Statistics of the INDU for Intraday Trading

G

gg12

Hi all,

using Excel statistical functions I want to come up with some simple ideas for intraday trading the INDU based derivates.

First idea:

Date Close
02. Sep 09 9,280.67
01. Sep 09 9,310.60

Since we had only a move of 29.93 points from close to close,
I expect a move of about 155 points away from the opening today.
R^2=10% on that thesis.

Second idea:

Date High Low
02. Sep 09 9,378.77 9,223.08

Since we had a high - low range of 155.69 points yesterday,
I expect a move of about 165 points away from the opening today.
R^2=12% on that thesis.

Please see attached graphics.

Any other ideas on statistical intraday trading?
 
The INDU was unexpectedly quit yesterday:

Date Open High Low Close
03. Sep 09 9,282.03 9,350.27 9,252.93 9,344.61
02. Sep 09 9,306.21 9,378.77 9,223.08 9,280.67

It moved only 68.24 points from the open to the high
and 29.10 points from the open to the low.

Attached graphics show the historical 'travel distance' based on the prior day's absolute open to close distance. You can see the forecast gap marked in red.

As an new idea I am using the travel distance of yesterday to predict the travel distance of today. That's a forecast of 166+ points from the open to the high or low of the day.

Let's see what happens today...
 

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