May

29

The thesis of this article is that with the increased volume you have an algo driven "pump up" during the last minutes of the day.

According to the data I have that is not the case.

Since 1 Jan 2012 closing the trade at 1600 you can see the results below:

Buy at 1520 49% up 0 pts t -42

           1530 48% up -0.1 pts t -120

           1540 46% up -0.2 pts t -270

           1550 45% up -0.1 pts t -208

There might be other edges around the close. This is due to the index funds managing their positions and day-traders closing their trades. In some case this might create inefficiencies that a small speculator can exploit to make a decent living. Good for those who can find them. But for sure it is not what zerohedge brags about from time to time. 


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  1. Andre Wallin on May 29, 2015 5:52 pm

    Have noticed that if one is anticipating a move near end of day and it hasn’t happened by 4est it will more likely happen by 4:15.

    Also, two inside days on SPs have only happened 6 times in last decade and 5 out of the 6 times has led to lower lows and lower highs for the week following. The one time it didn’t we were near market lows so maybe it indicates a pause in market direction. Now how do I test if this is in line with randomness?

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