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Below we offer tables that show the best predictors of the risk-adjusted close to close behavior of stocks from June of 1986 to June of 2005.  Just to be clear, we're talking about the annualized percentage change of a stock's value from the close on day 1 to the close on day 2.  Thus the extended hours trading between the close on day 1 and the open on day 2 is included in the results.

The trading strategies below resemble, for the most part, the strategies we come up with when looking at more recent risk-adjusted data:  looking for a large "close-low" differential seems particularly potent. Other observations:

*Stocks with a recent tendency to finish well off their daily highs tend to gain nicely.

*Short term losers predict gains.

*Look for nice gains when banking stocks and REIT's finish near their lows for the day.

Date(ymd): 840626
Average Gain: 1634.17
Group Stdev: 2337.20
Market Focus: 1.8+2.1
(1.85, 1.67)
Market Focus5: 1.4+1.7

one day from close to close

Top Gaining Groups
15518.87 close-low 0.00 to 0.00 (1)+ vstdev 4.80 to 10.46 (1)
15447.44 close-low 0.00 to 0.00 (1)+ open-yclose -39.30 to -1.17 (1)
15335.57 close-low 0.00 to 0.00 (1)+ industry 91.45 to 101.99 (10)
15000.49 close-low 0.00 to 0.00 (1)+ stdev 0.01 to 0.01 (2)
14626.47 close-low 0.00 to 0.00 (1)+ mov_ave100 -0.03 to -0.01 (4)
14384.00 close-low 0.00 to 0.00 (1)+ afterhours_sta -160.00 to -1.48 (1)
14248.23 close-low 0.00 to 0.00 (1)+ stdev 0.00 to 0.01 (1)
14025.92 markcap_est 0.63 to 53.01 (1)+ vslice97 -2.32 to -0.56 (1)
13874.85 close-low 0.00 to 0.00 (1)+ vstock_ind 4.18 to 9.69 (9)
13850.44 close-low 0.00 to 0.00 (1)+ vstdev 10.46 to 12.19 (2)
13714.27 high_moment -1.20 to -0.07 (1)+ break_ave -7.17 to -3.35 (3)
13709.21 close-low 0.00 to 0.00 (1)+ break_ave 4.64 to 7.45 (7)
13646.11 close-low 0.00 to 0.00 (1)+ open_moment 3.04 to 32.88 (10)
13635.73 close-low 0.00 to 0.00 (1)+ slice3 0.85 to 1.36 (9)
13469.91 close-low 0.00 to 0.00 (1)+ stock_ind 0.13 to 0.34 (7)
13455.80 high_moment -1.20 to -0.07 (1)+ slice97 1.69 to 25.06 (10)
13371.25 high-close 3.72 to 62.11 (10)+ vstdev 4.80 to 10.46 (1)
13162.98 close-low 0.00 to 0.00 (1)+ gain4 -51.17 to -2.63 (1)
13117.77 close-low 0.00 to 0.00 (1)+ break_ave -3.35 to -0.43 (4)
12986.05 close-low 0.00 to 0.00 (1)+ big_vslice -12478.20 to -1691.55 (2)
12969.47 close-low 0.00 to 0.00 (1)+ gain1 -0.34 to 0.00 (5)
12965.38 close-low 0.00 to 0.00 (1)+ big_pslice -237.73 to -26.76 (2)
12925.53 high-close 3.72 to 62.11 (10)+ volume3_10 -1.00 to -0.45 (1)
