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On Mar 4, 12:23pm, Dr. John Cappello wrote:
> Subject: [RT] S&P Statistics
>
> I continue to work on what I would like to be the ultimate S&P daytrading
> system with high per cent wins,one trade per day and early in the day
> preferably,low drawdown and minimum of $10,000 per month.
>
> Will share/give whatever I develop...no big deal.
>
> I know on average the S&P market goes up 50% of the days and down 50% of the
> days.
>
> Need source or data for:
>
> 1.Per cent of times market goes up or down for each day of the week.Angell's
> work touches this but need more detail.
John, this study is a bit dated, but perhaps you can use the
methodology to look at more recent data:
http://www.intrepid.com/~gary/trading/SP_Day_of_Week.html
> 2.The average hour of the day where there appears to be the most volatility.
>
> 3.Max consecutive days up and down.
>
> 4.Affect of overnight action on day action e.g.if overnight up does day tend
> to be likewise and vice versa.
Just my own experience, is that the patterns you mention above
(to a large degree, even day-of-week) just don't seem stable
enough to trade effectively. If you run your analysis year-by-year
for example, you'll probably find different hourly effects, different
trends in runs, etc. I tried building a day-of-week system once
that adapted as the day-of-week effect changed (for example,
it traded only the day with the highest percentage win rate, over
the past 20 samples), and it did little better than a flip of
the coin. One of the problematic issues with the S&P in particular,
is 'they' often take most of the day's move out at the open.
In other words, on a big up day - you'll often see a lot of
it absorbed at the open. And, if you tried to trade this at
pre-open on Globex, you'll get kicked around by the big gaps
that often occur then, and some wicked reversals. Tough to
control risk. This may have changed with the advent of the
e-mini, however, and the move to more round-the-clock trading.
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