Stock Index Futures Statistics

Quote from increasenow:

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
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You may have misunderstood the OP's comments since what you express is not congruent with the OP's assertion.

I believe what he said was....... holding overnight makes money 78% of the time, IF you buy at the cash close.

His statement can be verified by induction. Induction is not a good test however because induction is not a good idea for modelling. The induction reveals that RTH periods are net negative and non RTH periods are net positive.

The OP is talking about the non RTH periods which are net positive. He is long oriented as indicated by his word "buy".

Were he to have hypothesized that selling short at the close and seeing that it was a losing proposition, he would have proved the null hypothesis for the case he advocates.

By doing this, he eliminates black swans from his original hypothesis.

Saying things about winning or losing has to involve complete statements about the testing; we all know that.

You will find in the future, perhaps, how the cash and futures indexes relate. At this point, you have not availed yourself to the many strategies that show SS profitable results by using these two in various relationships. Try not to draw conclusions that exclude you from delving into some very profitable situations.

It is noteworthy that there is reason why RTH margin is different from non RTH margin.
 
Pros don't hold the fut's overnight because the risk is phenominal. Imagine waking up and finding the market has moved 20 points against as you puke up your account.

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.
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Agreed. I don't consider myself an ultra-pro but I just cant stomach it. Maybe one day.

Caj

Quote from ProfitTakgFool:

Pros don't hold the fut's overnight because the risk is phenominal. Imagine waking up and finding the market has moved 20 points against as you puke up your account.
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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.
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Simply not true, otherwise it would be too easy...

I did a forward testing for a full month back in 2006, feel free to repeat the experience, the longer, the better:

http://elitetrader.com/vb/showthread.php?s=&threadid=61472&highlight=overnight

Quote from Pekelo:

So the end score for January:

9 downgaps, 6 upgaps and 4 flats
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Using daily continuous Standard and Poors 500 index futures price data from 21 April 1982 to 22 July 2005 I find the opening price is greater than the prior closing price 41.43 % of the time.
 
If I'm in a play and the momentum and trend is intact I will continue holding the runner or even adding to my position as long as I'm able to constantly monitor the play.

Anek
 
I am going to run this theory forward, and start buying the SP mini futures at the cash close, and post the results here.

It seems the futures are always up overnight. This will be great.
 
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