12873.25 close-low 0.00 to 0.00 (1)+ open_moment -57.33 to -3.19 (1)
12684.64 recent_price 0.52 to 7.00 (1)+ vslice97 -2.32 to -0.56 (1)
12657.92 close-low 0.00 to 0.00 (1)+ vkurt 3.23 to 18.71 (10)
12567.30 close-low 0.00 to 0.00 (1)+ gain4 2.80 to 94.81 (10)
12541.89 close-low 0.00 to 0.00 (1)+ resist2 -0.09 to -0.03 (3)
12510.65 close-low 0.00 to 0.00 (1)+ resist1 -0.01 to 0.02 (4)
12489.52 high_moment -1.20 to -0.07 (1)+ vave -1.13 to -0.29 (5)
Losing Groups
-12936.85 recent_price 0.52 to 7.00 (1)+ high-close 0.00 to 0.12 (2)
-12330.92 close-low 3.89 to 67.65 (10)+ vstdev 4.80 to 10.46 (1)
-12271.21 high-close 0.00 to 0.12 (2)+ afterhours_sta -160.00 to -1.48 (1)
-12138.44 close-low 3.89 to 67.65 (10)+ volume3_10 -1.00 to -0.45 (1)
-11906.55 high-close 0.00 to 0.12 (2)+ gain2 2.81 to 92.91 (10)
-11453.00 slice3 -16.82 to -1.37 (1)+ ptotal 2.17 to 29.94 (10)
-10837.54 high-close 0.00 to 0.12 (2)+ prcvd_risk 3.19 to 223.10 (10)
-10543.04 high-close 0.00 to 0.00 (1)+ open_moment -57.33 to -3.19 (1)
-10423.89 recent_price 0.52 to 7.00 (1)+ high-close 0.00 to 0.00 (1)
-10307.69 close-low 3.89 to 67.65 (10)+ prd_lastyear -0.38 to 0.00 (5)
-10293.51 close-low 2.55 to 3.89 (9)+ gain2 -0.35 to 0.00 (5)
-10246.04 high-close 0.00 to 0.00 (1)+ prcvd_risk 3.19 to 223.10 (10)
-10226.30 high-close 0.00 to 0.12 (2)+ vtotal 2.86 to 4.76 (8)
-10210.75 close-low 3.89 to 67.65 (10)+ stdev 0.01 to 0.01 (6)
-10058.21 high-close 0.00 to 0.00 (1)+ 3monthgain -0.69 to 3.00 (5)
-9932.18 high_moment 0.07 to 0.98 (10)+ resist2 0.16 to 0.26 (8)
-9683.55 high-close 0.00 to 0.00 (1)+ 1monthgain 3.14 to 5.60 (7)
-9489.20 close-low 3.89 to 67.65 (10)+ volume10_60 -0.99 to -0.43 (1)
-9474.95 high-close 0.00 to 0.12 (2)+ open_moment 3.04 to 32.88 (10)
-9466.64 leadership 1.80 to 24.30 (10)+ high-close 0.00 to 0.00 (1)
-9406.34 high-close 0.00 to 0.12 (2)+ recent_std 0.03 to 0.44 (10)
-9399.68 high-close 0.00 to 0.12 (2)+ prd_3yrs 1.04 to 1.48 (10)
-9378.17 close-low 3.89 to 67.65 (10)+ mov_ave20 0.03 to 0.04 (8)
-9366.73 high-close 0.00 to 0.00 (1)+ break_ave -0.43 to 2.10 (5)
-9332.30 prd_lastyear -0.38 to 0.00 (5)+ move_ave5 0.03 to 0.53 (10)
-9269.26 high-close 0.00 to 0.00 (1)+ open-yclose -39.30 to -1.17 (1)
-9258.21 close-low 3.89 to 67.65 (10)+ slice3 0.24 to 0.51 (7)
-9250.90 gain1 2.81 to 62.86 (10)+ volume10_60 -0.99 to -0.43 (1)
-9195.75 recent_price 0.52 to 7.00 (1)+ vslice97 0.57 to 2.01 (10)
-9179.13 close-low 2.55 to 3.89 (9)+ volume1_3 -1.00 to -0.54 (1)
Date(ymd): 840626
Average Gain: 1649.49
Group Stdev: 2198.54
Market Focus: 1.5+1.5
(0.00000, 0.00000)
Market Focus5: 0.0+0.2

