The majority of market gains come over night, NOT during the
day. Marketguy posted this a while back, but thought it would
be fund to post again. With the market gapping all the time,
most moves occur overnight.
------------------
Statistcs show that the majority
of gains occur overnight vs during the trading day!
Chart 1:
Shows you the statistics of buying
SPY at the close and selling the next day on the open. This
strategy of holding overnight resulted in a 378% gain over the last
17 years from 1993!This chart also shows us that most of the gains
for the market have occurred overnight vs during the trading
day.
Chart 2:
Shows you the result of buying the
SPY on the open and selling at the close. Notice that from 1993 -
Apr 2010, this would have resulted in a net loss of -38.6%! This is
why our SPY system does not exit long trades on the close!
Chart 3:
Shows you three data lines from
charts 1 and 2, as well as just simple buy and hold. What is really
amazing here is that buy the SPY in 1993 and holding only resulted
in a net gain of 193% in 17 years! However notice that simply
buying the SPY every day at the close and selling it the next day
on the open resulted in more then double the gains of 378%!!
It would be really useful if we could discover an indicator to
help with the decision of holding a position overnight. It would
just need to improve the odds to be really helpful.
Another version might simply use receint market conditions
rather than predicting results for a specific day so that one could
track the odds of holding a long or a short position based on some
receint time back for the market.
It's just funny to me that if you bought the SPX every day on
the close and sold on the open the next day that you would have
made 380%. But if you reversed it and bought on the open and
sold on the close you would have lost about 40%. Amazing the
contrast.
Obviously those stats stop at April of last year, I'll write a
TS strategy so that we can see the current stats, however that's 17
years already (from 1993 - 2010), so I'm sure the numbers are about
the same
yeah commissions would be high. But that's not the point,
that's not a mechnical system because of the number of trades, the
point was to show you that the market has made the majority of its
gains over the years on over night gaps
It also shows you that it's best to sell longs on gap ups in the
the morning vs at the close
The majority of market gains come overnight
Posted by matt on 21st of Mar 2011 at 11:05 am
The majority of market gains come over night, NOT during the day. Marketguy posted this a while back, but thought it would be fund to post again. With the market gapping all the time, most moves occur overnight.
------------------
Statistcs show that the majority of gains occur overnight vs during the trading day!
Chart 1:
Shows you the statistics of buying SPY at the close and selling the next day on the open. This strategy of holding overnight resulted in a 378% gain over the last 17 years from 1993!This chart also shows us that most of the gains for the market have occurred overnight vs during the trading day.
Chart 2:
Shows you the result of buying the SPY on the open and selling at the close. Notice that from 1993 - Apr 2010, this would have resulted in a net loss of -38.6%! This is why our SPY system does not exit long trades on the close!
Chart 3:
Shows you three data lines from charts 1 and 2, as well as just simple buy and hold. What is really amazing here is that buy the SPY in 1993 and holding only resulted in a net gain of 193% in 17 years! However notice that simply buying the SPY every day at the close and selling it the next day on the open resulted in more then double the gains of 378%!!
The majority of market gains come overnight
Posted by bag4 on 24th of Mar 2011 at 03:37 pm
http://www.priceactionlab.com/Blog/2011/02/who-needs-the-trading-day/
This could work on Gold & Silver
Posted by superdupa on 21st of Mar 2011 at 03:03 pm
It would be really useful
Posted by jroger on 21st of Mar 2011 at 11:51 am
It would be really useful if we could discover an indicator to help with the decision of holding a position overnight. It would just need to improve the odds to be really helpful.
Another version might simply use receint market conditions rather than predicting results for a specific day so that one could track the odds of holding a long or a short position based on some receint time back for the market.
combo wave from ttm is nice i use klinger ioscillator with fisher transform and standard dev
Posted by law6 on 23rd of Mar 2011 at 11:25 am
I wish I understood what
Posted by jroger on 24th of Mar 2011 at 09:56 am
I wish I understood what you said.
jroger, I think the news overnight trumps the charts, thats why
Posted by kobie on 21st of Mar 2011 at 12:15 pm
I think a indicator will be difficult to find. thats also partially why I dont keep positions overnight for my short term setups.
Title: MAtt, interesting point re
Posted by brophy on 21st of Mar 2011 at 11:23 am
buying Friday and selling on the open Monday...Mutual fund buying Mondays...re that
http://mrtopstep.com/2011/03/18/trading-concepts-101/.
other ideas interesting too.
I am not affliated
It's just funny to me
Posted by matt on 21st of Mar 2011 at 11:08 am
It's just funny to me that if you bought the SPX every day on the close and sold on the open the next day that you would have made 380%. But if you reversed it and bought on the open and sold on the close you would have lost about 40%. Amazing the contrast.
Obviously those stats stop at April of last year, I'll write a TS strategy so that we can see the current stats, however that's 17 years already (from 1993 - 2010), so I'm sure the numbers are about the same
commissions
Posted by 8899 on 21st of Mar 2011 at 11:13 am
i wonder how much commissions would have cost to trade every day for 17+ years!
yeah commissions would be high.
Posted by matt on 21st of Mar 2011 at 11:16 am
yeah commissions would be high. But that's not the point, that's not a mechnical system because of the number of trades, the point was to show you that the market has made the majority of its gains over the years on over night gaps
It also shows you that it's best to sell longs on gap ups in the the morning vs at the close
Title: EMA filter of overnight
Posted by darnelds on 22nd of Mar 2011 at 05:20 pm
It would be interesting to see if these overnight gaps move mostly in the direction of the 13 or 34 period EMA.