DislikedCorrect me if I'm in err, but when you define up week, you are stating that it will close within x% of the range after the fact (i.e. first you slice the data into up and dn weeks, and then describe some conditional statistics)....Ignored
"quantify how far up or down it will move FOLLOWING that week GIVEN some condition (i.e. it was UP or DN in the prior week/n periods)"
Yes, that is a good idea ... I'll see if I can figure out how to do that in R.
I was also going to look at if its an up week, what is the (1) distribution and avg # of pips move below the prevoius week's high, and (2) distribution and avg # of pips move below the current week's open. This would be useful to konw if its likely to move X pips below ... if it moves much more than that, then historically it won't be an up week and will instead be a down week.
Overall, I think having the stats are helpful. It gives mathematical proof of closing near extremes for the week (rather than in the middle), and if I'm long and it looks to be an up week ... to hold. Look at EURUSD the past week (I know ... its just one data point ...), but I was quite long at the start of the week ... normally I would have punched out much earlier, but after running these stats I forced myself to hold ... and it close at the high for the week. Since EUR data is coming out Monday am, I will unload a bunch at the open this evening, and hold just a small portion long with SL at b/e.
Overall the stats will lend insight ... and help put things in perspective and if we use them correctly, help them give us an edge.
I'll post later here a summary of EURUSD (and other pairs) ... I'm currently working on this now.
Regards,
EZ