one day from close to close

Top Gaining Groups
12576.91 close-low 0.00 to 0.00 (1)
10556.82 high-close 7.76 to 9.83 (99)
10104.06 high_moment -1.20 to -0.20 (1)
9815.43 gain1 -7.69 to -6.04 (2)
9211.17 close-low 0.00 to 0.00 (2)
9162.31 momentum -54.23 to -46.60 (3)
9056.93 pair_dif -10.00 to -5.00 (1)
8904.65 close-low 0.00 to 0.00 (9)
8854.51 high_moment -0.08 to -0.07 (9)
8794.70 big_pslice 2190.41 to 9504.58 (100)
8720.15 pair_dif -4.26 to -3.83 (3)
8465.91 gain2 2.34 to 2.49 (88)
8433.58 recent_price 15.43 to 15.85 (33)
8212.25 leadership 1.60 to 1.80 (90)
8175.19 ptotal -1.52 to -1.46 (20)
8122.40 close-low 0.00 to 0.00 (4)
8081.14 open-yclose 1.03 to 1.13 (90)
8055.83 move_ave5 -0.05 to -0.04 (5)
8040.62 high_moment -0.09 to -0.08 (7)
8003.67 high-close 1.78 to 1.84 (72)
7906.25 3monthgain -5.26 to -4.76 (30)
7847.71 prd_max 0.09 to 0.10 (94)
7743.86 close-low 0.00 to 0.00 (7)
7659.42 close-low 2.22 to 2.29 (77)
7638.29 open-yclose 0.00 to 0.00 (53)
7624.30 open_moment 0.67 to 0.72 (67)
7568.02 close-low 0.00 to 0.00 (11)
7565.41 vave -1.32 to -1.23 (39)
7542.51 gain2 0.71 to 0.77 (68)
7536.07 vslice3 -2.12 to -0.77 (1)
Losing Groups
-8945.45 ptotal 5.12 to 29.94 (100)
-8339.44 high_moment 0.19 to 0.98 (100)
-6480.05 high_moment 0.11 to 0.13 (97)
-6141.35 close-low 10.33 to 67.65 (100)
-6019.27 stdev 0.01 to 0.01 (42)
-5910.25 high-close 0.00 to 0.00 (11)
-5842.49 high-close 0.00 to 0.00 (4)
-5389.13 momentum 95.99 to 553.60 (100)
-5313.38 volume10_60 -0.21 to -0.20 (32)
-5295.10 high-close 0.00 to 0.00 (6)
-5145.34 afterhours_sta -10.13 to -6.08 (2)
-5096.39 close-low 2.75 to 2.86 (83)
-5093.35 high-close 0.00 to 0.00 (18)
-5052.84 high-close 0.00 to 0.00 (19)
-4749.20 high-close 0.00 to 0.00 (9)
-4736.51 high-close 0.00 to 0.00 (2)
-4726.96 high-close 0.00 to 0.00 (15)
-4662.37 slice97 -2.82 to -2.56 (4)
-4619.50 pair_dif 4.33 to 5.00 (99)
-4602.41 pair_dif 5.00 to 10.00 (100)
-4564.84 vstock_ind -0.07 to 0.05 (50)
-4440.10 recent_std 0.02 to 0.02 (70)
-4383.07 prd_max 0.03 to 0.03 (74)
-4380.17 open-yclose -0.56 to -0.53 (22)
-4344.52 vslice97 0.09 to 0.10 (61)
-4328.59 gain2 8.77 to 92.91 (100)
-4297.23 high-close 0.00 to 0.00 (12)
-4295.95 resist3 0.04 to 0.04 (49)
-4156.09 big_vslice 1599.35 to 2146.51 (84)
-4120.83 stock_ind 13.75 to 31027.12 (100)
Date(ymd): 840626
Average Gain: 1650.41
Group Stdev: 1288.45
Market Focus: 2.7+2.9
(0.00000, 0.00000)
Market Focus5: 1.1+1.4

