Stock Index Futures Statistics

[Aaron Copland]

I have read somewhere that the stock index futures are up 78% of the time if bought at the cash close and held overnight.

I also gather from market pros that you should never hold stock index futures overnight.

This seems like a strategy worth perusing, since the so called pros tell beginners to never hold overnight.

 

[El OchoCinco]

simply look at SPX open and closes in a spread sheet and do the study. If SPX is up 78% from its close to the open the futures should track it somewhat.... best place to start.

 

[Aaron Copland]

Quote from optioncoach:

simply look at SPX open and closes in a spread sheet and do the study. If SPX is up 78% from its close to the open the futures should track it somewhat.... best place to start.

I'm afraid to fall into that black hole of backtesting. Perhaps we could do a forward looking study.

 

[rcanfiel]

Quote from Aaron Copland:

I have read somewhere that the stock index futures are up 78% of the time if bought at the cash close and held overnight.

I also gather from market pros that you should never hold stock index futures overnight.

This seems like a strategy worth perusing, since the so called pros tell beginners to never hold overnight.

Since the market generally heads up, and market drops tend to be shorter and more dramatic than market rises, I don't see that this makes this a tradable system. A system can win 78% of the time, and still lose significant amounts of $$$

 

[MiniDowTrader]

http://www.tradingmarkets.com/.site/stocks/commentary/lcbattlep/05272005-43754.cfm

It's a little dated....so, fwiw.

 

[El OchoCinco]

Quote from Aaron Copland:

I'm afraid to fall into that black hole of backtesting. Perhaps we could do a forward looking study.

Well then fine tune your ESP and tell me what you see in the future...

 

[increasenow]

Quote from Aaron Copland:

I have read somewhere that the stock index futures are up 78% of the time if bought at the cash close and held overnight.

I also gather from market pros that you should never hold stock index futures overnight.

This seems like a strategy worth perusing, since the so called pros tell beginners to never hold overnight.

does not make sense...you could also say..."if the ES is up, the ES is up overnight"...does not make sense as the ES tracks the SPX

 

[gnome]

Quote from Aaron Copland:

I have read somewhere that the stock index futures are up 78% of the time if bought at the cash close and held overnight.

I also gather from market pros that you should never hold stock index futures overnight.

1. During psycho-up bull phases, something like that might be true... but overall, not.

2. There is additional risk for holding overnight, but sometimes the best trades include the overnight and following opening. If you're flat overnight all the time, you'll miss that.

In general, I'd have to say "Myth... Busted" on both.

 

[increasenow]

what an absurd post as the ES tracks and follows the SPX...sorry...does not work

 

[cd23]

Quote from rcanfiel:

Since the market generally heads up, and market drops tend to be shorter and more dramatic than market rises, I don't see that this makes this a tradable system. A system can win 78% of the time, and still lose significant amounts of $$$

Try to move way from induction.

Fit the OP's suggestion into a universe of possibilities for trading in other than RTH.

You will find that the testing of these puts the OP's suggestion in a SS place in the spectrum.

There are many stochastic formulations similar to the OP's suggestion that group around what he is suggesting.

As a matter of record and not induction, so far there has been no black swan that refutes the fact that RTH is net negative and non RTH is net positive in the zero sum game.

SS is not determined as you have suggested in your last sentence. Nor would a modeller ever institute an approach where any W/L ratio didn't have a positive expectancy relative to the universe of possibilities.