Intraday Stats - Posted on Monday, June 22, 2009, 2:19 PM GMT +1

8 Comments


Jun Monday 22

Trading the Odds on Monday – June 22, 2009 -Asian Markets-

On Monday Asian markets closed modestly higher. Japan’s Nikkei 225 closed up +0.41%, Hong Kong’s Hang Seng Index is closed up +0.77%, Sydney’s ASX All Ordinaries Index closed up +0.42%, and Korea’s KOSPI Index closed up +1.18%.

Interestingly although the S&P 500 closed up modestly higher +0.31% on Friday’s session, all four Asian market indices mentioned above managed a gain greater than the S&P 500′ gain on Monday’s session which provide -especially due to the fact the ES (S&P 500 E-MINI) is trading -0.9% lower at time of writing (08:20 AM CET) – a short-term buying opportunity concerning the US equity market’s upcoming session.

Table I shows the ES (S&P 500 E-MINI) intraday performance (since 01/03/2000) concerning the open, high, low, close (compared to the previous’s session close) and close versus open on the same session (in this event Monday, June 22) on those sessions where all of those Asian market indices mentioned above managed a gain on the close greater than the S&P 500′ gain on the previous session (in this event Friday June 19, 2009) AND the S&P 500 closed modestly higher (not lower) less than +0.5% on the previous session.

2009-06-22m-ES-S5

2009-06-22-ES-S5i

It is especially remarkable that

  • the profit factor on the high (means the potential magnitude of change on the intraday high compared to the previous session’s close) significantly exceeds the respective at-any-time profit factor (513.81 versus 14.05), with a minimum intraday high of -0.11% (which has still left an unfilled opening gap) during those 77 occurrences since 01/03/2000 which fulfilled the setup mentioned on top of the post,
  • and a maximum intraday low of -1.67% and maximum lower close of -1.16% on the close (out of those 77 occurrences).

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Bottom line:

Especially due to the fact the ES (S&P 500 E-MINI) is trading -0.9% at time of writing (08:20 AM CET), a short-term (concerning a potential significant higher ‘intraday’ high than the ES’ current quote) buying opportunity might be presented. Chances are good that we might see at least a quote +0.75% above the current quote 0f 907.50 during today’s session, and additional downside potential may be limited, at least concerning the setup triggered on Monday’s morning with the four Asian market’s mentioned on top of the post out-performing the S&P 500 (in comparison to the S&P 500′ gain on Friday’s session)

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 ES (S&P 500 E-MINI) at 907.50 at time of writing.

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Comments (8)

 

  1. ADD says:

    Hi Frank,

    Your efforts are greatly appreciated. Do the odds continue show a negative tendency regarding the next 3-5 session outlook? Just curious.

    Thank you,
    -A.

  2. ADD says:

    Oh, and by the way, the comics add a hilarious touch.

    Keep smiling,
    -A.

  3. bill says:

    Quite the outlier today. Did not follow the forecast even remotely and well outside of the most extreme prior numbers for intraday low and it appears close and close relative to open as well. A Black Swan day?…

    I think some of the problem is that stock market returns don’t follow a normal distribution but instead the bell curve has “fat tails”. That is why I think context is so important. In a quiet sideways low volatility market these daily studies may work well, but when you break a major uptrend line after a 40% run in few months that is the kind of context that renders a 1-day bullish statistical study not so useful in this instance. It is the difference between the stock market and blackjack or roulette. In blackjack or roulette each deal of the cards or each roll of the ball is in no way dependent on what happened before. But in the stock market each future event is highly dependent on the context of what type of market trend you are in bull or bear, and whether the market is overbought or oversold, and whether any technical chart patterns have been fulfilled such as today’s trendline break.

    I find your site very interesting but I’m afraid the daily statistics are not very useful without taking into context the bigger picture trend. Maybe in a sideways range bound market they would work better.

    • bill.

      the forecast concerning today’s session based on those setups which had been triggered on Friday’s close would have been correct (‘the past of least resistance seems to be down’), although the magnitude of the move caught me be surprise. The forecast based on the setup which was triggered on Monday’s morning (Asian markets closed modestly up and exceeded S&P 500′ gains on Friday) is obviously and clearly a miss.

      If you’ve a system at hand which would’ve forecasted an outside move on the downside today, great. We’re always talking about and trading probabilities and odds, not certainities, and it is not only probable but sure that one has to take a big move against one’s positions sometimes (trading is not about being right all of the time of more often than being wrong, but all about being profitable taking small losses only while winning big when being correct). The ‘bigger picture’ -at least from my perspective- wouldn’t have suggeested an outside move on the downside today, and hindsight is always easier than foresight.

      As I already stated several times: The determination of everyday’s probabilties and odds is a must for what I’m really trading for a living (statistical arbitrage), and blogging about those daily probabilties and odds is not my business but merely a hobby, but unfortunately a time consuming one beyond my expectations.

      Best,
      Frank

  4. Jimmy says:

    This is a day trade blog. Other type of traders can benefit from it like me who is a medium term trader. Helps me on entry/exit on short term and intraday situations. Every trader have their preferences…intraday, short, medium, and/or long. Mines is medium term. My MT indicators hinted a bottom in early March and a top in early June. It’s been a great MT bull market, had multiple commodity-related stocks, Chinese solar stocks, and index 3x ETFs with over +300% gains. During bull market of March, I use this blog for larger long entries. Since I believe the market has topped early this month I use this blog for larger short entries. So this blog works for me to great extend. There are pros and cons for every trade style like intraday trading (also medium Term and long Term trading/investing.) Frank’s great work is for intraday trading. Since Frank don’t cover on medium term then that’s where I supplement with my trading system. So for me, I been mainly short this month.

  5. be the ball says:

    FWIW, I have very much benefited and appreciated this BLOG. Thanks.

  6. Aly Somji says:

    Same here.

    Your work is appreciated, Frank. It is very interesting even if not entirely useful to all of us.

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