MR statistics

Discussion in 'Strategy Development' started by Pekelo, Jan 2, 2006.

  1. Pekelo


    The purpose of this journal is to try to determine if the market has a preference for gaping up vs. gaping down overnight. For newcomers MRC means the Midnight Rally Crew and the strategy is based on the belief that there are way more upgaps than downgaps, thus it is profitable going long either at the close or just before midnight.

    So every morning I will record how YM futures moved before the 9 am opening of the markets. My guess is that over the long run the preference is going to be very narrow or no preference at all.
    Also that is possible that a few large downgaps will take care of a bunch of small upgaps. We shall see....

    If anybody has statistics on the matter already, feel free to jump in, although when I asked, nobody offered such a thing, thus this journal was born.

    As for December, I recall about 4 downgaps, and the rest was upgaps or no movement overnight. That statistics would give a 4 to 1 advantage for upgaps, but my bet is that December was a very seasonal bullish month casuing the incredible performance.

    Right now the YMs are up 30 points since last year's close, so so far we have one score for the longs....
  2. Pekelo


    OK, journal got moved. Anyway, in the most predictable over the weekend of the year the YMs were up as much as 73 points, until 8 am. Now there is a pullback and they are up only 51 points, one hour before the markets open...
  3. Pekelo


    Currently the YMs are down 10 points after earlier being down 20 points. Kind of expected after such a big rally yesterday.

    So the score is 1:1...
  4. Pekelo


    YMs gapped down again, currently at -26 points.

    Score : 2:1 for the shorts....
  5. Pekelo


    I knew sooner or later we would have a flat overnight. This morning the YM is up a giant 3 points and there was no big fluctuation overnight, so I am going to count this as flat.

    I know the definition of flatness is arbitrary, so for future reference, if the YM moves only 7-8 points or less in either direction, that goes down as being flat.

    Score: 2:1:1 (s:l:f)
  6. Pekelo


    Just for the record, let's put it down that a bit before the release of the Dec. employment data, the futures started to drift higher and there was a spike right after 8:30 am as high as 44 points up. But that was due to the restating the numbers for November and it had nothing to do with overnight activity.
  7. Pekelo


    Dow futures are down 10 points, so the score is:

    3:1:1 (s:l:f)

    So far doesn't look like we are gapping up all the time...
  8. Pekelo


    YM is down by 37 points, possibly because the Nikkei sold out and lost 303 points (1.8%).

    It was already down by 30 before midnight. Between 11 pm and 12:30 there was a 10 points updrift followed by a 20 points drop by 5 am, from where it bounced back a a little to the current 37....

    Score: 4:1:1 (s:l:f)
  9. Pekelo


    YM is down 52 points 15 minutes to the open....
  10. Pekelo


    Another interesting overnight for MRC. After the close YM droped 10 points going into midnight. After midnight it rallied up 30 points, just to fall back by 7 am. Right now all the futures are around slightly up (S&P) or down (Nasdaq) YM being up by 5 points.

    So although I have to report this as flat overall, there was a midnight rally last night.


    4:1:2 (s:l:f)
    #10     Jan 11, 2006