Intraday Stats - Posted on Wednesday, June 24, 2009, 12:55 PM GMT +1

7 Comments


Jun Wednesday 24

Trading the Odds on Wednesday – June 24, 2009 -Asian Markets-

WE031672-kleinOn Wednesday all Asian markets closed at least modestly, partly significantly higher. Japan’s Nikkei 225 closed up +0.43%, Hong Kong’s Hang Seng Index closed up +2.02%, Sydney’s ASX All Ordinaries Index closed up +0.24%, Korea’s KOSPI Index closed up +0.24%, Thailand‘s SET Composite Index closed up +2.03%, Singapore’s Straits Times Index closed up +2.37%, and the Jakarta Composite Index closed up exceptionally strong +4.25%.

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 Wednesday, June 24) on those trading days where all of those Asian market indices mentioned above managed at least a gain on the close (with Hong Kong’s Hang Seng Index closing higher > +2.00%), assumed one would’ve bought the ES (S&P 500 E-MINI) on close of the previous session (in this event on Tuesday, June 23).

2009-06-24A-ES-S1-S5

2009-06-24A-ES-S8i

It is especially remarkable that

  • chances that the ES (S&P 500 E-MINI) will open higher significantly exceed the respective at-any-time probability and odds, 45 out of 60 occurrences with a higher open and a profit factor (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) of 9.66 in comparison to an at-any-time profit factor of 0.97 only;
  • 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 exceed the respective at-any-time profit factor on the intraday high (173.44 versus 13.96) and intraday low (0.39 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, and additionally the ES shows an above-average probability for leaving an unfilled opening gap on the upside (on 16 out of 60 occurrences),
  • although chances that the ES (S&P 500 E-MINI) will close higher are about even (on 33 out of 60 occurrences), the profit factor on the close significantly exceeds the respective at-any-time profit factor on the close (2.74 versus 0.98), 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 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, a potential (better: probable) higher open is often very close to a potential intraday high.

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Bottom line:

Asian market’s positive performance on Wednesday’s morning increases the chances for a higher open and a potential intraday high significantly above Tuesday’s close on Wednesday’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 (and additionally taking into account the FOMC announcement at 2:15pm on Wednesday’s session) which would very well comply to the probabilties and odds concerning those setups which were triggered on Tuesday’s close (see my posting Trading the Odds on Wednesday – June 24).

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: No positions in the securities mentioned in this post at time of writing.

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Comments (7)

 

  1. PTTrader says:

    Hi FRank.

    Do you mind asking why you got short before FED ?

    • PPT,

      probabilities and odds are/were significantly tilt in favor of a close below the open and significantly below the high as well (contrary to what chances and odds suggested for a higher open and a high significantly above yesterday’s close). We got a significantly higher open and intraday high above yesterday’s close, and that was THE chance for going short before the FOMC announcement. But due to the fact that although the SPX gave back almost all of its gains a couple of minutes ago breadth was still significantly positive, I covered my (highly profitable) shorts and went long instead. But I just closed my long position for a small gain of +3 index points.

      See the most recent post.

      Best,
      Frank

  2. PTTrader says:

    thanks .. this is not easy to read between the lines and see what you see in the research :)

    • PTTrader,

      but I think the ‘bottom line’ said it all and was hopefully clear enough : cit. ‘… 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 performance on the close versus open (and additionally taking into account the FOMC announcement at 2:15pm on Wednesday’s session) which would very well comply to the probabilties and odds concerning those setups which were triggered on Tuesday’s close (see my posting Trading the Odds on Wednesday – June 24).’

      Best,
      Frank

  3. CarlosR says:

    Frank,

    I didn’t have any trouble understanding what you were saying, but then I’ve been following your blog for a while. I remember the first time I read it being thoroughly confused — but also very impressed! I knew I had to get to the bottom of it… and it’s been worth it.

    I just wanted to say thanks for posting the “heads-up” tweets at the end of the day today. That is *very* valuable on those days when you don’t get to post your regular blog entry for the next day. I’m mostly a swing trader, and open my positions in the evening, so having the tweet is *much* better than not having anything at all. Of course, having the full text is even better, but those 140 character summaries really cut to the heart of the matter! They are much appreciated.

    • CarlosR,

      thanks for the kinds words.

      The problem is that -when I’m heavily engaged in trading and following the markets and/or the market may undertake a major move during the final hour of trading- I’m not able to already start my analysis for the next day’s posting during the final hour of trading. So I’d have to start at 10:30 PM German local time earliest, and due to the fact that it sometimes takes up to 2 hours (or more) for analysis and posting and I’ve to get up at 6:00 AM (German local time) latest in the morning, I sometimes really need the sleep and do the posting the next morning.

      Sorry for that.

      Best,
      Frank

  4. CarlosR says:

    Yes, it’s too bad that little things like sleep get in the way of trading… :)

    I’m happy to read whatever you can post, whenever you can get to it!

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