Intraday Stats - Posted on Friday, June 19, 2009, 9:58 AM GMT +1

4 Comments


Jun Friday 19

Trading the Odds on Friday – June 19, 2009 -Asian Markets-

Update (04:55 AM CET)

On Friday Asian markets closed modestly higher. Japan’s Nikkei 225 closed up +0.85%, Hong Kong’s Hang Seng Index is closed up +0.81%, Sydney’s ASX All Ordinaries Index closed up +0.18%, and Korea’s KOSPI Index closed up +0.55%.

Interestingly although the S&P 500 closed up +0.84% on Thursday’s session, neither Japan’s Nikkei 225 (besides the 0.01%) nor Hong Kong’s Hang Seng Index nor Sydney’s ASX All Ordinaries Index nor Korea’s KOSPI Index were able to manage a gain greater than the S&P 500′ gain on the previous session which regularly doesn’t bode well for the US equity market’s upcoming session.

Table I shows the ES (S&P 500 E-MINI) performance (since 01/02/1990) on the same session (in this event Friday, June 18) on those sessions where setups S1 to S5 listed below had been triggered (means where Asian markets closed above/below the respective bar on the same day) assumed one would’ve bought the ES (S&P 500 E-MINI) on close of the previous session (in this event on Thursday’s close) .

  • the S&P 500 closed up, Hong Kong’s Hang Seng Index posted a gain (not a loss) on the next morning less than the S&P 500′ gain on the previous session (Setup S1),
  • the S&P 500 closed up, Sydney’s ASX All Ordinaries Index posted a gain (not a loss) on the next morning less than the S&P 500′ gain on the previous session (Setup S2),
  • the S&P 500 closed up, Korea’s KOSPI Index posted a gain (not a loss) on the next morning less than the S&P 500′ gain on the previous session (Setup S3),
  • the S&P 500 closed up, Japan’s Nikkei 225 posted a gain (not a loss) on the next morning less than the S&P 500′ gain on the previous session (Setup S4), and
  • the S&P 500 closed up, Japan’s Nikkei 225 AND Hong Kong’s Hang Seng Index AND Sydney’s ASX All Ordinaries Index AND Korea’s KOSPI Index posted a gain on the next morning less than the S&P 500′ gain on the previous session (Setup S5).

20090619m2-ES-S1-5Table II now shows the ES (S&P 500 E-MINI) intraday performance (since 01/02/1990) concerning the open, high, low, close (compared to the previous’s session close) and close versus open on the same session (in this event Friday, June 19) where setup S5 had been triggered (the S&P 500 closed up, Japan’s Nikkei 225 AND Hong Kong’s Hang Seng Index AND Sydney’s ASX All Ordinaries Index AND Korea’s KOSPI Index posted a gain on the next morning less than the S&P 500′ gain on the previous session‘) assumed one would’ve bought the ES (S&P 500 E-MINI) on close of the previous session (in this event on Thursday’s close) :

20090619m2-ES-S5iThe conclusions as posted below remain unchanged.

__________________________

On Friday Asian markets are currently trading / were closing modestly higher at time of writing. Japan’s Nikkei 225 is up +0.85%, Hong Kong’s Hang Seng Index is up +0.75%, Sydney’s ASX All Ordinaries Index is up +0.18% and Korea’s KOSPI Index is up +0.55% at time of writing (03:40 AM CET).

Interestingly although the S&P 500 closed up +0.84% on Thursday’s session, neither Hong Kong’s Hang Seng Index nor Sydney’s ASX All Ordinaries Index nor Korea’s KOSPI Index is (currently at time of writing) able to manage a gain greater than the S&P 500′ gain on the previous session which regularly doesn’t bode well for the US equity market’s upcoming session.

Table I shows the ES (S&P 500 E-MINI) performance (since 01/02/1990) on the same session (in this event Friday, June 18) on those sessions where setups S1 to S5 listed below had been triggered (means where Asian markets closed above/below the respective bar on the same day) assumed one would’ve bought the ES (S&P 500 E-MINI) on close of the previous session (in this event on Thursday’s close) .

