Statistical Trading Using the Open

Discussion in 'Strategy Building' started by trhudson, May 16, 2011.


  1. Just an old time-tested (as opposed to back-tested) rule of thumb.


    To reiterate, SUR has gap, unfilled for weeks. For me, it's a moat.
     
    #11     May 16, 2011
  2. Don't follow that one trades less than 100k a day, except somebody bought a bunch of it. That looks like somebody might know something.

    For what it's worth, the data I am posting in the post is for intra-day trading only.
     
    #12     May 16, 2011
  3. I wouldn't expect you to follow. Merely used as an example. Aside from the spike on the break, nice and quiet. Note the word nice.

    Regardless of intra-day, day, week, month, or buy and hold., thee open is still thee open. At times it has an underlying agenda. "A specialness" to it.

    Intra-day is where I scratch trades. informally after 3 hours, otherwise at close.
     
    #13     May 17, 2011

  4. SPY comprised from 500 issues and should mirror the underlying index. Each issue has a specialist. Individual issues open in accordance with alibis (if any).

    A material gap would reflect multiple axes acting in concert. I don't feel gaps can be predicted rendering a gap probability calculator or frequency distribution (regardless of quantity of samples) coincidental at best. Pre-market indications and "fair value" just shills to move paper. Note I previously used the phrase "amateur hour".

    Probability? The element of surprise is just one of the arrows in the axe's quiver.
     
    #14     May 17, 2011
  5. jprad

    jprad

    Don't you ever read the news on why something gapped on heavy volume?

    CNA Financial to buy CNA Surety
    CHICAGO (AP) -- Insurance company CNA Financial Corp. said Thursday it will buy all the outstanding shares of CNA Surety Corp. for $26.55 in cash.
    http://finance.yahoo.com/news/CNA-Financial-to-buy-CNA-apf-2043101788.html?x=0&.v=1
     
    #15     May 17, 2011
  6. "Y"??? Price explains news not news explains price.

    Yep, I seldom read news. Price tells me there's an alibi (whether genuine or contrived).

    Gap was 3 points below the offer and drew out 3 million shares (the spike). A miniscule proportion of the float. 3 million that didn't think $26 1/2 would materialize. From a time value standpoint, it's worth a 6 month wait for a "sure" 3 points per 100 shares. That 3 million shares was inventory for the ax to peddle back up to where it is. He hasn't unloaded all he acquired.

    Still have my moat and a reasonable profit. Situated quite well, TY.

    Incidently, SUR was previously spun off........FROM CNA. A tender is a tender. The fat lady hasn't sung yet.

    You just won yourself a trip to land of ignore, with your pithy little one-liner, FH
     
    #16     May 17, 2011