Stock Index Futures Statistics

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 $$$
More...

Agree.

Just the same, I've met a few traders that have a 45% - 51% win rate and still making significant amounts of $$$ consistently each year.

This implies there's other important things involved in successful trading besides the trade signal.

Mark
 
Quote from Aaron Copland:

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

Oh oh...

There's that infamous use of the word always that gets traders into deep water due to the holy grail like expectations.

Mark
 
Quote from NihabaAshi:

Agree.

Just the same, I've met a few traders that have a 45% - 51% win rate and still making significant amounts of $$$ consistently each year.

This implies there's other important things involved in successful trading besides the trade signal.

Mark
More...

This is a good enough win rate if a trader is playing the "kinds of things" and setups where he sees the r:r potential is >2:1.

If one were to categorize his trades to properly include "scratch/break even" trades... (say, +/- 4 ES points is actually a scratch), a 55-60% win rate would be outstanding.
 
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.
More...

Depends on the time period of the study. For 78%, I bet the study is looking at a very limited 4 month or so bull run. Over the last 25 yrs SPX cash close is up about 52% of the time from the day before. Of all the indexes the Value line is/was most bullish over last 25 yrs, about 58%, but it isn't traded any longer :(
 
i've had overnight success by simply setting up an OCO order for overnight ES trades, to protect against a radical opposite market movement while you're catching your zzz'z... (just don't set your stops to tight)

scored about 9 points in last nights move (although, the bulk of the move happened within an hour before market open).

my 2.2 cents
 
Check out this paper on the subject. These guys find positive average overnight returns of around 5 bps for the es ( about 3/4 of an es point), and that most of the return to stocks has come overnight in the last decade.

Probably to small to trade on as a standalone strategy but interesting.
 

Attachments

Again up big overnight, this is amazing, it's so easy. To make money just buy the futures right as the cash market closes.

Now I see why the pros tell beginners to never hold overnight, they don't want to share this secret.

ES up 14.00
 
You must log in or register to reply here.
Back
Top