Anyone here done research in finding which one of the index's tend to over react? for example, when market is down 1%; which one of them tends to be down more than 1%, consistently? i have a system that trades ranges and basically i'm looking for a index to trade that tends to ''overreact" more than the other indexes.
Get the data and do the ATR calculations for each index for your time frame of interest. Depending on market conditions the Nasdaq 100 or the Russell 2000 will be the most volatile. Dow and S&P 500 the least volatile.
learn what makes up an index, along with their weights, and you will understand why an index will be down...
Sounds like youâre looking for the index equivalent of a beta list. The trouble is what to relate it to. I use and keep an eye on the beta of FTSE 100 stocks (how much each stock moves versus the index) to decide what to trade, looking for those which should outperform. High-beta (banks, miners; >1.5) tend to over-react as you say, rising or falling more than the market. The low beta (steady-eddie stuff like utilities; <1 ) tend to move less so. It all depends what you are comparing to. When you say the market is down 1%, what is the market? Equity indices in general. Maybe try downloading price history of major indices (free on Yahoo finance), choose a benchmark and use the bottom section of this page to work out which moves more or less (http://www.investopedia.com/articles/financial-theory/09/calculating-beta.asp). Hope this helps. Good luck.