Intraday Stats - Posted on Friday, June 26, 2009, 1:42 PM GMT +1

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Jun Friday 26

Trading the Odds on Friday – June 26, 2009 Asian Market's Update


On Friday almost all Asian markets which I regularly follow closed at least modestly, partly significantly higher. Japan’s Nikkei 225 closed up +0.83%, Hong Kong’s Hang Seng Index closed up +1.78%, Sydney’s ASX All Ordinaries Index closed up +1.25%, Korea’s KOSPI Index closed up +0.13%, Thailand‘s SET Composite Index closed up +0.88%, Singapore’s Straits Times Index closed up +0.67%, and the Jakarta Composite Index closed modestly lower -0.19%, following an exceptional strong session for all major US market indices, with the SPY (S&P 500 ETF) closing up +2.18% on Thursday’s session.

Table I shows the ES (S&P 500 E-MINI) intraday performance (since 01/03/1990) concerning the open, high, low, close (compared to the previous’s session close) and close versus open on those sessions (in this event Friday, June 24) where the following Asian market indices listed below closed up and above the respective bar on a trading day immediately following a session in the US where the SPY (S&P 500 ETF) closed up > +2.00%, assumed one would’ve bought the ES (S&P 500 E-MINI) on close of the previous session (in this event on Thursday, June 25), in order to check if Asian market’s performance might provide any tradable edge and/or might give any indication for the upcoming performance of the respective major market indices in the US.

  • Japan’s Nikkei 225 closed up > +0.5%,
  • Hong Kong’s Hang Seng Index closed up > +1.5%,
  • Sydney’s ASX All Ordinaries Index closed up > +1.0%,
  • Korea’s KOSPI Index closed up (anything > +0.o%), and
  • Thailand‘s SET Composite Index closed up > +0.5%.

2009-06-26m-ES-Si

Although the sample size with 17 occurrences only is very small (due to the fact that I couldn’t get historical data for all Asian markets going back to 1990), it is especially remarkable that

  • chances that the ES (S&P 500 E-MINI) will open higher are average only, but the profit factor of 7.73 (magnitude of change on the open, means sum of all potential profits on a higher open divided by the sum of all losses on a lower open) significantly exceeds the respective at-any-time profit factor of 1.06;
  • the profit factor on the high (means the potential magnitude of change on the intraday high compared to the previous session’s close) and on the low as well significantly exceeds the respective at-any-time profit factor on the intraday high (954.47 versus 16.39) and intraday low (0.36 versus 0.07), means downside potential is regularly limited on those sessions which fulfill the setup mentioned above while the upside potential significantly exceeds the respective at-any-time upside potential during any session, so chances are very good that we’ll probably see some follow-thorough of Thursday’s strength during Friday’s session,
  • although chances that the ES (S&P 500 E-MINI) will close higher are about even (on 10 out of 17 occurrences), the profit factor on the close significantly exceeds the respective at-any-time profit factor on the close (3.62 versus 1.07), means potential profits on a higher close significantly exceed potential losses on a lower close, but
  • contrary to the bullish tendencies noted above, chances for a close above the open are significantly below-average only, which even more applies to the respective profit factor as well. Means although the ES (S&P 500 E-MINI) regularly shows some remarkable intraday strength on the open and on the intraday high, the market regularly reverses course at the end of the session for a close below the open and significantly below it’s intraday high.

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Bottom line:

Asian market’s positive performance on Friday’s morning increases the chances for a higher open and a potential intraday high significantly above Thursday’s close during Friday’s session, but selling into any significant intraday strength during today’s session might provide a favorable short-term/intraday opportunity on the short side with respect to the ES‘ below-average peformance on the close versus open.

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: Short ES (S&P 500 E-MINI) at time of writing .

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