Interesting Initial Balance Statistic

[jmi88]

This is really nice stats...what times did you use as the open and IB for the ES and YM.......thanks

[maildigger]

How would you guys trade this information ?

[alleyb]

Could you do the same statistical work on the Bonds. Bonds not 10 year notes. If you can much gratitude in advance but also I wish to set the comparison between the two markets

[ant]

	Quote:	alleyb
	Could you do the same statistical work on the Bonds. Bonds not 10 year notes. If you can much gratitude in advance but also I wish to set the comparison between the two markets

Alleyb, I'm on my way out and won't be around a computer this weekend, but I'll try to get you the stats on the 30 Yr Bonds by Sunday evening or so. Perhaps you could share your thoughts on using these IB stats in your trading.

[ant]

	Quote:	alleyb
	Could you do the same statistical work on the Bonds. Bonds not 10 year notes. If you can much gratitude in advance but also I wish to set the comparison between the two markets

Below are the statistics for the 30 Yr Bonds (US) going back three years. Note that the Initial Balance (IB) period used was 8:20am to 9:20am EST. Similar results as the other markets with the high/low being placed almost 80% of the time in the first hour of trading!

(US) 8/30/06 - 8/24/07
Highs in first 30 mins: 92 out of 251 days or 36.65%
Lows in first 30 mins: 90 out of 251 days or 35.86%
Highs in first 60 mins: 110 out of 251 days or 43.82%
Lows in first 60 mins: 100 out of 251 days or 39.84%
=======
High/Low in first 30 mins: 182 out of 251 days or 72.51%
High/Low In first 60 mins: 210 out of 251 days or 83.67%
Normal Day: 15 out of 251 days or 5.98%

(US) 8/30/05 - 8/25/06
Highs in first 30 mins: 87 out of 250 days or 34.80%
Lows in first 30 mins: 74 out of 250 days or 29.60%
Highs in first 60 mins: 102 out of 250 days or 40.80%
Lows in first 60 mins: 94 out of 250 days or 37.60%
=======
High/Low in first 30 mins: 161 out of 250 days or 64.40%
High/Low In first 60 mins: 196 out of 250 days or 78.40%
Normal Day: 7 out of 250 days or 2.80%

(US) 8/27/04 - 8/26/05
Highs in first 30 mins: 72 out of 252 days or 28.57%
Lows in first 30 mins: 79 out of 252 days or 31.35%
Highs in first 60 mins: 87 out of 252 days or 34.52%
Lows in first 60 mins: 105 out of 252 days or 41.67%
=======
High/Low in first 30 mins: 151 out of 252 days or 59.92%
High/Low In first 60 mins: 192 out of 252 days or 76.19%
Normal Day: 18 out of 252 days or 7.14%

(US) Last 3 Years: 8/26/04 - 8/24/07
Highs in first 30 mins: 251 out of 752 days or 33.38%
Lows in first 30 mins: 243 out of 752 days or 32.31%
Highs in first 60 mins: 299 out of 752 days or 39.76%
Lows in first 60 mins: 299 out of 752 days or 39.76%
=======
High/Low in first 30 mins: 494 out of 752 days or 65.69%
High/Low In first 60 mins: 598 out of 752 days or 79.52%
Normal Day: 40 out of 752 days or 5.32%

[Dogpile]

Hi ant, great stuff.

I was wondering if you have ever quantified how often the market exhibits ‘open-drive’?

Maybe one way to look at this would be when the market makes its high or low for the day in the opening 15 minutes…

I don’t mean for this to be a forum where you do the work at our request – but in effect, that is exactly what it is quickly becoming. Nonetheless, I shamelessly ask you this anyway in hope you are interested in this also…..

[ant]

Dogpile,

I haven't gathered statistics for "open-drive." It would probably be easier to test for "one-timeframing." I think what you proposed, which is not a bad idea, would be a subset of an "open-test-drive." If time permits, I may pursue this. But I would definitely look for high-confidence openings after testing the previous high/low, testing bracket or balance area extremes, or an opening gap after the market has been balancing.

By the way, providing IB stats is something I could do easily so I usually appease people that have contributed to this forum in a constructive manner. You qualify Dogpile

[jperl]

There are some interesting statistics being presented here that the probability of the high/low occuring in the first hour of trading is very high. The first hour of trading represents about 15% of the trading day. So the expectation is that the high or the low will occur in the first 15% of the trading day.

Here is something then to think about. If you think markets have a fractal behavior, then the time span for the high or low to occur should scale on different time frames.
Example:
Suppose my trading day is only 10 minutes!! If the 15% figure for the high and low is correct, then I should expect that within my 10 minute trading day, the high or the low should occur within the first 90 seconds of my trading day.
This should be correct for any time frame that you trade in. If you trade 30 minute bars, then the high or low for that bar should occur within the first 4.5 minutes of that bar's open.

Check it out.

[Dogpile]

one other request of ant...

I like to think from George Taylor perspective which is most easily thought about as you form a thesis about whether you think the days basic theme will be trade from a low morning level to a high afternoon level ('low made first' was how it was written in the book -- The Taylor Trading Technique) -- or whether you think the day will trade from a high morning level to a low afternoon level (high made first).

I generally see this 'reversal' occur in the 10am-12pm EST timeframe --- as it did today (Friday) and yesterday (Thursday). Was curious in the stats associated with a high or low made in precisely the 10am-12pm EST? btw, This is more for 'context' that for entries and exits. attached are last 2 days:

[colion]

In 2000, Larry Pesavento published "Opening Price Principle" in which he claimed that 65% of the time C will be near the H or L for the day which in turn are near the O 75% of the time. Sounds like the present studies might be consistent with these results.