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Below we offer tables that show the best predictors of the afterhours behavior of stocks from Feb of 2001 to June of 2005.

As always (or almost always), the gains and losses in the tables (in red) are annualized figures.  Divide by 250 (the number of trading days in a year) to get an actual per day estimate of gains gotten via these strategies.

One might ask why anyone would be interested in the tables below.  After all, bid/ask spreads tend to be high in the afterhours, making short-term trading difficult.  Most day-traders avoid the afterhours.  One potential use of the information below would be in determining whether you're better off selling your position at the day's close, or waiting until the next open.

The prime observation:  a large high-close differential is a strong predictor of gains in the afterhours session.  A low such differential is also a strong predictor of losses in the afterhours session.  Note, however, that the best of gains (and biggest losses) in the tables below are considerably smaller than those found in the regular trading hours. 

There are some other interesting trends:  

 *losses of many forms...from the last to current close, over the last month, over the last three months...predict gains in the afterhours. 

*our "afterhours_stat", which indicates a stock's tendency to gain in the afterhours, is useful:  a high value predicts further gains, a low value predicts losses.

Date(ymd): 010223
Average Gain: -0.32
Group Stdev: 32.36
Market Focus: 4.3+4.5
(0.00000, 0.00000)
Market Focus5: 3.4+2.5

