Intraday Stats - Posted on Thursday, June 18, 2009, 9:15 AM GMT +1

4 Comments


Jun Thursday 18

Trading the Odds on Thursday – June 18, 2009 -Asian Markets-


On Thursday Asian markets are currently trading (partly significantly) lower at time of writing. Japan’s Nikkei 225 is down -1.39%, Hong Kong’s Hang Seng Index is down -1.36%, Sydney’s ASX All Ordinaries Index is down -0.43% and Korea’s KOSPI Index is down -1.11% at time of writing (03:00 AM CET).

This regularly doesn’t bode well for the US equity market’s as well.

Table I shows the ES (S&P 500 E-MINI) performance (since 01/02/1990) on the same session (in this event Thursday, 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 (e.g. on yesterday’s close).

  • Japan’s Nikkei 225 down more than -1.25% on a day where the S&P 500 did NOT close lower than -0.25% the previous session (Setup S1),
  • Hong Kong’s Hang Seng Index down more than -1.25% on a day where the S&P 500 did NOT close lower than -0.25% the previous session (Setup S2),
  • Sydney’s ASX All Ordinaries Index down more than -0.40% on a day where the S&P 500 did NOT close lower than -0.25% the previous session (Setup S3),
  • Korea’s KOSPI Index down more than -1.00% on a day where the S&P 500 did NOT close lower than -0.25% the previous session (Setup S4), and
  • Setups S1, S2, S3 and S4 combinded (Setup S5).

200906187m-ES-S1-5

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 Thursday, June 18) where setup S5 had been triggered (‘Japan’s Nikkei 225 , Hong Kong’s Hang Seng Index , Sydney’s ASX All Ordinaries Index and Korea’s KOSPI Index closed above/below the respective bar‘) assumed one would’ve bought the ES (S&P 500 E-MINI) on close of the previous session (e.g. on yesterday’s close) :

200906187m-ES-S5i

Concerning setup’s S5 (Japan’s Nikkei 225, Hong Kong’s Hang Seng Index, Sydney’s ASX All Ordinaries Index and Korea’s KOSPI Index closed above/below the respective bar) 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 higher/lower open on the same day (on 13 out of 17 occurrences),
  • 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 (better: is close to zero) the respective at-any-time profit factor, and on 8 out of 17 occurrences did the ES leave an unfilled opening gap on the downside,
  • the S&P 500 shows a significant tedency for a low significantly below the previous session’s close, with an average losing trade (average intraday low) of -3.29% during the session, and finally
  • the ES (S&P 500 E-MINI) shows a significant tendency for a lower close (on 11 out of 17 occurrences) with a significantly below-average profit factor of 0.11 only in comparison to an at-any-time profit factor of 1.07 on the close.

________________________________

Bottom line:

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

This complies to Thursday’s forecast concerning the probabilties and odds that any intraday strength might not be sustainable again, and the market could very well close on a (very) weak note (see my posting Trading the Odds on Thursday – June 18, 2009).

P.s: The ES (S&P 500 E-MINI) is already up +6.25 index points (+0.70%) at time of writing (03:15 AM CET).

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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Comments (4)

 

  1. CarlosR says:

    Frank,

    When you do your usual E-mini intraday analysis, showing the performance with respect to the open, high, low, close compared to the previous day, what time period do those labels refer to? What I’m asking is, since the e-mini trades almost 24 hrs/day, does the “open” you refer to mean the open of the 24-hr trading day, which is 3:30 pm Chicago time? (then the close would be 3:15 pm the next day, Chicago time)

    Or do you mean the open of regular trading hours in New York, which is 9:30 am NY time?

  2. ADD says:

    So was that it? Early morning on Wednesday marked the low for this drop? The trend seems to have reverted back to the upside, but I’ve been holding out due to uncertainty whether Friday or Monday will provide a better opportunity. Not sure the odds favor that outlook anymore.

    Best,
    -A.

    • Add,

      a better opportunity for what, going long or short ? Probabilities and odds are still tilt in favor of the downside, but I take whatever that market is willing to give. During the last 15 minutes (see my Twitter update) Nasdaq breadth was significantly improving, so it was time to take some money from the short of the table and wait for another favorable opportunity, and probably a short will be triggered at today’s close. But we’re still in front of the final hour of the session, and everything can happen.

      It’s best to follow me on Twitter (or to send me a Twitter note), I’m not always able to follow the comment section on the blog during the session.

      Best,
      Frank

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