Here is a quick one following on from this post about using excel as a start to back testing. Today the SPI gaped open from yesterdays close by more than 1%, in fact it was 1.4% from my calculations. So as a start it is not a bad Idea to have access to where the edge lies in terms of how similar days have played out. Here is a quick spread sheet I banged together in about 5 minutes.
Results are for a day when the SPI opened greater than 1% from previous cash close from 24th of July 07 up to yesterday. There has been 106 opens greater than 1%. Out of those 106 times the close on the day has been lower than the open on 62 occasions, 58%. Average day move is -11 points. So a mild negative bias. The SPI is now 25 odd points above the open. lets see how this one plays out.
Very interesting, thanks for sharing your research.
Posted by: StuntTrader | February 17, 2010 at 05:00 PM
Nice. I've been wanting to put together a set of statistics around the SPI. Your spreadsheet would serve as a great starting point.
Posted by: NK | February 17, 2010 at 10:08 PM
Hey, I visit regularly your blog, but why not post here more than ASF. I just dont like ASF!
Posted by: trader#21 | February 18, 2010 at 07:55 PM
TH,
Just a broad question:
What do you think of the KOSPI as a market for intraday trading?
Thanks.
Posted by: Alex | March 16, 2010 at 06:47 PM