ES Journal Archive (2006 - 2008)

[smilingsynic]

Quote from vertigo3:

smilingsynic,
I've read similar studies (Steenbarger might have written one of them) about the exact same condition of which you speak. However, the one flaw in simply measuring "buy open sell close" and vice versa is that this kind of limited study does not account for fluctuations of price inside the day (the intraday swings RTH) and that is where the intraday trader plays.

These studies (AH versus RTH) are exactly why I run FLoor Trader pivots and fibbos on the AH.

Of course there are fluctuations throughout the day, and it is by taking advantage of those are where the intraday trader makes a living. I use floor trader pivots and trade off the open every day (I consider myself a tape reader in the classic, pre-T&S version). But my point was that an intraday trader cannot simply go long just because the end of day trend is up. Intraday, overall, there IS no bias.

The sum total of the intraday fluctuations is zero; intraday trading is a zero sum game minus vig, which at least partially explains why so many intraday traders fail and should probably stick to longer-term, end-of-day trading.

For the most part, price hangs around pretty close to the open. If price gets too far from the open, expect a reversal, being aware that on some days, like yesterday, there WILL be a trend.

 

[blaster1]

Long 64.25.

Edit: out -2 ticks.

 

[Pekelo]

Quote from smilingsynic:

I did a study of Google...

The same holds for the S&P.

What can be a valid observation for a particular stock doesn't need to be valid for an index.

The SPX rallied 110 points in 2 weeks from March 18th. According to you that is largely due to overnight upgaps. Unfortunatelly for the theory there were only 2 upgaps that hadn't been filled right away, one was only about 15 or so points on Apr 1st and that day's 43 or so gain came mostly from the rally DURING the day and not from the upgap of 15 points.The other was when the rally started on March 18th...Again, 60+% of the day's gain came during the day and not from the gap...

So your theory is nicely refuted by the intraday advances of March 18th (35 points) , 20th, (30 points) 24th (20 points) and Apr 1st (28points).

Of course I could show the same intraday movements for the selloff of the beginning of the year.

Your statement was simply ridiculous....

 

[blaster1]

Long ES 62.75.
Long YM 12595.

Edit: stopped on both.

 

[Pholeuon]

I will say what SmilingS says is valid for many futures, like currencies, gold, silver, crude, etc. There is really more movement out of RTH may be simple because 24 is more than 6.5 h.

However by index futures it is not true, as minimum not during last months. I will say that in this situation, even if the price went out of EOD than before start it simple returns back - sometimes it is even amazing how they rush in start block.
It looks to me that year ago the gaps were much more important than last times.

 

[blaster1]

Short 59.75.

Edit: covered +1.

 

[Pekelo]

Quote from smilingsynic:

I did a study of Google when it was in its bull run

Out of curiosity I did a quick study of GOOG's descent from $710 to $412 in 3 months. Overnight downgaps were responsible for only $90 of that loss, the rest of the movement came during the trading day...

So there you have it. Both for the stock and for an index the afterhours movement is about 30% of the whole rally/sell off of a given timeframe (assuming no big news released in that frame)......

 

[Buy1Sell2]

daytrade trend continues up here. As I remarked, we are overbought. Market looks more buyable here now than this morning.

 

[blaster1]

Short 61.

Edit: stopped -1.

 

[blaster1]

Long 60.50. Possible hold till close.