one day from close to close

Top Gaining Groups
8768.28 close-low 0.00 to 0.00 (1)
7852.12 high-close 5.82 to 62.11 (25)
7354.62 close-low 0.00 to 0.00 (3)
6727.92 close-low 0.00 to 0.00 (2)
6587.25 high_moment -1.20 to -0.11 (1)
6309.67 pair_dif -10.00 to -3.49 (1)
5887.67 vslice97 -2.32 to -0.76 (1)
5807.07 gain1 -35.14 to -4.39 (1)
5521.34 stdev 0.01 to 0.01 (3)
5201.48 3monthgain -5.73 to -3.88 (8)
5183.61 close-low 0.00 to 0.00 (4)
4965.10 afterhours_sta 0.29 to 0.41 (20)
4872.44 vslice3 -2.12 to -0.55 (1)
4778.13 high-close 2.81 to 3.34 (22)
4762.05 big_vslice -3931.96 to -1691.55 (5)
4667.82 high-close 4.17 to 5.82 (24)
4665.81 pair_dif -3.49 to -2.65 (2)
4664.86 volume10_60 0.46 to 0.61 (23)
4598.03 prd_max 0.08 to 0.12 (24)
4494.95 move_ave5 -0.05 to -0.03 (2)
4491.34 high_moment -0.08 to -0.06 (3)
4472.52 momentum -100.00 to -41.68 (1)
4466.70 open_moment 1.29 to 1.63 (20)
4465.45 slice3 1.54 to 2.02 (24)
4387.79 volume3_10 0.47 to 0.60 (23)
4376.83 stdev 0.01 to 0.01 (2)
4371.50 momentum -30.13 to -23.68 (3)
4361.38 high-close 0.12 to 0.28 (6)
4281.35 volume10_60 0.91 to 4.27 (25)
4278.79 pair_dif -2.65 to -2.14 (3)
Losing Groups
-5350.67 high_moment 0.11 to 0.98 (25)
-5053.69 high-close 0.00 to 0.12 (5)
-4171.05 high-close 0.00 to 0.00 (1)
-3452.01 high-close 0.00 to 0.00 (3)
-3364.51 ptotal 3.28 to 29.94 (25)
-2893.74 high-close 0.00 to 0.00 (4)
-2603.73 pair_dif 3.60 to 10.00 (25)
-2507.51 close-low 6.15 to 67.65 (25)
-2342.12 open-yclose -0.60 to -0.46 (6)
-2191.37 close-low 4.41 to 6.15 (24)
-2124.74 move_ave5 0.05 to 0.53 (25)
-2065.46 gain2 4.81 to 92.91 (25)
-1496.54 high-close 0.00 to 0.00 (2)
-1491.82 afterhours_sta -160.00 to -3.42 (1)
-1450.13 pave 9.53 to 11.48 (23)
-1444.75 big_vslice 705.61 to 2146.51 (21)
-1381.44 momentum 49.95 to 553.60 (25)
-1288.40 high_moment 0.05 to 0.06 (22)
-1274.72 stock_ind 1.12 to 1.68 (23)
-1200.25 1monthgain 5.05 to 6.15 (18)
-1121.32 slice97 -1.04 to -0.86 (6)
-1113.88 vkurt 2.80 to 2.89 (20)
-1088.81 1monthgain 16.53 to 23.53 (24)
-1026.00 close-low 1.74 to 1.96 (18)
-968.82 recent_price 71.12 to 630.00 (25)
-910.29 industry 60.80 to 62.03 (13)
-856.34 open-yclose 0.00 to 0.19 (17)
-850.56 high_moment 0.08 to 0.11 (24)
-823.88 prd_max 0.00 to 0.00 (12)
-811.68 vtotal 3.94 to 4.76 (20)
Date(ymd): 840626
Average Gain: 1649.82
Group Stdev: 961.27
Market Focus: 3.8+3.4
(0.00000, 0.00000)
Market Focus5: 1.7+0.7

