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> To my surprise, almost exactly 50/50. Given the overall upward
> movement of the market since 1992 I initially assumed I had done
> something wrong. Then I realised that these these figures related
> to intraday movement only, and took no account of opening gaps.
> Turns out that on average, all the upward movement in FTSE future
> since 1992 can be accounted for by the opening gaps.
Not just the FTSE. Just a few days ago I knocked out a quick&dirty
indicator to compute these kinds of stats, and ran it on the last few
years of SP and ND.
Result: The intraday action in both SP and ND is NEGATIVE, on
average. ALL the upward motion has come from overnight gaps. So
intraday traders should feel very comfortable going long AND short,
but position traders should be aware of the long bias (for the past
several years anyway) in overnight positions. Could have an impact
on short positions. (Or it may be that the negative gaps tend to
happen when the trend is down, and there are just fewer negative gaps
because the overall market trend has been up. I didn't look into
that.)
Here are some sample stats. The indicator code is below. It is
definitely nothing fancy. I'm not even certain it's 100% correct --
some of the numbers seem to be few percent off -- but it was close
enough that I didn't want to blow any more time on it. You're
welcome to if you want to.
Gary
========================
ND starts on 3/5/98, SP starts on 1/1/98, both go through 6/15/00.
*** SP:
608 days of data
Net intraday movement = -45.90, avg = -0.08
( 306 up days, total = 3288.80, avg = 10.75
297 dn days, total = -3334.70, avg = -11.23
5 days with ZERO movement)
Net gap movement = 408.20, avg = 0.67
( 346 up gaps, total = 1892.10, avg = 5.47
254 dn gaps, total = -1483.90, avg = -5.84
8 days with ZERO gap)
*** ND:
582 days of data
Net intraday movement = -627.73, avg = -1.08
( 315 up days, total = 11815.00, avg = 37.51
261 dn days, total = -12442.70, avg = -47.67
6 days with ZERO movement)
Net gap movement = 2964.48, avg = 5.09
( 341 up gaps, total = 7057.90, avg = 20.70
226 dn gaps, total = -4093.42, avg = -18.11
15 days with ZERO gap)
Now here's the same study, since 1/1/2000:
(My SP and ND data aren't quite uniform so that's why they show
different numbers of days. :-)
*** SP:
114 days of data
Net intraday movement = -74.70, avg = -0.66
( 51 up days, total = 874.30, avg = 17.14
61 dn days, total = -949.00, avg = -15.56
2 days with ZERO movement)
Net gap movement = 63.70, avg = 0.56
( 63 up gaps, total = 438.10, avg = 6.95
50 dn gaps, total = -374.40, avg = -7.49
1 days with ZERO gap)
*** ND:
117 days of data
Net intraday movement = -1265.40, avg = -10.82
( 57 up days, total = 5159.50, avg = 90.52
58 dn days, total = -6424.90, avg = -110.77
2 days with ZERO movement)
Net gap movement = 1068.40, avg = 9.13
( 69 up gaps, total = 2962.00, avg = 42.93
45 dn gaps, total = -1893.60, avg = -42.08
3 days with ZERO gap)
It looks like over the last several years, and continuing this year,
the intraday action tends to be negative.
===============================================
vars: upday(0), Nupday(0), dnday(0), Ndnday(0), Ndays(0),
upgap(0), Nupgap(0), dngap(0), Ndngap(0);
if o > c[1] then upgap = upgap + o - c[1];
if o > c[1] then Nupgap = Nupgap + 1;
if o < c[1] then dngap = dngap + o - c[1];
if o < c[1] then Ndngap = Ndngap + 1;
if c > o then upday = upday + c - o;
if c > o then Nupday = Nupday + 1;
if c < o then dnday = dnday + c - o;
if c < o then Ndnday = Ndnday + 1;
Ndays = Ndays + 1;
if LastBarOnChart then begin
print(Ndays:4:0," days of data");
print("Net intraday movement = ", upday + dnday:5:2,", avg = ",
(upday + dnday) / Ndays:4:2);
print(" (",Nupday:5:0," up days, total = ",upday:5:2,", avg =
",upday/Nupday:4:2); print(" ",Ndnday:5:0," dn days, total =
",dnday:5:2,", avg = ",dnday/Ndnday:4:2); print(" ",Ndays - Nupday -
Ndnday:5:0," days with ZERO movement)"); print("Net gap movement = ",
upgap + dngap:5:2,", avg = ",
(upgap + dngap) / Ndays:4:2);
print(" (",Nupgap:5:0," up gaps, total = ",upgap:5:2,", avg =
",upgap/Nupgap:4:2); print(" ",Ndngap:5:0," dn gaps, total =
",dngap:5:2,", avg = ",dngap/Ndngap:4:2); print(" ",Ndays - Nupgap -
Ndngap:5:0," days with ZERO gap)"); end;
if 1=2 then plot1(0,"");
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