Interesting that there is an 86.8% chance of a high above the previous days close. Actually, the average since October 2007 is 12.2 S&P500 points higher. How about buying at close and setting a stop-limit order for the next day to sell at closing price + say 8 points?

The problem of course is limiting the downside when the limit order fails to trigger. Like 26th September 2008, the limit never triggers and the close to close is down 106 points. Still, food for thought!

Cheers,
Peter

thanks for the idea, but from my perspective that wouldn’t make sense at least concerning this study (but may be relevant for other studies).

Why should especially the 200dma and/or 14-day RSI increase the relevance of the study (isn’t it already relevant enough utilizing the pure data only ?), or why should any indicator at all should be added in order to increase the relevance ? There is no ‘magic’ behind the 200dma or 14-day RSI, and I could as well chose the 20day EMA and/or 2-day RSI (instead of the 14-day) and/or any other indicator and respective time frame until I come up with something which seems to provide a significant edge (although the sample size then would be very small).

The study should provide an analysis taking into account the pure (unbiased) intraday performance on option expiration only, and I almost always take into account pure data like price (open, high, low and close), breadth (Advancing and Declining Issues, Advancing and Declining Volume, New Highs and New Lows) and index out-/under-performance in comparison to another (sector) index over time only, because any indicator (SMS, EMA, RSI, CCI, Stochastic, McClellan and and and) is nothing else than a first or (even worse) higher derivation of pure price and breadth data (you could as well use the pure data -e.g. closing prices- as well instead of the RSI/CCI/…, but that would sometimes make things a ‘bit’ more complicated from a mathematical and handling perspective), and using any kind of (higher derivated) indicator will get you further and further away from the pulse of the market (it should be obvious that I’m not a friend of any kind of complicated indicator).

The samle size is small enough (1 occurrence out of every approximately 21 session), and from my perspective any additional differentiation would not increase the relevance but would significantly further decrease the sample size (and the respective quality of forecast).

I sometimes use an SMA/EMA in order to differentiate between different investment cycles (e.g. bullish or bearish time frames), and/or e.g. Wilder’S DMI in oder to visualize in a single number if an index is trending or sideways trading, or in oder to build up a mechanical trading system, but not in order to determine probabilities and odds for the next session’s outcome (leave alone any intraday performance).

Concerning this survey something like ‘What happens on option expiration if the SPX is already down -x% for the week ?’ would make more sense -just my take-.

Best regards,
Frank.

Best,
Frank