 0.447Min_GapUp 2ndEngulf UpClose 0.000 1.000 0.000 0.383 0.333 0.329Maj_GapDn 2ndEngulf UpDay 0.000 1.000 0.000 0.375 0.000 0.471Min_GapDn 2ndEngulf UpClose 0.000 1.000 0.000 0.370 0.333 0.318Min_GapDn Harami UpClose 0.000 1.000 0.500 0.365 0.333 0.241Maj_GapDn 2ndEngulf UpAM 0.000 1.000 0.000 0.350 0.000 0.456

Your Criteria for this run….. 1/7/20082ndEngulfIf Cells(N + 1, 3) <= ((Cells(N, 4) - Cells(N, 5)) * 0.25 + Cells(N, 5)) And Cells(N + 1, 4) > Cells(N, 4) And Cells(N + 1, 6) > Cells(N + 1, 3) Then

HaramiIf Cells(N, 6) < Cells(N, 3) And Cells(N + 1, 5) > Cells(N, 5) And Cells(N + 1, 4) < Cells(N, 4) And Cells(N + 2, 3) >= ((Cells(N + 1, 4) - Cells(N + 1, 5)) / 2) + Cells(N + 1, 5) Then

SepLinesIf Cells(N + 1, 5) >= ((Cells(N, 4) - Cells(N, 5)) * 0.5 + Cells(N, 5)) And Cells(N + 1, 6) > Cells(N + 1, 3) And Cells(N + 1, 4) > Cells(N, 4) Then

Results

Gap Bars Up Result Min Max Mode Ave Median StDevMin_GapUp 3BarDn Freq 3.000 30.000 15.000 12.404 12.000 4.559Min_GapDn 3BarDn Freq 2.000 21.000 7.000 9.660 9.000 3.577Min_GapUp MornStar Freq 1.000 17.000 6.000 7.974 8.000 3.106Min_GapDn MornStar Freq 0.000 15.000 5.000 6.774 6.000 3.049Min_GapUp Dn3rdUp Freq 0.000 15.000 5.000 5.566 5.000 2.547Min_GapDn Dn3rdUp Freq 0.000 15.000 3.000 4.766 4.000 2.569Maj_GapUp 3BarDn Freq 0.000 9.000 3.000 3.209 3.000 2.018Maj_GapUp MornStar Freq 0.000 6.000 2.000 2.034 2.000 1.405Maj_GapDn 3BarDn Freq 0.000 9.000 2.000 2.017 2.000 1.508Maj_GapDn MornStar Freq 0.000 7.000 1.000 1.485 1.000 1.295Maj_GapUp Dn3rdUp Freq 0.000 5.000 1.000 1.306 1.000 1.195Maj_GapDn Dn3rdUp Freq 0.000 5.000 0.000 0.817 1.000 0.950