afterhours trading

Top Gaining Groups
292.16 close-low 0.00 to 0.15 (1)+ 1monthgain -71.07 to -13.99 (1)
270.04 close-low 0.00 to 0.15 (1)+ yeargain -97.63 to -43.01 (1)
266.69 close-low 0.00 to 0.15 (1)+ break_ave -73.37 to -16.87 (1)
262.09 close-low 0.00 to 0.15 (1)+ afterhours_sta 2.01 to 152.95 (10)
261.17 close-low 0.00 to 0.15 (1)+ 3monthgain -78.52 to -22.55 (1)
258.89 close-low 0.00 to 0.15 (1)+ prcvd_risk 5.12 to 302.09 (10)
252.39 close-low 0.00 to 0.15 (1)+ mov_ave100 -0.73 to -0.18 (1)
250.85 close-low 0.00 to 0.15 (1)+ resist1 -0.88 to -0.20 (1)
236.69 close-low 0.00 to 0.15 (1)+ momentum -99.79 to -30.25 (1)
230.21 close-low 0.00 to 0.15 (1)+ mov_ave20 -0.57 to -0.08 (1)
230.00 close-low 0.00 to 0.15 (1)+ pair_dif -10.00 to -2.26 (1)
225.52 close-low 0.00 to 0.15 (1)+ gain4 3.15 to 36.59 (10)
223.00 recent_price 0.54 to 5.53 (1)+ close-low 0.00 to 0.15 (1)
220.01 close-low 0.00 to 0.15 (1)+ resist2 -0.87 to -0.24 (1)
219.23 close-low 0.00 to 0.15 (1)+ gain3 -40.00 to -3.01 (1)
218.93 1monthgain -71.07 to -13.99 (1)+ big_vslice 28224.20 to 53083.46 (8)
218.51 high-close 4.39 to 64.25 (10)+ pkurt 2.93 to 2.96 (6)
215.69 high-close 4.39 to 64.25 (10)+ ptotal -13.96 to -2.58 (1)
215.58 corr 0.72 to 0.74 (6)+ afterhours_sta 2.01 to 152.95 (10)
212.94 high-close 4.39 to 64.25 (10)+ vskew 0.45 to 7.77 (6)
209.16 high-close 4.39 to 64.25 (10)+ vstdev 12.09 to 13.49 (3)
208.24 high-close 4.39 to 64.25 (10)+ slice97 0.42 to 0.68 (8)
207.34 pair_dif -10.00 to -2.26 (1)+ big_vslice 28224.20 to 53083.46 (8)
206.77 high-close 4.39 to 64.25 (10)+ slice47 0.35 to 0.54 (8)
205.07 3monthgain -78.52 to -22.55 (1)+ big_vslice 28224.20 to 53083.46 (8)
203.73 high-close 4.39 to 64.25 (10)+ stock_ind 0.01 to 0.15 (6)
201.39 1monthgain -71.07 to -13.99 (1)+ markcap_est 43.42 to 97.38 (2)
196.52 high-close 4.39 to 64.25 (10)+ pskew 25.54 to 76.92 (10)
196.50 markcap_est 43.42 to 97.38 (2)+ move_ave5 -0.45 to -0.03 (1)
196.16 high-close 4.39 to 64.25 (10)+ corr 0.72 to 0.74 (6)
Losing Groups
-286.17 high-close 0.00 to 0.11 (1)+ afterhours_sta -123.59 to -1.65 (1)
-282.82 high-close 0.00 to 0.11 (1)+ open_moment -52.63 to -3.31 (1)
-262.72 high-close 0.00 to 0.11 (1)+ open-yclose -50.17 to -1.18 (1)
-223.13 gain3 -40.00 to -3.01 (1)+ high_moment 0.08 to 0.62 (10)
-221.38 recent_price 0.54 to 5.53 (1)+ high-close 0.00 to 0.11 (1)
-215.51 close-low 4.54 to 58.40 (10)+ volume10_60 -1.00 to -0.40 (1)
-215.51 high-close 0.00 to 0.11 (1)+ prcvd_risk 1.45 to 2.44 (8)
-206.26 high-close 0.00 to 0.11 (1)+ industry 72.72 to 77.07 (7)
-204.40 close-low 4.54 to 58.40 (10)+ prd_max -0.02 to 0.00 (5)
-202.50 high-close 0.00 to 0.11 (1)+ prcvd_risk 5.12 to 302.09 (10)
-200.46 high-close 0.00 to 0.11 (1)+ yeargain -43.01 to -23.66 (2)
-196.82 high_moment 0.08 to 0.62 (10)+ volume3_10 -0.19 to -0.11 (4)
-196.67 close-open 3.05 to 49.66 (10)+ volume10_60 -1.00 to -0.40 (1)
-189.74 close-low 4.54 to 58.40 (10)+ stock_ind 0.32 to 0.52 (8)
-188.98 high-close 0.00 to 0.11 (1)+ prd_3yrs 1.07 to 1.55 (10)
-188.21 close-open 3.05 to 49.66 (10)+ vstock_ind -1.71 to -0.30 (5)
-187.77 high-close 0.35 to 0.60 (3)+ afterhours_sta -123.59 to -1.65 (1)
-185.55 recent_price 5.53 to 9.25 (2)+ high-close 0.00 to 0.11 (1)
-184.80 close-low 4.54 to 58.40 (10)+ inertia 66.00 to 69.00 (4)
-181.66 pair_dif 0.38 to 0.84 (7)+ afterhours_sta -123.59 to -1.65 (1)
-175.55 afterhours_sta -123.59 to -1.65 (1)+ resist1 0.12 to 0.19 (7)
-174.14 prd_3yrs 1.04 to 1.07 (9)+ afterhours_sta -123.59 to -1.65 (1)
-173.58 close-low 4.54 to 58.40 (10)+ corr 0.74 to 0.77 (7)
-173.28 high_moment 0.08 to 0.62 (10)+ slice97 0.20 to 0.42 (7)
-172.53 high-close 0.00 to 0.11 (1)+ mov_ave20 0.08 to 0.85 (10)
-172.50 high-close 0.00 to 0.11 (1)+ gain3 3.18 to 74.13 (10)
-172.06 high-close 0.00 to 0.11 (1)+ prcvd_risk 2.44 to 5.12 (9)
-171.08 high_moment 0.08 to 0.62 (10)+ resist2 -0.24 to -0.11 (2)
-170.56 high-close 0.00 to 0.11 (1)+ recent_std 0.02 to 0.02 (7)
-170.05 high_moment 0.08 to 0.62 (10)+ vstdev 4.44 to 10.32 (1)
Date(ymd): 010223
Average Gain: 0.66
Group Stdev: 32.12
Market Focus: 8.3+2.1
(0.00000, 0.00000)
Market Focus5: 3.2+0.5

