Letters To S&C by Technical Analysis, Inc.
LAST-HOUR TRADING TECHNIQUES
I read Ashwani Gujral’s August 2012 article in S&C (“Last-Hour Trading Techniques”). It presents a really nice idea. I would like to know: How many years of data did he use in his backtest (2000–2012?). Which data vendor did he use and which software backtesting tool? How many stocks are included in the backtest? How many of the Indian stocks are liquid, and does he use a liquidity filter?
I’m in Germany, and my research shows that only around 100-150 German stocks are “tradable” from a liquidity point of view. Did Gujral test markets other than the Indian stock market for this idea?
Author Ashwani Gujral replies:
Let’s get straight to your questions:
1) I have tested this strategy over the last two years (with real money). I would think this strategy would work on most days because there is always activity somewhere in the market.