Min_GapDn MornStar UpDay 0.000 1.000 1.000 0.814 0.857 0.218Min_GapUp MornStar UpDay 0.000 1.000 1.000 0.802 0.833 0.191Min_GapDn MornStar UpAM 0.000 1.000 1.000 0.757 0.800 0.233Min_GapUp MornStar UpAM 0.000 1.000 1.000 0.754 0.778 0.202Maj_GapUp MornStar UpDay 0.000 1.000 1.000 0.684 1.000 0.416Min_GapDn Dn3rdUp UpDay 0.000 1.000 1.000 0.660 0.667 0.286Maj_GapDn MornStar UpDay 0.000 1.000 1.000 0.658 1.000 0.438Maj_GapUp MornStar UpAM 0.000 1.000 1.000 0.627 0.750 0.420Min_GapUp Dn3rdUp UpDay 0.000 1.000 1.000 0.626 0.667 0.263Maj_GapDn MornStar UpAM 0.000 1.000 1.000 0.610 1.000 0.444Min_GapDn Dn3rdUp UpAM 0.000 1.000 1.000 0.560 0.600 0.300Min_GapUp Dn3rdUp UpAM 0.000 1.000 0.500 0.549 0.600 0.271Maj_GapUp Dn3rdUp UpDay 0.000 1.000 0.000 0.443 0.500 0.449Min_GapDn MornStar UpClose 0.000 1.000 0.500 0.438 0.444 0.218Min_GapUp MornStar UpClose 0.000 1.000 0.500 0.422 0.429 0.201Maj_GapDn Dn3rdUp UpDay 0.000 1.000 0.000 0.387 0.000 0.469Maj_GapUp MornStar UpClose 0.000 1.000 0.000 0.383 0.333 0.373Maj_GapDn MornStar UpClose 0.000 1.000 0.000 0.382 0.250 0.422Maj_GapUp Dn3rdUp UpAM 0.000 1.000 0.000 0.365 0.000 0.427Maj_GapDn Dn3rdUp UpAM 0.000 1.000 0.000 0.341 0.000 0.452Min_GapDn Dn3rdUp UpClose 0.000 1.000 0.000 0.330 0.333 0.249Min_GapUp Dn3rdUp UpClose 0.000 1.000 0.000 0.318 0.333 0.234Maj_GapDn 3BarDn UpDay 0.000 1.000 0.000 0.255 0.000 0.338Min_GapDn 3BarDn UpDay 0.000 0.667 0.000 0.227 0.222 0.148Maj_GapUp Dn3rdUp UpClose 0.000 1.000 0.000 0.219 0.000 0.341

Your Criteria for this run….. 1/8/20083BarDnIf Cells(N, 6) < Cells(N, 3) And Cells(N + 1, 6) < Cells(N, 6) And Cells(N + 2, 6) < Cells(N + 1, 6) Then

MornStar If Cells(N, 6) < Cells(N, 3) And Cells(N + 1, 6) > Cells(N + 1, 3) And Cells(N + 2, 6) > Cells(N + 2, 3) And Cells(N + 2, 3) >= ((Cells(N, 4) - Cells(N, 5)) / 2 + Cells(N, 5)) Then

Dn3rdUpIf Cells(N, 6) < Cells(N, 3) And Cells(N + 1, 6) < Cells(N, 6) And Cells(N + 2, 6) > Cells(N + 1, 3) Then

Results

Gap Bars Up Result Min Max Mode Ave Median StDevMin_GapDn 1barUp Freq 1.000 109.000 49.000 58.004 56.000 15.947Min_GapUp 1barUp Freq 10.000 89.000 52.000 53.621 53.000 11.518Min_GapDn 2barsUp Freq 0.000 60.000 28.000 27.770 27.000 9.299Min_GapUp 2barsUp Freq 3.000 46.000 24.000 25.557 25.000 6.334Maj_GapDn 1barUp Freq 0.000 32.000 14.000 13.855 13.000 5.561Min_GapDn 3barsUp Freq 0.000 30.000 14.000 13.111 13.000 5.559Maj_GapUp 1barUp Freq 2.000 28.000 11.000 11.549 11.000 4.804Min_GapUp 3barsUp Freq 0.000 24.000 11.000 11.506 11.000 4.106Maj_GapDn 2barsUp Freq 0.000 21.000 7.000 6.962 7.000 3.311Maj_GapUp 2barsUp Freq 0.000 15.000 3.000 5.626 5.000 2.699Maj_GapDn 3barsUp Freq 0.000 12.000 3.000 3.200 3.000 2.195Maj_GapUp 3barsUp Freq 0.000 9.000 2.000 2.426 2.000 1.686

