marine2
963 posts
msg #156321
- Ignore marine2 |
3/30/2021 12:28:56 PM
Is my assumption correct on this observation, on a specific stock as it gets worked in the “after-market” where this stock ends in that day’s “after-market” higher than it closed in the regular market session it most often starts the next day higher in it’s next day’s pricing?
Another words, each day on average the stock pricing for stocks that do “after-market” activity begins its day pricing opposite of what its “after-market” pricing ended up with?
|
lis
37 posts
msg #156374
- Ignore lis |
4/2/2021 3:38:01 PM
Would make for an interesting backtest.
|
nibor100
1,042 posts
msg #156377
- Ignore nibor100 |
4/2/2021 4:36:02 PM
@marine2,
Are you including pre-market and after-hours trading in you after-market term?
Thanks,
Ed S.
|
miketranz
966 posts
msg #156380
- Ignore miketranz |
4/2/2021 6:06:43 PM
Marine,you might be on to something.Ck this out.Business Insider:In a note Monday afternoon, analysts at Bespoke Investment Group compared the performance of the "buy the open, sell the close" strategy to "buy the close, sell the open."
And buying stocks at the end of the day and selling them right at the market open the next morning was a big winner.
Since the January 1993 inception of the 'SPY' ETF that tracks the S&P 500, buying the index at the end of business and selling the next morning has seen a $100 investment rise more than 480%.
Buying the open and selling the close, in contrast, has lost about 20% over that same period.
|
marine2
963 posts
msg #156383
- Ignore marine2 |
4/3/2021 3:23:11 AM
Yes, I have seen the “opposite” effect with much consistency in the many stocks I have been looking at on the close of the after-market action then seeing it go opposite of that when opening the next day. Not sure if my eyes were playing games with me or if this was something to seriously look at. And all we want to do is find a way to make money :-)
|
marine2
963 posts
msg #156384
- Ignore marine2
modified |
4/3/2021 3:31:56 AM
Nibor100, I was referring to After-Hours / Pre-Market as the same thing. Any action after the market closes after a normal trading day.
And MikeTranz, thank you for that heads-up about SPY in buying at the end of the day (regular hours) then sell SPY at the open of the next day. Sounds interesting. I will have to watch it first to see its consistency.
|
compound_gains
222 posts
msg #156385
- Ignore compound_gains |
4/3/2021 6:50:23 AM
https://markets.businessinsider.com/news/stocks/most-profitable-stock-trades-since-broken-amid-coronavirus-pandemic-market-2020-5-1029239037
|
miketranz
966 posts
msg #156386
- Ignore miketranz
modified |
4/3/2021 9:25:00 AM
Well,under current market conditions buying the close/selling the open has returned -19.7%.Interesting statistics.However,that's based only on the SPY.There's a possibility that individual stocks
might still that trade in that manner.You can also take last minute volume spikes into consideration.Is there a correlation between that and the next days open? Then there's the gap trade.Someone put out a gap statistic filter which might be of use.If it's strictly afterhours/pre market trading vs the next days open,most decent trading platforms have a volume/price premarket screen,to see if there's any correlation there.In my opinion,anything that works 75% of the time,is something to consider.Best,Miketranz...
|
lis
37 posts
msg #156430
- Ignore lis |
4/7/2021 2:50:39 PM
Being curious about the 'buy the close/sell the open' strategy, I threw together this basic gap filter:
Of course, this doesn't take into account the after-market action that @marine2 hypothesized.
|
ron22
255 posts
msg #156529
- Ignore ron22 |
4/8/2021 3:53:26 PM
@lis,
Your gap filter is very interesting. It reminds me of TRO's stat scans. Is it possible to add two columns?
1. close to open average gap up %
2. close to open average gap down %
Thank you for your help and for posting this filter.
|