Daily Commentary - Posted on Tuesday, November 23, 2010, 9:10 AM GMT +1

2 Comments


Nov Tuesday 23

Intraday Odds for Tuesday, November 23

On Monday, November 22, the SPY recouped almost all of its intraday losses of -1.26% into the close and ended the session with a fractional loss of -0.08%. But at time of writing (Tuesday, November 23, 2:38 am ET), the ES E-mini (S&P 500) future is (again) down -0.90% (-10.80 index points).

Historically with a combination of both – the market’s ability to recoup an intraday loss of -1.0% (or more) into the close and a significantly lower open on the then following session – , probabilities and odds are heavily tilt in favor of some additional intraday downside.

Table I below shows those occurrences and the SPY‘s historical intraday performance (since 01/01/1990) on the open (‘open vs. prev. close‘), the intraday low (‘low vs. previous close‘), during the first hour (‘1st hr. vs. open‘), the close vs. the end of the first hour (‘close vs. 1st hr.‘), and on the close (‘close vs. prev. close‘) on those sessions where the SPY opened lower at least -0.75% (possibly on Tuesday, November 23) immediately following a session where the SPY had posted an intraday low of at least -1.0%, but closed in the top quartile of the intraday range (like on Monday, November 22) in the past.

Interesting to note that the SPY

  • … posted an intraday low of at least -2.0% on 21 out of those 28 occurrences (or 75.00% of the time) ;
  • … showed a positive performance during the first hour on 17 occurrences (or 60.71% of the time), but a significantly negative performance during the rest of the session (after the end of the first hour) on 22 occurrences (or 78.57% of the time) ;
  • … lost at least -1.0% or more after the end of the first hour of the session on 15 occurrences (or 53.57% of the time) ; and finally
  • … closed lower on 27 out of up to now 28 occurrences (or 96.42% of the time).

Conclusions:

From a statistical and historical point of view – assumed the SPY will open lower at least -0.75% on today’s session – , chances for another upside reversal on Tuesday, November 23 are slim, and any upside during the first hour of the session might provide a selling (shorting) opportunity targeting (partly significantly) lower prices during the rest and / or at the end of the session.

Successful trading,

Frank

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

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Remarks: Due to their conceptual scope – and if not explicitely stated otherwise – , all models/setups/strategies do not account for slippage, fees and transaction costs, do not account for return on cash and/or interest on margin, do not use position sizing (e.g. Kelly, optimal f) – they’re always ‘all in‘ – , do not use leverage (e.g. leveraged ETFs), do not utilize any kind of abnormal market filter (e.g. during market phases with extremely elevated volatility), do not use intraday buy/sell stops (end-of-day prices only), and models/setups/strategies are not ‘adaptive‘ (do not adjust to the ongoing changes in market conditions like bull and bear markets).

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Disclaimer

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. The author of this website is not a licensed financial advisor and will not accept liability for any loss or damage, including without limitation to, any loss of profit, which may arise directly or indirectly from use of or reliance on the content of this website(s). Under no circumstances does this information represent an advice or recommendation to buy, sell or hold any security.

I may or may not hold positions for myself, my family and/or clients in the securities mentioned here. Actions may have been taken before or after information is presented, and any opinions expressed in this site are subject to change without notice.

(Data courtesy of MetaStock , and for data import, testing, surveys and statistics I use MATLAB from MathWorks)

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Comments (2)

 

  1. […] This post was mentioned on Twitter by Frank Hogelucht, 50 Pips and ARAK0, Quant Blogs. Quant Blogs said: Trading the Odds: Intraday Odds for Tuesday, November 23 http://bit.ly/eIZYRr […]

  2. Anonymous says:

    Frank,

    Thanks so much for your comments and all the effort you put into providing extremely helpful trading odds. Your statisticial data has made a huge difference in my trading confidence.

    Again, Thank you and Happy Holiday’s

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