Min_GapUp 3barsUp UpDay 0.000 1.000 1.000 0.883 0.917 0.149Min_GapUp 3barsUp UpAM 0.000 1.000 1.000 0.854 0.889 0.168Min_GapDn 3barsUp UpDay 0.000 1.000 1.000 0.851 0.882 0.159Min_GapDn 3barsUp UpAM 0.000 1.000 1.000 0.808 0.846 0.187Maj_GapUp 3barsUp UpDay 0.000 1.000 1.000 0.781 1.000 0.363Maj_GapDn 3barsUp UpDay 0.000 1.000 1.000 0.774 1.000 0.337Maj_GapUp 3barsUp UpAM 0.000 1.000 1.000 0.752 1.000 0.370Maj_GapDn 3barsUp UpAM 0.000 1.000 1.000 0.731 0.875 0.353Min_GapUp 2barsUp UpDay 0.105 0.882 0.500 0.643 0.657 0.146Maj_GapUp 2barsUp UpDay 0.000 1.000 1.000 0.636 0.667 0.251Maj_GapDn 2barsUp UpDay 0.000 1.000 1.000 0.622 0.667 0.234Min_GapDn 2barsUp UpDay 0.000 0.900 0.500 0.621 0.633 0.146Min_GapUp 1barUp UpDay 0.018 0.872 0.500 0.586 0.604 0.130Maj_GapDn 1barUp UpDay 0.000 1.000 0.500 0.580 0.600 0.186Min_GapUp 2barsUp UpAM 0.000 0.875 0.500 0.576 0.600 0.161Maj_GapUp 1barUp UpDay 0.000 1.000 0.500 0.573 0.571 0.183Min_GapDn 1barUp UpDay 0.000 0.897 0.600 0.571 0.590 0.141Maj_GapUp 2barsUp UpAM 0.000 1.000 0.667 0.560 0.625 0.256Min_GapDn 2barsUp UpAM 0.000 0.850 0.500 0.541 0.553 0.162Maj_GapDn 2barsUp UpAM 0.000 1.000 0.500 0.537 0.556 0.246Min_GapUp 3barsUp UpClose 0.000 0.917 0.500 0.528 0.545 0.174Min_GapUp 1barUp UpAM 0.000 0.821 0.500 0.500 0.508 0.139Maj_GapUp 3barsUp UpClose 0.000 1.000 0.000 0.495 0.500 0.370Maj_GapDn 1barUp UpAM 0.000 0.909 0.500 0.490 0.500 0.193

Your Criteria for this run….. 1/8/20083barsUpIf Cells(N, 6) > Cells(N, 3) And Cells(N + 1, 6) > Cells(N + 1, 3) And Cells(N + 2, 6) > Cells(N + 2, 3) Then

2barsUpIf Cells(N, 6) > Cells(N, 3) And Cells(N + 1, 6) > Cells(N + 1, 3) Then

1barUpIf Cells(N, 6) > Cells(N, 3) Then

Results

Gap Bars Up Result Min Max Mode Ave Median StDevMin_GapDn Up2ndDn Freq 1.000 52.000 28.000 28.251 28.000 8.185Min_GapUp 1DnUp Freq 2.000 45.000 26.000 28.200 28.000 6.456Min_GapUp Up2ndDn Freq 6.000 48.000 26.000 25.864 26.000 7.231Min_GapDn 1DnUp Freq 3.000 39.000 20.000 22.821 23.000 5.771Maj_GapUp 1DnUp Freq 0.000 18.000 6.000 7.140 7.000 3.260Maj_GapDn Up2ndDn Freq 0.000 17.000 5.000 6.477 6.000 3.272Maj_GapUp Up2ndDn Freq 0.000 17.000 5.000 5.549 5.000 3.014Maj_GapDn 1DnUp Freq 0.000 14.000 5.000 4.940 5.000 2.642Min_GapDn UpDnUp Freq 0.000 9.000 2.000 2.719 2.000 1.839Min_GapUp UpDnUp Freq 0.000 8.000 2.000 2.379 2.000 1.655

