S & P stats ?

regough · Mar 10, 2003

Any of you quants out there happen to know these percentages?

percent of days(in the past year) where:

market opened up and closed up

market opened up and closed down

market opened down and closed down

market opened down and closed up

I know, I know, there are other choices (mrkt opened flat and closed flat, mrkt opened down and closed flat, etc., etc. ) but I figure the above 4(four) choices must cover a good percentage (most?) of the market days.

Just curious. . . . . . . . . .

harrytrader · Mar 10, 2003

Here a site with statitiscs
http://www.ftor.de/indoben2mi.html

It doesn't answer your questions but it has some non trivial statitics as for yours with excel it should be easy. Just download quotes.

regough · Mar 10, 2003

Harrytrader- Thanks for your reply and the link, however when I tried the site all I got was a blank page????

Bob.

man · Mar 10, 2003

pattern events %
UpUp 127 42.76%
UpDn 163 54.88%
DnUp 2 0.67%
DnDn 5 1.68%
sum 297

peace

regough · Mar 10, 2003

Excellent- just what I needed !

Thanks, man.

man · Mar 10, 2003

I assume these should tell more:

DJI
UpUp 76 25.59%
UpDn 47 15.82%
DnUp 56 18.86%
DnDn 118 39.73%
sum 297

NDX
UpUp 87 29.39%
UpDn 60 20.27%
DnUp 51 17.23%
DnDn 98 33.11%
sum 296

SP1 generic future
UpUp 82 27.70%
UpDn 54 18.24%
DnUp 56 18.92%
DnDn 104 35.14%
sum 296

peace

man · Mar 10, 2003

SP1 generic future since 1990

UpUp 1150 34.70%
UpDn 621 18.74%
DnUp 574 17.32%
DnDn 969 29.24%
sum 3314

peace

regough · Mar 10, 2003

Thanks, man- that is great info. If you haven't figured out by now, I am just curious what the "odds" are on the initial trend(or opening ) are on reversing. Obviously, markets can and do reverse any time they feel like it(sometimes, several times in a day

) but I'm just trying to get a sense of how likely it will be a continuation day or a reversal day overall(just to be watching for it, I guess) again thanks.

uptik2000 · Mar 10, 2003

re-

Crable has a lot of these stats in his book.....but they're from past years....seems like it would be simpl to make your own spreadsheet, download some eod data and figure all of it out.
Sounds like a fun project.maybe I'll start one this week...let me know if you come up with anything else.

Happy Trading.

uptik2000

man · Mar 10, 2003

if that data is any value. do not forget that you did not ask whether a day was an up or a down day but just whether it opened and closed compared to the previous close. and you do not have an idea of the magnitude of the moves. thus you could be right on the hit ratio and die out with huge losses compared to small winners ...

do not overestimate these figures.

peace