I showed these years ago, recently pulled up the Tradestation code and run the stats, it always amazes me how basically most of the market gains have been made overnight with morning gaps vs during the standard cash session.  

    To illustrate this: I have one strategy buying on the open and selling the same day close, every day for the last 22 years on SPY ETF. While another strategy buys the close and sells the next day's open.  Clearly this isn't something you would do because of commissions but it proves the stats.  Using 100K, buying the open and selling the close lost $10K over 22 years, while buying the close and selling the open netted about 500K.  Since the 2009 bull market the correlation hasn't been as strong as you can see from the curve, however over the 22 years market collective the stats still apply.

    What would that look like

    Posted by saturn6 on 28th of Jun 2017 at 09:15 am

    What would that look like on Gold or Silver I wonder?

    ... and Oscar goes to

    Posted by iz_bs on 28th of Jun 2017 at 01:07 pm

    ... and Oscar goes to .... GDX .

    On the first image on the left you can see equity curve of strategy: buy open/ sell close. On the right you can see equity curve with drow down curve for buy close sell open.

    On the second image you can see statistics and market regimes for buy close/sell open strategy.  

    I add also graphs for yearly, monthly, weekly and daily statistics. On graphs there are also comparison between strategy and index yields. As you can see from market regimes there are only periods with very low volatility with negative yield (loss).

    I will try to program the following : buy-> close[1]/sell -> open//short ->open/cover ->close. I think it will be stellar :-)

    If somebody interested I can send trade list for further analysis!

    SLV statistics

    Posted by iz_bs on 28th of Jun 2017 at 11:04 am

    SLV statistics

    Awesome stats iz_bs

    Posted by steve on 28th of Jun 2017 at 11:26 am

    Awesome stats iz_bs

    WOW!!...Impressive. Thanks

    Posted by saturn6 on 28th of Jun 2017 at 11:15 am

    WOW!!...Impressive. Thanks

    nice man!  yep especially with

    Posted by matt on 28th of Jun 2017 at 11:10 am

    nice man!  yep especially with gold and silver as they make a lot of their moves after hrs for sure when the ETF's do not trade

    Sorry for the file format :-)

    Posted by iz_bs on 28th of Jun 2017 at 10:08 am

    Sorry for the file format :-)

    no don't be sorry at

    Posted by matt on 28th of Jun 2017 at 10:37 am

    no don't be sorry at all, I think Steve simply added a condense title to your post because it was taking a lot of room up intra day on the active blog.  You took the time to make that, so it should be commended!

    I copied your image and reloaded it to your post so that it's lightbox format and removed the condense link

    Gaps

    Posted by iz_bs on 28th of Jun 2017 at 10:05 am

    here's the image

    I'd be interested in hearing about drawdowns. Also if it netted $500k I dont think commissions would be a consideration :-)

    read the comments, commissions do

    Posted by matt on 26th of Jun 2017 at 05:49 pm

    read the comments, commissions do not nor should they be applied because it's not meant to be a strategy.  This exercise is to show pure market movement only, commissions don't mean anything here.  It's simply to show that the market has made the majority of its gains on morning gaps vs intra day moves.  

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