All market gains since 1993 have occurred after hours

Discussion in 'Trading' started by krugman25, Apr 13, 2019.

  1. Given spooz liquidity, I am not sure it would have an appreciable effect. At least not enough to discount 600% of gains, but maybe knock a few percent off of the "optimal" number.
    #31     Apr 14, 2019
  2. sle


    Run it on SPYs and tell me what you see as an average PnL per day. It's gonna be like 3-5 bps, I'd venture. As I said, a couple ways of juicing it up is moving to longer non-trading periods (weekends), switching to more volatile assets and scaling the strategy up during volatile periods.
    #32     Apr 14, 2019
    Timetwister likes this.
  3. maxinger


    Honestly speaking, with the invention of internet, it is soo easy to get information online.

    Unfortunately there are tons of worthless confusing fake erroneous nonsensical information out there.
    Always read trading, financial, economic news, reports even from reputable website with a pinch of salt, and with suspicion.

    So do your own analysis and trade based on your analysis, not what based on what other people think/feel.
    #33     Apr 14, 2019
    piezoe and smallfil like this.
  4. Sounds like a fun afternoon coding on NT. I'm game!
    #34     Apr 14, 2019
  5. Seaweed


    I do agree. If we take enough days, not just a nice bull run of several months, then you can clearly see many green bars are cancelled out by the red bars. (yes, I'm dumbing this down!) What you have left might be an average of a couple of points per day, during a good run, but not over many years perhaps.

    By transaction costs do you mean slippage and commissions? For the ES, clearly that is just about $4 roundtrip, and even just 1 tick profit will cover that. In terms of slippage, it just isn't really there I would say during this time, but you have to figure out what is ideal. (ie. enter at 4pm or wait till just before 4:15)

    But on the whole, I do agree that this isn't a killer strategy. You're limited to just one trade a day, which you have to execute perfectly, and there can be serious drawdowns of many red days in a row.
    #35     Apr 14, 2019
  6. The article refenced is a data set, not an opinion piece.
    Last edited: Apr 14, 2019
    #36     Apr 14, 2019
  7. Now this is a great idea for a study, running the data with sloppier entries and exits to see how it effects the overall results. My guess is it weakens it, but by how much? Hmmmm
    #37     Apr 14, 2019
  8. Nobert


    If using in practise, 365, by retailer -

    ~$100 000 in commisions, since 1993 (?).

    Some drawdown , if compounding.

    Yet, i would guess, that 60% or more, don't even know, about pre or after , existing.
    #38     Apr 14, 2019
  9. Is it though? 100k in commissions is a meaningless number if you don't know what your gains were. Also 100k in commissions over 25 years is 4,000 per year. That's not much, especially if the gains and risk adjusted returns justify it.
    Last edited: Apr 14, 2019
    #39     Apr 14, 2019
  10. Nobert


    I absolutely agree.

    I had in mind 401k person*.
    #40     Apr 14, 2019
    krugman25 likes this.