The person who posted this study provided an update. See below "It was just pointed out to me that I should remove the totals in the chart I posted because the 5% move is included in the moves >2%, and >3%, etc. So the occurrence of a 2% move or greater over the past 20 years was 0.8 percent, and in my backtest over the past 7.5 years it was 0.3 percent. That reduces the probabilities even more of an overnight gap down."
"That said I think you may also need to calibrate your expectations on what value can even come from such a thread. Traders in their right mind will not reveal any edge. If you really do this for a living, you should understand this is not a collaborative enterprise." Interesting statement Cruise Control. Before I switched to futures and options I traded spot forex. I had a pretty large following at Forex Factory because I spent quite a bit of time helping out struggling traders. I would give bits of information and help people without revealing important edges that I had worked years to develop. I would constantly be barraged by posters insisting that I give more and do a trade explorer so they could be "assured" that I was legit. I finally got tired of it so I left the forum. Before I left though I opened a special account, linked the explorer, and gave every detail of one of my methods and called the trades live. I made 36 percent in one month. Funny thing is only one or two traders had the balls to trade with me, the rest just moaned about how the market was rigged and complained about not understanding time zone differences. In the four trading days this past week I made just over twelve percent with 15 trades, 2 losers, and 13 winners. I never risked more than two percent on any trade. I am convinced that I could print my exact methods and trades here and in every forum in the world, and in the Wall Street Journal, and almost no one would ever even try it because most people only think they want to trade but cannot handle the risk, and more importantly do not want to be doing a task for which they are always facing complete accountability in the form of P & L. I have been paying the bills from trading since 2010. I do help people when I can and it has not and never will kill any edges. If your methods have stopped working due to HFT, or some other evolutions in the market it just means the method was never robust.
So krugman25, the close2open strategy underperforms clearly the SPY, something, forgive me, but kind of evident 22 pages back, when we were all still young, given that, according to your data, the daily open2close is practically flat, so keeping it in (buy and hold) or leaving it out of the equation (close2open) doesn't really matter. Add daily commisions and slippage et voilà!, so much ado about nothing. Am I wrong? If I am, this is my first post, and English is not my mother tongue, please be kind
Just curious.. Is it based on Cash Index or it is corresponding future..For the markets where futures also open with cash, you would see future opening significantly lower in many cases w.r.t cash open
I am too lazy to read all posts. So the rule is: Buy at close and sell at open? And is it on stocks, if yes which ones? If it is that easy I test it.
Welcome to ET. You were correct if you trade it mechanically. However, when I read the whole thread carefully, I found one key point of what @krugman25 and the other professional traders said: From this can I find other tradable signals (mechanical or non mechanical) within that can enhance the outcome. Often, one should read the whole thread, but also read between the lines. You will learn more if you do that. And I assume you are here to enhance your trading skill? If not my apology. Best wishes.
I followed all posts in this 23 pages long thread. Thank you for OP and many others who gave me insight to this observation. I believe that OP is searching for a method to trade this, good luck.
Your story is wonderful. Now how does it relate to the topic at hand? Getting back to topic, the discussion is all intellectual as long as we can't make a profitable strategy out of it... ----------------------- By the way a quick math: Since 1993 until today it is 26 years so 250 x 26= 6500 trading days ES gains from 400 to 2900 = 2500 points Daily average gain is: 2500/6500= 0.38 ES points Yippie!!!!! Oh yes, I forgot to subtract for commissions and taxes. On the other hand one could have just bought and held rolling once in every quarter (4 trades per year) and would get the exact same result without the shitload of commissions....