Intraday Stats - Posted on Thursday, August 13, 2009, 12:03 PM GMT +1

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Aug Thursday 13

Follow up: Post-FOMC Sessions and Tradable Edges

This is a follow-up on my posting Trading the Odds on Thursday – August 13, 2009.

Due to the fact that ES (E-MINI S&P 500) futures are already up +1.0% at time of writing (05:50am CET), a favorable opportunity on the short side of the market may be provided on today’s open.

Table I shows the ES (E-MINI S&P 500) intraday performance (since 01/02/1990) concerning the open, close, close versus open, the first hour of the session and the last hour of the session on those sessions (in this event Thursday, August 13) where the ES (E-MINI S&P 500) opened up more than +0.75% on a session immediately following an FOMC announcement day (like yesterday).

2009-08-12-ES-S5i

With respect to intraday stats (open/close/close vs. open/first hour/last hour/) on those 10 out of 155 occurrences (regular FOMC meetings since 01/02/1990), it is especially remarkable that the ES (E-MINI S&P 500) never posted a gain of more than +0.11% at the end of the first hour of the session compared to the open (deduced from the Dow Jones Industrial’s performance during the first hour of the session), and posted a loss on the last 7 occurrences (at the end of the first hour of the session in comparison to the open). The t-score (-2.36 compared to the at-any-time performance during the first hour of a session) significantly exceeds the -1.645 mark in order to achieve statistical significance, despite the small sample size.

Odds are even better (concerning the probability of a winning trade if short on the open, the profit factor and t-score) and heavily lopsided in favor of a bearish bias concerning the ES’ (E-MINI S&P 500) performance after the 1st hour of the session in comparison to the opening quotation in the event the ES (E-MINI S&P 500) opens up more than +0.50% only instead of more than +0.75% on today’s session (1007+), stats below …

2009-08-12-ES-S5i-2

So in the event the ES (E-MINI S&P 500) opens up more than +0.50% on today’s session (1007+), from a historical and statistical perspective the open would provide a (highly) favorable shorting opportunity with respect to the first hour of today’s session (concerning today’s  close probabilities and odds would then be significantly tilt in favor of a higher close -on 9 out of 10 occurrences-, but not necessarily a close above the 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 (E-MINI S&P 500) at time of writing.

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Comments (2)

 

  1. Toptick says:

    Frank: excellent trading! Folks not following you on Twitter are missing a lot.

    BTW, is it my imagination or has your productivity / creativity increased since you switched to MatLab? Your statistical reports are great.

    • Toptick,

      thanks.

      MatLab is an excellent platform which makes is much easier to improve quantity (number of potential setups and stats), quality and speed of my daily analysis which would be difficult to achieve with Excel (due to the huge data base, the endless number of formulas and performance issues).

      Best,
      Frank

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