If true (no idea, have not read) then it's the result of the EU tail wagging the dog. Europe's overnight gains rallying futures into the US open.
If true (no idea, have not read) then it's the result of the EU tail wagging the dog. Europe's overnight gains rallying futures into the US open.
Nothing new here - the overnight markets tack on a great deal of the stock index gains. This started to really pick up after the subprime crash.
The global indexes are vastly in sync, the growth of futures trading makes the indexes in the U.S., Asia, & Europe a big feedback loop with any one of them being able to effect the others in real-time.
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The global indexes are vastly in sync, the growth of futures trading makes the indexes in the U.S., Asia, & Europe a big feedback loop with any one of them being able to effect the others in real-time.
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View attachment 200783
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Where is the article? Do you know specifically what they tested?
"All" market gains since 1993 during after hours is obviously not true. If you're saying that a large part of the market gains happened after hours - then that's a different matter.
Let's look at the last 6 years of data in the e-mini S&P futures and let's look at only days where the net change is positive on the day, i.e., the market closing higher than the prior day.
I count 852 days.
75 % of these days opened above the prior close. This means that 25 % of the days opened below the prior close and that we actually saw a loss during after hours, but a loss which were recovered during market hours.
82 % of these days closed higher than it opened meaning that further gains were accrued during market hours (RTH).
This negates your statement (or the article's) of all market gains happening during after hours.
It is however true that a high percentage of net positive days start with a gap up from the prior close.
"All" market gains since 1993 during after hours is obviously not true. If you're saying that a large part of the market gains happened after hours - then that's a different matter.
Let's look at the last 6 years of data in the e-mini S&P futures and let's look at only days where the net change is positive on the day, i.e., the market closing higher than the prior day.
I count 852 days.
75 % of these days opened above the prior close. This means that 25 % of the days opened below the prior close and that we actually saw a loss during after hours, but a loss which were recovered during market hours.
82 % of these days closed higher than it opened meaning that further gains were accrued during market hours (RTH).
This negates your statement (or the article's) of all market gains happening during after hours.
It is however true that a high percentage of net positive days start with a gap up from the prior close.
%%Most swing/position tradrs count on + profit from that.NO, it does not work so well doing it daily, too many commissions/slippage...…...And no such thing as a risk premium with no losses,some huge losses. Ever wonder why insuirance co don't sell much daily insurance; its 6 mo or monthly/yearly. Thanks
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krugman25
Been posted in this thread. Look and you will find.
Yes, the title is indeed true. Net gains during market hours were down 4% over a 25 year period. Net gains during after market hours were up 600% in that same 25 year period. Hence, all net gains made over that 25 year period came from the overnight session. It's simply the historical data, not anyones opinion.
Two strategies:
1) Buy the market and hold it for 25 years
2) Buy the market at close and sell on open for 25 year
Disadvantages of strategy 2)
- 2 x commission each day for 25 years
- market impact two times each day (no matter how insignificant, trading does by definition always imply marginal price impact)
- potential slippage (try trading e-minis or SPY back and forth even just in a paper account and see if you can trade without slippage; there are no opening and closing auctions for the e-minis)
- risk that the strategy may stop working or that the entire return will suddenly only accrue during opening hours
- cost of time spend to implement the strategy – either programming or manually trading each day
Advantages of strategy 2)
- would have avoided -4% over the last 25 years
- capital available for trading during opening hours
- smaller drawdowns?
- ...
1) Buy the market and hold it for 25 years
2) Buy the market at close and sell on open for 25 year
Disadvantages of strategy 2)
- 2 x commission each day for 25 years
- market impact two times each day (no matter how insignificant, trading does by definition always imply marginal price impact)
- potential slippage (try trading e-minis or SPY back and forth even just in a paper account and see if you can trade without slippage; there are no opening and closing auctions for the e-minis)
- risk that the strategy may stop working or that the entire return will suddenly only accrue during opening hours
- cost of time spend to implement the strategy – either programming or manually trading each day
Advantages of strategy 2)
- would have avoided -4% over the last 25 years
- capital available for trading during opening hours
- smaller drawdowns?
- ...
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K
krugman25
What about strategy #3, #4, etc. Think outside the box.
K
krugman25
Of course not, and I don't think anyone has suggested that.
Holding equity markets in the night session does produce positive returns over a several year period. But after commissions and high trading volume it tends to generate single digit annualized returns with an unexciting sharpe, not to mention tail events like the overnight flash crash in August 2017.
This 'edge' has been well known and studied for at least a couple of decades now. All things considered, including transaction costs its hard to beat buy and hold with a 200d moving average.
This 'edge' has been well known and studied for at least a couple of decades now. All things considered, including transaction costs its hard to beat buy and hold with a 200d moving average.
K
krugman25
It begs the question, why is the phenomena present in all markets including foreign markets. When 1 is closed another is open. Many more questions that need answers on this.