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.
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!
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
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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Updated Statistics showing the market makes most of its gains on gaps
Posted by matt on 26th of Jun 2017 at 04:05 pm
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
what was the max and typical drawdown for the buy on close system?
Posted by 2schnauzers on 26th of Jun 2017 at 04:08 pm
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.