All market gains since 1993 have occurred after hours

  • Thread starter Thread starter krugman25
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eurusdzn said:
The gold study seems to support basic correlation. Swapping stocks in daytime for cash is bad
for gold if fear/vol is not so bad.
So , overnight is stocks, gold and possibly treasuries down as well, USD up , to be reversed in the US day session? Some serious extrapolation/guessing here on my part.
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It just seems odd that it is literally every market around the globe that shows this. If these things are correlated then you would think one has to be the chicken and the other the egg.

NinjaTrader doesn't like how I am converting the files into NT formatted files. Once I get this figured out I can hopefully expand these tests to some other instruments.
 
I would like to graph the daytime gains against the nighttime gains and see if there is any correlation there. Without testing it, my prediction is that there would be a little bit of a "smile". Days where there are huge down days the overnight has a better chance of gapping up, and days where there are huge up day the overnight would have higher chance of gapping up as well, with that in-between being close to random up/down.

Another way I want to slice it is returns by day of the week. That may reveal interesting correlations as well.

I just want to throw my guesses out here as a bit of fun before I see what the data shows.

Just waiting on NinjaTrader tech support...
 
Seems big firm stuff to create studies for lead/lag correlations (autocorr?) on Asian markets to European markets to US markets across multiple assets to find chicken and egg relationships.
 
eurusdzn said:
Seems big firm stuff to create studies for lead/lag correlations (autocorr?) on Asian markets to European markets to US markets across multiple assets to find chicken and egg relationships.
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Or a really talented software dev. I think I know one of them :sneaky:
 
krugman25 said:
Have you looked at the data sets and graphs that have been posted? ......... At the time of that article, in SPY the O2C session net gains were -4%. In QQQ it was much worse with the O2C session down -65%.
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Yes , partly+ your headline is wrong,100% wrong.[Of course since my data shows start of QQQ in 1999, not exactly 25 years,LOL. Congrats on admitting you were wrong@ last on page 2.]

Actually , Kman21 your headline could be right on DOW/DIA; like the founder of IBD noted ''its easier to manipulate.'' But i seldom keep up with DOW/DIA, so i dont know.Thanks:D:D,:caution::caution::caution::caution::caution::caution:
 
krugman25 said:
I read an interesting article that said all market gains have occurred after hours since 1993. If you exclude after hours gains, the market is actually down. I find this completely fascinating.

With that in mind it seems one could take advantage of price action in these two time windows. Something basic that comes to mind are opening bull call spreads at market close and closing at the open. That would help capture the overnight gains and protect from a major overnight selloff. On the flipside, it seems a theta capturing strategy that is opened at the open and closed at the closed would be optimal, since the market has basically been a sideways market for the last 20 years when looking at just open hours.

Does anyone here already trade this phenomena or has studied this out in more detail?
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Link to article ?
 
murray t turtle said:
Yes , partly+ your headline is wrong,100% wrong.[Of course since my data shows start of QQQ in 1999, not exactly 25 years,LOL. Congrats on admitting you were wrong@ last on page 2.]
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Can you quote where I said I was wrong, I can't find anything on page 2.
 
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