Statistics of the INDU for Intraday Trading

Discussion in 'Strategy Building' started by gg12, Sep 3, 2009.

  1. gg12

    gg12

    Hi all,

    using Excel statistical functions I want to come up with some simple ideas for intraday trading the INDU based derivates.

    First idea:

    Date Close
    02. Sep 09 9,280.67
    01. Sep 09 9,310.60

    Since we had only a move of 29.93 points from close to close,
    I expect a move of about 155 points away from the opening today.
    R^2=10% on that thesis.

    Second idea:

    Date High Low
    02. Sep 09 9,378.77 9,223.08

    Since we had a high - low range of 155.69 points yesterday,
    I expect a move of about 165 points away from the opening today.
    R^2=12% on that thesis.

    Please see attached graphics.

    Any other ideas on statistical intraday trading?
     
  2. gg12

    gg12

    Attached the graphics.
     
  3. gg12

    gg12

    ... converted to GIF.
     
  4. gg12

    gg12

    Open 9282.03

    +155 -> ca. 9437
    -155 -> ca. 9127
     
  5. gg12

    gg12

    The INDU was unexpectedly quit yesterday:

    Date Open High Low Close
    03. Sep 09 9,282.03 9,350.27 9,252.93 9,344.61
    02. Sep 09 9,306.21 9,378.77 9,223.08 9,280.67

    It moved only 68.24 points from the open to the high
    and 29.10 points from the open to the low.

    Attached graphics show the historical 'travel distance' based on the prior day's absolute open to close distance. You can see the forecast gap marked in red.

    As an new idea I am using the travel distance of yesterday to predict the travel distance of today. That's a forecast of 166+ points from the open to the high or low of the day.

    Let's see what happens today...