Maj_GapDn 1DnUp UpDay 0.000 1.000 1.000 0.605 0.600 0.282Min_GapDn 1DnUp UpDay 0.000 1.000 0.667 0.593 0.615 0.162Maj_GapDn UpDnUp Freq 0.000 4.000 0.000 0.583 0.000 0.830Maj_GapUp 1DnUp UpDay 0.000 1.000 0.500 0.576 0.600 0.244Min_GapUp 1DnUp UpDay 0.000 0.848 0.667 0.574 0.588 0.144Min_GapDn UpDnUp UpDay 0.000 1.000 1.000 0.530 0.500 0.381Maj_GapDn 1DnUp UpAM 0.000 1.000 0.500 0.527 0.500 0.283Maj_GapDn Up2ndDn UpDay 0.000 1.000 0.500 0.504 0.500 0.253Min_GapDn 1DnUp UpAM 0.000 0.900 0.500 0.500 0.517 0.163Min_GapUp UpDnUp UpDay 0.000 1.000 0.000 0.495 0.500 0.383Min_GapDn Up2ndDn UpDay 0.000 0.833 0.500 0.494 0.500 0.150Maj_GapUp 1DnUp UpAM 0.000 1.000 0.500 0.484 0.500 0.249Min_GapUp 1DnUp UpAM 0.000 0.800 0.500 0.483 0.500 0.146Min_GapUp Up2ndDn UpDay 0.000 0.769 0.500 0.473 0.481 0.135Maj_GapUp UpDnUp Freq 0.000 3.000 0.000 0.468 0.000 0.706Maj_GapUp Up2ndDn UpDay 0.000 1.000 0.500 0.452 0.500 0.274Min_GapDn UpDnUp UpAM 0.000 1.000 0.000 0.440 0.429 0.381Min_GapUp UpDnUp UpAM 0.000 1.000 0.000 0.413 0.400 0.372Maj_GapDn Up2ndDn UpAM 0.000 1.000 0.500 0.407 0.400 0.251Min_GapDn Up2ndDn UpAM 0.000 0.788 0.500 0.397 0.408 0.154Min_GapUp Up2ndDn UpAM 0.000 0.735 0.333 0.381 0.381 0.135Maj_GapUp Up2ndDn UpAM 0.000 1.000 0.000 0.372 0.375 0.271Maj_GapUp 1DnUp UpClose 0.000 1.000 0.000 0.317 0.286 0.216Maj_GapDn 1DnUp UpClose 0.000 1.000 0.000 0.297 0.333 0.240Min_GapDn 1DnUp UpClose 0.000 0.600 0.286 0.297 0.294 0.126Min_GapUp 1DnUp UpClose 0.000 0.576 0.286 0.293 0.292 0.108

Your Criteria for this run….. 1/8/2008UpDnUpIf Cells(N, 6) > Cells(N, 3) And Cells(N + 1, 6) < Cells(N, 3) And Cells(N + 2, 6) >= Cells(N, 3) Then

Up2ndDnIf Cells(N, 6) > Cells(N, 3) And Cells(N + 1, 6) < Cells(N, 6) Then

1barUpIf Cells(N, 6) < Cells(N, 3) And Cells(N + 1, 6) > Cells(N, 6) Then

Results

Table of Results from PercentUp CalculationsGap Bars Up Result Min Max Mode Ave Median StDevMin_GapUp UpHalf Freq 4.000 77.000 42.000 46.396 45.000 8.380Min_GapDn UpHalf Freq 2.000 83.000 49.000 46.034 45.000 11.927Min_GapUp 2ndBarHi Freq 5.000 71.000 44.000 43.000 43.000 9.215Min_GapUp 3rdBarHi Freq 3.000 68.000 41.000 41.468 41.000 8.760Maj_GapUp 2ndBarHi Freq 3.000 45.000 21.000 22.711 22.000 7.317Maj_GapUp 3rdBarHi Freq 2.000 43.000 25.000 21.404 21.000 6.979Min_GapDn 3rdBarHi Freq 0.000 26.000 9.000 11.562 11.000 4.407Maj_GapDn UpHalf Freq 1.000 27.000 11.000 11.260 11.000 4.334Maj_GapUp UpHalf Freq 0.000 27.000 9.000 10.791 10.000 4.073Min_GapDn 2ndBarHi Freq 0.000 22.000 9.000 10.034 10.000 3.828

