And During the day you should keep tracking of the running cumulative total of the rotation factors. As you can see the performance was OK but nothing to write home about. Stocks that seem to often gap higher on the open might continue to do so. I see an issue in comparing the unadjusted close to adjusted O, H, L. Simulations created with Amibroker using survivorship-bias free data from Norgate Premium Data.
September 27, 2015
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