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(ZT) Statistics about "back-to-back" Opening Gaps of -1.5%

已有 365 次阅读2009-4-28 08:39 AM

If we continue to sell off this morning, it would mark only the third time we've seen back-to-back opening gaps of -1.5% or more this year (the others were on January 23rd and March 2nd).  There have been 14 of these since the inception of the S&P futures, and buying the open of the second day's gap was mixed.  It led to a close higher than the open 50% of the time and an average of +0.1% - no edge there.

 

Over the next few days, it got better, with a winning percentage of 64% and average return of +2.4%.  Two weeks later, the S&P was up 79% of the time with an average of +3.7%, but it was extremely volatile (the average risk during those two-week trades was -5.3% compared to an average maximum reward of +8.7%).

 

Remarkably, during the current bear market the S&P was positive two weeks later 8 out of 9 times by an average of +3.4%.  But (and this is a big "but"), the other multiple gaps occurred after the market had sold off, not when it was coming off a multi-month high.  That's a big difference - we're probably not seeing capitulation here as we would be if we'd been selling off for the past couple of weeks.

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发表评论 评论 (14 个评论)

回复 gear 2009-4-28 08:48 AM
回复 balto 2009-4-28 10:06 AM
回复 Cobra 2009-4-28 10:07 AM
balto:
靠,俺都说了,大爷们,就不要了,俺对爷们没兴趣。
回复 balto 2009-4-28 10:18 AM
Cobra: 靠,俺都说了,大爷们,就不要了,俺对爷们没兴趣。
靠,偶是看着蛇肉眼馋。食色食色,除了色还有食啊!
回复 Amy999 2009-4-28 10:19 AM
thanks
回复 zen 2009-4-28 10:43 AM
thanks
回复 humbletrader 2009-4-28 11:30 AM
Thanks!
回复 Cobra 2009-4-28 11:52 AM
balto: 靠,偶是看着蛇肉眼馋。食色食色,除了色还有食啊!
狼肉好吃。
回复 goodluck8 2009-4-28 04:43 PM
What's back-to-back?
回复 Cobra 2009-4-28 04:44 PM
goodluck8: What's back-to-back?
连着两天大低开。
回复 supsucc 2009-4-28 05:00 PM
Thanks
回复 Amy 2009-4-28 06:41 PM
回复 bigbadwolf 2009-4-28 07:01 PM
Cobra: 靠,俺都说了,大爷们,就不要了,俺对爷们没兴趣。
回复 小咪 2009-4-28 07:37 PM
Cobra: 靠,俺都说了,大爷们,就不要了,俺对爷们没兴趣。

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