one day from close to close

Top Gaining Groups
7253.89 close-low 0.00 to 0.00 (1)
5443.34 close-low 0.00 to 0.24 (2)
5408.67 high-close 3.72 to 62.11 (10)
5369.87 pair_dif -10.00 to -2.38 (1)
5195.71 high_moment -1.20 to -0.07 (1)
5001.81 vslice97 -2.32 to -0.56 (1)
4630.35 gain1 -35.14 to -2.63 (1)
4212.08 move_ave5 -0.35 to -0.03 (1)
4185.47 vslice3 -2.12 to -0.36 (1)
4039.49 momentum -100.00 to -26.56 (1)
3863.10 high-close 2.40 to 3.72 (9)
3729.46 ptotal -2.33 to -1.46 (2)
3675.82 vslice47 -1.08 to -0.32 (1)
3634.79 stdev 0.01 to 0.01 (2)
3618.56 volume10_60 0.53 to 4.27 (10)
3609.98 stdev 0.00 to 0.01 (1)
3599.92 high_moment -0.07 to -0.04 (2)
3511.01 resist1 -0.07 to -0.01 (3)
3462.52 high-close 1.73 to 2.40 (8)
3461.45 slice97 1.69 to 25.06 (10)
3318.91 high_moment 0.01 to 0.03 (7)
3267.41 stock_ind 0.13 to 0.34 (7)
3204.85 slice3 1.36 to 15.51 (10)
3204.43 vtotal -38.31 to -7.52 (1)
3184.89 big_vslice -1691.55 to -242.58 (3)
3153.55 pair_dif20 1.75 to 5.52 (6)
3108.15 vstock_ind 4.18 to 9.69 (9)
3096.90 afterhours_sta 1.16 to 122.53 (10)
3096.62 mov_ave20 -0.54 to -0.06 (1)
3085.98 open_moment 0.89 to 1.63 (8)
Losing Groups
-3416.91 high-close 0.00 to 0.12 (2)
-3399.04 high-close 0.00 to 0.00 (1)
-2617.32 high_moment 0.07 to 0.98 (10)
-2187.54 close-low 3.89 to 67.65 (10)
-865.76 open-yclose -0.60 to -0.29 (3)
-661.08 stock_ind 1.34 to 31027.12 (10)
-366.82 pair_dif 2.44 to 10.00 (10)
-142.19 close-low 0.50 to 0.75 (4)
-125.08 1monthgain 14.43 to 240.15 (10)
-121.12 open_moment -1.75 to -0.99 (3)
-121.05 vslice3 0.22 to 0.30 (9)
-105.72 ptotal 2.17 to 29.94 (10)
-64.36 move_ave5 0.03 to 0.53 (10)
-31.72 pskew -242.51 to -22.61 (1)
-25.13 resist1 0.29 to 0.49 (9)
12.14 move_ave5 0.00 to 0.00 (6)
33.83 vtotal 2.86 to 4.76 (8)
40.98 big_vslice 705.61 to 10458.29 (9)
57.29 prd_max -0.01 to 0.00 (5)
59.81 slice97 -1.71 to -1.04 (2)
107.50 gain1 2.81 to 62.86 (10)
125.63 gain2 2.81 to 92.91 (10)
158.24 close-low 1.84 to 2.55 (8)
159.32 high_moment 0.04 to 0.07 (9)
172.26 resist3 0.25 to 0.42 (9)
208.41 momentum 28.78 to 553.60 (10)
221.82 big_vslice 125.65 to 705.61 (8)
229.73 mov_ave20 0.03 to 0.04 (8)
267.86 vslice47 -0.08 to -0.01 (6)
306.01 prd_3yrs 0.92 to 0.97 (4)
Date(ymd): 840626
Average Gain: 1646.99
Group Stdev: 782.51
Market Focus: 4.3+5.1
(0.00000, 0.00000)
Market Focus5: 0.7+0.2