Min_GapUp UpHalf UpDay 0.136 0.980 0.857 0.758 0.783 0.136Maj_GapUp UpHalf UpDay 0.000 1.000 1.000 0.748 0.778 0.182Min_GapDn UpHalf UpDay 0.000 1.000 0.667 0.745 0.780 0.147Maj_GapDn UpHalf UpDay 0.000 1.000 1.000 0.738 0.778 0.189Min_GapUp UpHalf UpAM 0.068 0.979 0.667 0.703 0.732 0.154Maj_GapUp UpHalf UpAM 0.000 1.000 0.667 0.692 0.714 0.202Min_GapDn UpHalf UpAM 0.000 0.962 0.750 0.685 0.717 0.163Maj_GapDn UpHalf UpAM 0.000 1.000 0.500 0.676 0.714 0.206Min_GapDn 3rdBarHi UpDay 0.000 1.000 0.750 0.675 0.667 0.180Min_GapUp 3rdBarHi UpDay 0.000 0.880 0.667 0.614 0.635 0.129Min_GapDn 3rdBarHi UpAM 0.000 1.000 0.500 0.599 0.615 0.199Min_GapUp 2ndBarHi UpDay 0.000 0.833 0.528 0.571 0.588 0.136Maj_GapUp 3rdBarHi UpDay 0.000 1.000 0.500 0.571 0.579 0.154Maj_GapUp 2ndBarHi UpDay 0.000 0.909 0.667 0.565 0.586 0.155Min_GapDn 2ndBarHi UpDay 0.000 1.000 0.500 0.542 0.556 0.210Min_GapUp 3rdBarHi UpAM 0.000 0.840 0.500 0.539 0.561 0.141Maj_GapDn 3rdBarHi Freq 0.000 4.000 0.000 0.494 0.000 0.759Maj_GapUp 3rdBarHi UpAM 0.000 1.000 0.500 0.492 0.500 0.160Min_GapUp 2ndBarHi UpAM 0.000 0.788 0.500 0.483 0.500 0.150Maj_GapUp 2ndBarHi UpAM 0.000 0.909 0.500 0.477 0.500 0.170Min_GapDn 2ndBarHi UpAM 0.000 1.000 0.500 0.444 0.444 0.212Maj_GapUp UpHalf UpClose 0.000 0.909 0.500 0.431 0.444 0.178Min_GapUp UpHalf UpClose 0.000 0.679 0.500 0.422 0.429 0.116Maj_GapDn UpHalf UpClose 0.000 1.000 0.500 0.400 0.400 0.198Min_GapDn UpHalf UpClose 0.000 0.686 0.500 0.400 0.400 0.113Min_GapDn 3rdBarHi UpClose 0.000 1.000 0.333 0.381 0.364 0.174Maj_GapDn 2ndBarHi Freq 0.000 3.000 0.000 0.340 0.000 0.602Min_GapUp 3rdBarHi UpClose 0.000 0.591 0.400 0.331 0.340 0.098Maj_GapUp 3rdBarHi UpClose 0.000 0.667 0.333 0.305 0.308 0.125

Your Criteria for this run….. 1/8/2008UpHalfIf Cells(N+1, C_) > (((Cells(N, H_) - Cells(N, L_))/2 + Cells(N, L_)) And Cells(N+2, C_) > (((Cells(N, H_) - Cells(N, L_))/2 + Cells(N, L_)) Then

3rdBarHiIf Cells(N+2, H_) > PrevHi(N) Then

2ndBarHiIf Cells(N+1, H_) > PrevHi(N) Then

Summary

There are tradeable patterns based on Morning Gap, and action of the first three 10 minute bars with probabilities of higher prices in the 60, 70 and 80% range. An entry point for the trade is on the 2nd or 3rd bar depending on the pattern. The analysis is not complete because an Exit strategy has not been discussed. There has been no discussion of how to determine the High of the day and therefore when to exit the trade. Also there are many more patterns to review. I plan to do analysis of the probability of price Decrease after finding the patterns.

I am also working on streamlining the VBA program so that there is only one program with the ability input the pattern to look for.