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TRADING THE ODDS

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A quantitative approach to profit in the US equity and futures markets, trading the markets like professional card counters are playing Blackjack or expert poker players are playing Poker. The key is to have the odds on your side and bet accordingly, knowing what, when, where, why and how much you bet on each trade or wager.


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( Data courtesy of MetaStock http://www.equis.com/ )

Monday, June 29, 2009 7:15 PM GMT +1

Trading the Odds on Monday – June 29, 2009 -intraday setup-


I posted several tweets during today’s session concerning the ES (E-MINI S&P 500) probability and odds for a close below the open on today’s (Monday’s) session.

Before I checked -as always from a historical and statistical perspective- for the market’s performance on those session(s) after the setups listed below had been triggered in the past:

  • the ES (E-MINI S&P 500) opened higher at least +0.40% (Setup S1),
  • the ES (E-MINI S&P 500) opened higher at least +0.40% AND the opening up gap was filled during the session (Setup S2),
  • the ES (E-MINI S&P 500) opened higher at least +0.40% AND above the previous session’s high (Setup S3), and
  • the ES (E-MINI S&P 500) opened higher at least +0.40% AND above the previous session’s high AND the opening up gap was filled during the session (Setup S4).

On today’s session setup S2 had been triggered during the session (the ES did not open above Friday’s high).

Table I shows the ES (E-MINI S&P 500) end-of-day performance (since 01/02/1990) on those sessions (in this event Monday, June 29) where setups S1 to S4 listed above had been triggered in the past:

2009-06-29-ESi-S1-S5

Is is especially notable that any gap fill during the session -like today- significantly reduces probability and odds (profit factor) concerning a positive close and a close above the open.

Table II shows the ES (E-MINI S&P 500) intraday performance (since 01/02/1990) concerning the open, high, low, close (compared to the previous’s session close) and close versus open on those sessions (in this event Monday, June 29) where setups S1 to S4 listed above had been triggered in the past:

2009-06-29-ESi-S2

It is especially notable that on those session where the opening up gap had been filled during the session -like today- the ES (E-MINI S&P 500) shows a significant tendency for a close below the open (on 264 out of 355 sessions), and the profit factor significantly undercuts the respective at-any-time profit factor (0.24 compared to 1.05).

________________________________

Bottom line:

With respect to Monday’s close compared to the open, this setup would call (with a historical probability of approximately 75%) for an ES (E-MINI S&P 500)’ close below 917.25 on Monday’s session.

But keep in mind: We’re as always talking about probabilities, not certainties.

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

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No Responses

  1. Douglas says:
    Tuesday, June 30, 2009 at 4:00 PM GMT +1

    no problem Frank. Thanks for the insights. V interesting.

    Reply

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The information on this site is provided for statistical and informational purposes only. Nothing herein should be interpreted or regarded as personalized investment advice or to state or imply that past results are an indication of future performance. Under no circumstances does this information represent an advice or recommendation to buy, sell or hold any security.

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