X-Ray of the stock market

All downtrend phases


6.PNG




All uptrend phases

7.PNG


Based on these NCP distributions, we can draw the following conclusions:
  1. Even during downtrend phases of the market, the frequency of closing at High is close to the frequency of closing at Low.
  2. During uptrend phases, the market considerably oftener closes at a higher NCP (0.75-1).
  3. The market closes in the uncertainty zone (0.35-0.65) rather rarely both during up- and downtrend phases.

The results of this investigation can be used in practice in a number of ways.
For example, taking into account that the market often closes close to High, you can hold Long positions up to the end of the trading day for Intraday Trading.
It is also possible to create an indicator that will define trends based on the frequency of NCP.
Another way is to use difference kinds of divergence based on the NCP values of an index and individual stocks.
 
For example, taking into account that the market often closes close to High, you can hold Long positions up to the end of the trading day for Intraday Trading.
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:confused:
 
For example, taking into account that the market often closes close to High, you can hold Long positions up to the end of the trading day for Intraday Trading.
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how often? assume you are long on the middle of the UP day. now what?
how do you know,that this uptrend will continue into close?

Quote from AntTrader:

For example, to hold the long positions right up to the close for Intraday trading knowing the favorable odds during up trend.

Better?
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nope..i still don't get it..show me an example of that. along with probablity calculation\stats. show me that the odds are actually better.
 
Let's split the closing value into four ranges.
If we represent NCR form our diagrams in numbers, we see that it closes in its highest 25 percent in 33.5 percent of times during the last 20 years.
The difference would be 8.5 percent between real closing and evenly distributed closing.
During up trends the probability of closing in the higher 25 percent increases to 34.3%,
during down trends it falls to 30 percent but still it is significantly higher than 25%.

Practically, we do not use orders intraday to lock the profit ,unless very wide targets are reached.
For example , in our XBars pattern, we tried ton of algorithms to close the positions, but none was as efficient as closing in the end of the day.

Will it be up market or down market, what trend will prevail?
It is all very subjective.
Will the market closes near High or in the Middle of the trading range? Impossible to know.

We can only rely on probabilities.
Of course, they can change.
But all in all, we made a conclusion that market closes near High statistically more times than the average random closing might suggest.
And we use it in our systems as a basis to hold long intraday positions till the end of the day.
 
I've seen the same statistics before. The tails at the 1 and 0 on your graph are mostly because the market trends during the second half of the trading session. This means that the intra-day bar of the daily high will be the same bar as the close (last bar) if the market trended up. This is not rocket science. If you excluded all highs where the high and the close were the same bar (intraday) then you'd get a much more even distribution.
 
Quote from braincell:

I've seen the same statistics before. The tails at the 1 and 0 on your graph are mostly because the market trends during the second half of the trading session. This means that the intra-day bar of the daily high will be the same bar as the close (last bar) if the market trended up. This is not rocket science. If you excluded all highs where the high and the close were the same bar (intraday) then you'd get a much more even distribution.
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That is exactly what we are talking about.
Last bars of the day often is the high of the day.
That is why it makes sense to hold positions till the close.
Of course, the displayed diagrams are not going to be nominated for Noble prize, but some traders can find it curious.
 
Mechanism of Intraday Drops and Bounces

The strategy xBars is buying stocks on sharp intraday drops.
As it is a known fact that the market has been growing on average for the last 200 years, buying on sharp drops does not seem a bad idea.
The questions are when it is worth buying on a sharp drop and when it is not, what risk management system should be used, and where to put stop-loss and take-profit orders.

Intraday drops can be measured in percent, absolute values, as a daily average range, etc. relative to Open, High, the last week’s High or to some other relevant point.

The graph below shows intraday drops in day average ranges (further, ranges) relative to Highs for the period of 6 years.
The list of analyzed stocks is dynamic depending on the traded volumes and prices, it includes stocks with the highest liquidity.

Drops.png



During this time the stocks dropped intraday by one range 350.000 times.
However, for the same time the stocks dropped by two ranges only 50.000 times.
This indicates that if a stock started to drop, a further bounce is more likely than continuation of the drop. Moreover, the probability of the bounce depends on the depth of the drop: the deeper the drop, the more likely the bounce; and this probability grows almost exponentially.
The following diagram shows the probability of intraday drop continuation after a one-range drop.


Drops2.png


In 9.6% cases a one-range drop is followed by another one-range drop.
Only in 1.2% cases a one-range drop is followed by a further drop by two ranges.
Thus, if you see that a stock has dropped sharply, you should rather think of buying than of going short.
At least this is true for intraday movements.
 
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