  • the S&P 500 closed up, Hong Kong’s Hang Seng Index posted a gain (or loss) on the next morning less than the S&P 500′ gain on the previous session (Setup S1),
  • the S&P 500 closed up, Sydney’s ASX All Ordinaries Index posted a gain (or loss) on the next morning less than the S&P 500′ gain on the previous session (Setup S2),
  • the S&P 500 closed up, Korea’s KOSPI Index posted a gain (or loss) on the next morning less than the S&P 500′ gain on the previous session (Setup S3),
  • the S&P 500 closed up, Hong Kong’s Hang Seng Index AND Sydney’s ASX All Ordinaries Index AND Korea’s KOSPI Index posted a gain on the next morning greater than the S&P 500′ gain on the previous session (Setup S4), and
  • the S&P 500 closed up, Hong Kong’s Hang Seng Index AND Sydney’s ASX All Ordinaries Index AND Korea’s KOSPI Index posted a gain on the next morning less than the S&P 500′ gain on the previous session (Setup S5).

20090619m-ES-S1-5

It seems the performance on Asian markets on the next morning following a session in the US where the S&P 500 closed up is highly indicative for the S&P 500′ performance on the then upcoming session (in this event Friday – June 19, 2009).

In the event Hong Kong’s Hang Seng Index AND Sydney’s ASX All Ordinaries Index AND Korea’s KOSPI Index all posted a gain on the next morning greater than the S&P 500′ gain on the previous session (Setup S4), chances are tilt in favor of another higher close concerning the S&P 500 (62.75% versus an at-any-time probability of 52.61% for a higher close the then following session, not the probability for two consecutive higher close which would be much less making this setup even more significant), but the profit factor significantly exceeds (triples) the respective at-any-time profit factor for a highly favorable buying opportunity in the event the S&P 500 would be trading significantly lower before, on ore shortly after the open.

On the other side if the S&P 500 closed up, but NEITHER Hong Kong’s Hang Seng Index NOR Sydney’s ASX All Ordinaries Index NOR Korea’s KOSPI Index managed a gain on the next morning greater than the S&P 500′ gain on the previous session (Setup S5), this regularly doesn’t bode well for the US equity market’s upcoming session. Chances for another higher close significantly undercut the respective at-any-time probability for a higher close (36.26% versus an at-any-time probability of 52.61% for a higher close the then following session), and the profit factor significantly undercuts the respective at-any-time profit factor for a favorable shorting opportunity in the event the S&P 500 would be trading significantly higher before, on ore shortly after the open.

Table II now shows the ES (S&P 500 E-MINI) intraday performance (since 01/02/1990) concerning the open, high, low, close (compared to the previous’s session close) and close versus open on the same session (in this event Friday, June 19) where setup S5 had been triggered (the S&P 500 closed up, Hong Kong’s Hang Seng Index AND Sydney’s ASX All Ordinaries Index AND Korea’s KOSPI Index posted a gain on the next morning less than the S&P 500′ gain on the previous session‘) assumed one would’ve bought the ES (S&P 500 E-MINI) on close of the previous session (in this event on Thursday’s close) :

20090619m-ES-S5i

Concerning setup’s S5 (the S&P 500 closed up, Hong Kong’s Hang Seng Index AND Sydney’s ASX All Ordinaries Index AND Korea’s KOSPI Index posted a gain on the next morning less than the S&P 500′ gain on the previous session) intraday stats on the then following session it is especially remarkable that

  • chances that the ES (S&P 500 E-MINI) will open lower significantly exceed the at-any-time probabilities for a lower open,
  • the profit factor on the high (means the potential magnitude of change on the intraday high compared to the previous session’s close) significantly undercuts the respective at-any-time profit factor,
  • the S&P 500 shows a significant tedency for a low significantly below the previous session’s close, and finally
  • the ES (S&P 500 E-MINI) shows a significant tendency for a lower close (chances are approximately 2:1) with a significantly below-average profit factor of 0.30 only in comparison to an at-any-time profit factor of 1.07 on the close.

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Bottom line:

With respect to Fridday’s session and based on the respective probabilities and odds concerning those setups which were triggered on Friday’s morning concerning Asian market’s performance, the outlook is short-term (Friday’s session only) negative, and any significant (!) strength before, on or shortly after the open will probably provide a short-term selling opportunity (in addition to the negative outlook concerning the Nasdaq 100).

Successful trading,

Frank

P.s.: I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well or subscribe directly to Twitter (recommended).

Disclaimer: Long BGZ (Daily Large Cap Bear 3x Shares) at time of writing.

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Comments (4)

 

  1. PTTrader says:

    Hi Frank.

    Thank you for great site and research. I wonder if you make any research about European markets and their influence on US.

    • PTTrader,

      thanks for your kind words.

      From my perspective European markets are regularly following the US markets (and futures), not leading. So although I sometimes trade the DAX, I regularly do not take them into account for my daily research.

      Best,
      Frank

  2. PTTrader says:

    Thank you for answer. After you changed to Matlab you stopped posting about RSI2. Do you still use it ?

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