one day from close to close

Top Gaining Groups
6331.30 close-low 0.00 to 0.24 (1)
4627.28 high-close 2.40 to 62.11 (5)
4381.92 high_moment -1.20 to -0.04 (1)
3588.30 pair_dif -10.00 to -1.43 (1)
3522.83 stdev 0.00 to 0.01 (1)
3425.19 vslice97 -2.32 to -0.38 (1)
3361.28 volume10_60 0.28 to 4.27 (5)
3230.03 vslice3 -2.12 to -0.19 (1)
3123.27 momentum -100.00 to -15.80 (1)
3121.27 slice97 1.04 to 25.06 (5)
3024.35 move_ave5 -0.35 to -0.02 (1)
3014.42 vslice47 -1.08 to -0.24 (1)
2938.02 gain1 -35.14 to -1.49 (1)
2711.79 slice3 0.85 to 15.52 (5)
2696.52 big_pslice 24.21 to 9504.58 (5)
2693.97 volume3_10 0.30 to 2.24 (5)
2693.14 vtotal -38.31 to -4.92 (1)
2684.63 break_ave -7.17 to -0.43 (2)
2635.78 open_moment 0.37 to 1.63 (4)
2608.21 stock_ind 0.13 to 0.64 (4)
2604.57 recent_std 0.00 to 0.01 (1)
2595.04 afterhours_sta 0.41 to 122.53 (5)
2590.61 volume1_3 0.34 to 1.95 (5)
2590.06 open-yclose 0.57 to 30.77 (5)
2574.04 high-close 1.30 to 2.40 (4)
2565.34 3monthgain -10.14 to -0.69 (2)
2558.23 mov_ave20 -0.54 to -0.04 (1)
2553.15 slice47 0.24 to 0.84 (4)
2549.13 vstock_ind 4.18 to 42249.10 (5)
2540.77 big_vslice -140347.61 to -1691.55 (1)
Losing Groups
-3473.01 high-close 0.00 to 0.12 (1)
-1236.91 high_moment 0.04 to 0.98 (5)
-450.11 close-low 2.55 to 67.65 (5)
170.90 pair_dif 1.47 to 10.00 (5)
312.30 open-yclose -0.59 to 0.00 (2)
380.58 pave 6.88 to 56.31 (5)
425.59 close-low 0.24 to 0.75 (2)
513.44 momentum -15.80 to -4.71 (2)
518.74 big_vslice 705.61 to 208644.02 (5)
537.50 slice97 -22.09 to -1.04 (1)
554.77 slice47 -0.24 to 0.24 (3)
571.29 gain1 -1.49 to -0.34 (2)
599.17 big_pslice -16867.89 to -26.77 (1)
635.38 close-low 1.38 to 2.55 (4)
674.12 volume10_60 -0.99 to -0.31 (1)
722.94 afterhours_sta -160.00 to -0.68 (1)
739.84 open_moment -1.75 to -0.45 (2)
747.82 vstdev 12.19 to 15.01 (2)
771.28 vkurt 2.54 to 2.89 (4)
777.65 stdev 0.01 to 0.02 (4)
783.83 corr 0.72 to 0.98 (5)
787.83 vslice47 0.20 to 1.89 (5)
789.65 mov_ave100 0.12 to 2.40 (5)
792.57 move_ave5 0.02 to 0.53 (5)
828.15 break_ave 11.06 to 255.18 (5)
829.20 markcap_est 70607.35 to 33209810.00 (5)
830.83 vslice97 0.36 to 2.01 (5)
842.27 vtotal 1.29 to 4.76 (4)
846.91 mov_ave20 0.02 to 0.04 (4)
854.99 gain3 1.56 to 101.33 (5)

 

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