What percentage of the market's historical gains are made intraday?

Discussion in 'Professional Trading' started by AndrewL, Dec 14, 2008.

  1. AndrewL


    In other words, if the S&P has appreciated 8% a year over the last 100 years what percentage of that gain was made on the open? Any experienced trader have a good guess? This is a very important statistic since if a reasonable chunk of the market's gains are made intraday and you pay no margin interest on itraday trades you can make an expected return simply by buying the SPY on the open and selling on the close every day. This is assuming your bankroll is large enough to cover the commisions.

    This is also a statistic everyone who shorts should know. I've personally never shorted a start since the clock is working against you. e.g. if we assume 50% of the market's gains are intraday than half of 8% divided by 260 trading days means you would typically lose .015% each day if you shorted the S&P randomly.
  2. maxpi


    I can't point you to the threads but here on ET there have been posted backtest results that showed that much of the gains of the 80's and 90's came from gaps up, holding overnight was good iow....... personally I like higher freq schemes than that, less account volatility [assuming you don't go off your game of course]
  3. AndrewL


    Interesting link. When I asked what % of a stocks gains were made intraday I didn't expect it to be negative in many cases! What did they use to calculate this?
  4. AndrewL


    The unexpectedly wild variations in intraday moves shows this is a very important and potentially profitable issue! Does anyone have more general historical data? I think it's very important for every day trader to know. If a significant amount of the market's gains were made intraday you could just buy the SP500 on open every day and sell at close, taking advantage of free day trading leverage. This would be the world's simplest trading strategy!
  5. Sure, you could do that. How would the strategy have fared in 4Q 2008?
  6. http://finance.yahoo.com/q?s=^gspc

    Download the historical CSV data to an Excel sheet, compute the daily gains from yesterdays close C(1) to todays open O(0) and compare that annualized ROR to the SP500 return over the same timeframe. Then let us know about the results.
  7. LVMises


    good stuff

    muchos gracias:):)
  8. Pekelo


    The answer is 95+%...

    As long as a gap gets filled and it happens during the day, it is irrelevant what was going on overnight, because the move also happened intraday.

    So to get your answer you just have to look how many UNFILLED gap is left during a year compare it to the year's whole move and there you have it....
  9. I remember doing the work on this for S&P data for 2005 or 2006, can't remember which. Like others said, just download the data and crunch the numbers in excel. I don't remember numbers off the top of my head, but for the year I analyzed, the upward movement came from overnights, and between the open and the close the market was actually quite negative on the year.
    #10     Jan 29, 2009