Hi I remember reading that over any 30 years period, the SP500 grew around 10%per year on average ,but I'm looking for more precise information on how much of that growth happens during intraday trading. Do you have any input on that matter, or links to useful websites ? Thanks Luis
While remembering that historical daily data from Yahoo (and eSignal, and others) has been adjusted for splits/dividends/other corporate actions (and so wonât be the same as the actual OHLC range that was available in the raw, intraday exchange feed on any given day), you could get a sense of the relative contributions of intraday- and outside-of-intraday-hours as follows: (... and I'm pretty sure others here will be quick to correct me if I've missed something, or am wrong, or if there's an easier way!) - Get daily OHLC data (e.g. from Yahoo ... itâs free!) for SPY. - Sum (in Excel) all daily Open to Close price changes over the time period you are interested in. - Sum all price changes from Close of each trading day to Open of next trading day. You will have two numbers you can compare: - Total price change during core session trading hours - Total price change outside of core session trading hours Is this what you are after? (Please share your results.)
Thanks Abbatia. Yes that's pretty much what I'm looking for. Yet I check the historical quotes with Yahoo and I can't (or at least don't know how to) copy and paste the data to excell. Any other link from where I could extract the data more easily ?
For example, go to http://es.finance.yahoo.com/q/hp?s=SPY At the bottom of the page (below all the data), there is a link that says something like "download data in a spreadsheet" ... (In spanish, it's "Bajar en formato de hoja de cálculo")
Actually i'd figured out that much, but here is how it shows on excell, basically all in 1 cell and can't use it (or am I missing something ? ): Date,Open,High,Low,Close,Volume,Adj Close 2010-09-30,115.05,115.79,113.59,114.13,286965800,114.13 2010-09-29,114.38,114.91,114.02,114.47,179665800,114.47 2010-09-28,114.42,115.04,113.18,114.67,209207500,114.67 2010-09-27,114.86,114.99,114.16,114.27,128761800,114.27 2010-09-24,113.75,114.90,113.65,114.82,209671800,114.82 2010-09-23,112.49,113.67,112.18,112.50,202354300,112.50 2010-09-22,113.80,114.44,113.10,113.42,191322400,113.42 2010-09-21,114.30,114.84,113.51,113.98,268389100,113.98 2010-09-20,112.88,114.46,112.52,114.21,214555200,114.21 2010-09-17,113.04,113.15,112.18,112.49,195836900,112.49 2010-09-16,112.73,113.12,112.35,113.05,199962900,112.45 2010-09-15,112.32,113.21,111.98,113.08,168608400,112.48 2010-09-14,112.50,113.29,112.08,112.65,209823600,112.05 2010-09-13,112.58,112.95,112.13,112.72,178503500,112.12 2010-09-10,111.12,111.61,110.87,111.48,127819000,110.89 2010-09-09,111.65,111.68,110.62,110.92,147017900,110.33 2010-09-08,109.86,110.85,109.81,110.41,149924400,109.82 2010-09-07,110.37,110.51,109.55,109.64,141973700,109.06 2010-09-03,110.54,110.99,109.95,110.89,212197300,110.30 2010-09-02,108.72,109.49,108.49,109.47,156112200,108.89 2010-09-01,106.73,108.61,106.66,108.46,256828100,107.88 2010-08-31,104.92,105.98,104.49,105.31,273933100,104.75 2010-08-30,106.58,106.91,105.30,105.31,167238600,104.75 2010-08-27,105.89,106.97,104.31,106.86,272649000,106.29 2010-08-26,106.44,106.58,104.88,105.23,224439500,104.67 2010-08-25,104.95,106.34,104.29,105.94,272234800,105.38 2010-08-24,105.95,106.39,104.97,105.53,280677800,104.97
Here, let me spoon feed you ... This should work (for Excel 2007). 1. Save the file you downloaded (a CSV file) [the "CSV File"]. 2. Open another Excel file [the "Excel File"]. 3. In the Excel File: - go to the "Data" tab. - select "From Text" within "Get External Data". - select the CSV File. - you'll see the Text Import Wizard -- in Step 1 of 3, ensure "Delimited" is selected -- tab through to NEXT -- in Step 2 of 3, ensure both "Tab" and "Comma" are selected -- tab through to NEXT -- in Step 3 of 3, ensure both "General" is selected -- tab through to FINISH -- in response to "Where do you want to put the data?", leave as suggested -- click "OK" Voila. Jeez....
These guys already did it: http://www.cxoadvisory.com/calendar-effects/buy-at-the-close-and-sell-at-the-open/
Thanks! This was Aug 2007. LuisHK's analysis would be able to confirm whether the results (for 4PM - 09h30AM, versus the rest) still hold in Oct 2010 (i.e. during the current ultraHFTocene era...)
Looks to me like a similar relationship continued to hold until about 11/2007, since which time the relationship reversed (i.e. after 11/2007, buy at 09h30 and sell at 16h00 EST worked better than the opposite).
Thanks Abbatia, your method worked, and the links were quite instructive as well. Out the window my assumption that if buy and holders can make money because the SP500 is growing over the long run, day traders can profit of a similar intraday trend. What I find is a negative return on intradays, even from 11/2007 onward, it seems intraday return became positive again after the worst of the 2008 crisis was over. What bugs me is whereas the overnight returns from 1993- 2010 are positive (25,2), they don't compensate the lowering of intraday (-95,63) , whereas the SPY grew from 43.94 to 114.38 What would that mean ? The growth of Spy over this period comes only from dividend ? The dividends, split issues alters the matter too much to come close to recovering the SPY's growth usin this methods. My formulas are wrong ? : CloseDay - OpenDay = difference intraday OpenDay - (CloseDay-1) = difference overnight