Assessing Market Action With Indicators And History
Thursday, May 27, 2010
Very Large Gaps Up From A 10-day Low
As I type at 8am EST the SPY is up about 1.7% pre-market. Going back to 2003 there have been 9 times the SPY has gapped up at least 1.5% after closing at a 10-day low. Every time it has risen more between the open and the close. Below I’ve listed all the instances.
Should this morning's gap hold until the open we could see a short-covering rally ensue. You should note, though that drawdowns have been sizable in several instances (last column).
In this blog I will be examining market action and quantifying my findings. Using sentiment, breadth, price and volume indicators - both standard and customized - I will try and uncover short-term edges which could be taken advantage of by market participants. I will frequently add opinion to these studies and may sometimes post opinions without quantifiable research behind them.
All content on this site is provided for informational purposes only. It is NOT a recommendation or advice to buy or sell any securities. I may hold positions for myself or clients in the securities or industries mentioned here. There is a very high degree of risk involved in trading securities. Your use of any information on this site is entirely at your own risk.
I have traded professionally since 2001. From January 2003 through February 2007 my bi-weekly column "Rob Hanna's Putting It All Together" appeared on TradingMarkets.com. I have been conducting quantitative research and designing trading systems - mostly focused on short-term edges since 2004.
1 comment:
Remarkable, timely study that really gave me confidence in a long position today, many thanks!
Post a Comment