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I'm not sure if we can conclude there is a STATISTICAL significance to this
study,
but my "gut" says it is right.
If it is right, then a perfect hedge would be to :
intermediate term (5-10 days), put on credit put spreads (bullish)
intra day (1-6 hours), scalp the rallies, especially on the open by buying
at-the-money puts (bearish).
How could you go wrong with a strategy like that....you clean-up on both
sides.
Only killer scenario to this is horrific opening gaps down with an intraday
rally.
We know that is a low probability event, right ?
> -----Original Message-----
> From: Gary Fritz [mailto:fritz@xxxxxxxx]
> Sent: Friday, June 23, 2000 10:45 AM
> To: omega-list@xxxxxxxxxx
> Subject: Re: A Quick Poll
>
>
> > 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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