afterhours trading

Top Gaining Groups
378.48 high-close 10.94 to 64.25 (100)
252.12 break_ave -73.37 to -43.20 (1)
249.25 gain1 -47.95 to -8.62 (1)
237.18 mov_ave100 -0.73 to -0.45 (1)
216.92 prcvd_risk 30.07 to 302.09 (100)
202.30 pair_dif -10.00 to -4.80 (1)
201.68 close-open -35.00 to -8.35 (1)
195.58 1monthgain -71.07 to -35.01 (1)
189.32 afterhours_sta 11.70 to 20.71 (99)
175.91 afterhours_sta 20.71 to 152.95 (100)
173.51 3monthgain -51.65 to -43.97 (2)
164.58 yeargain -97.63 to -79.01 (1)
158.17 high_moment -0.23 to -0.17 (2)
148.71 gain2 9.57 to 85.71 (100)
146.43 open_moment 11.05 to 33.43 (100)
146.14 gain1 -5.66 to -4.90 (4)
145.54 resist2 -0.87 to -0.62 (1)
137.44 high-close 6.05 to 6.62 (96)
137.06 stdev 0.08 to 0.20 (100)
132.61 stdev 0.07 to 0.08 (99)
131.99 open-yclose -50.17 to -4.50 (1)
129.31 close-low 0.00 to 0.00 (1)
127.96 momentum -99.79 to -72.91 (1)
127.50 close-low 0.00 to 0.02 (6)
127.18 3monthgain -78.52 to -51.65 (1)
127.09 close-low 0.00 to 0.00 (2)
123.74 move_ave5 -0.10 to -0.08 (2)
122.83 recent_price 0.54 to 1.60 (1)
120.73 mov_ave20 -0.57 to -0.22 (1)
120.31 high_moment -1.08 to -0.23 (1)
Losing Groups
-175.22 afterhours_sta -123.59 to -12.12 (1)
-129.21 high-close 0.00 to 0.00 (2)
-128.67 afterhours_sta -7.42 to -5.41 (3)
-124.99 close-low 6.23 to 6.78 (96)
-124.25 high-close 0.00 to 0.00 (4)
-124.09 gain1 4.77 to 5.35 (96)
-122.91 high-close 0.00 to 0.00 (1)
-118.75 high-close 0.00 to 0.00 (5)
-117.03 close-low 6.78 to 7.56 (97)
-112.70 afterhours_sta -12.12 to -7.42 (2)
-111.52 volume1_3 0.00 to 0.00 (55)
-110.26 vslice3 0.11 to 0.11 (62)
-107.10 high_moment 0.10 to 0.11 (95)
-106.31 close-open 5.04 to 5.71 (97)
-105.36 high-close 0.00 to 0.00 (3)
-103.82 gain2 0.00 to 0.00 (49)
-102.86 mov_ave100 -0.16 to -0.15 (12)
-102.34 open_moment -4.21 to -3.85 (8)
-102.22 close-open 6.69 to 8.54 (99)
-99.49 prcvd_risk 1.76 to 1.85 (75)
-98.57 high_moment 0.14 to 0.16 (98)
-97.36 high_moment 0.12 to 0.14 (97)
-96.92 afterhours_sta -4.19 to -3.40 (5)
-96.68 afterhours_sta -5.41 to -4.19 (4)
-95.93 close-low 7.56 to 8.77 (98)
-94.50 slice47 0.06 to 0.07 (53)
-94.29 prd_max 0.08 to 0.09 (85)
-94.25 high-close 0.07 to 0.11 (10)
-93.59 resist1 -0.05 to -0.04 (25)
-93.32 high_moment 0.11 to 0.12 (96)
Date(ymd): 010223
Average Gain: 0.64
Group Stdev: 20.93
Market Focus: 5.1+3.9
(0.00000, 0.00000)
Market Focus5: 2.9+1.5

afterhours trading

Top Gaining Groups
149.59 high-close 6.62 to 64.25 (25)
146.27 afterhours_sta 5.80 to 152.95 (25)
123.16 gain1 -47.95 to -4.90 (1)
105.07 close-open -35.00 to -4.75 (1)
103.68 prcvd_risk 11.27 to 302.09 (25)
100.49 close-low 0.00 to 0.00 (1)
98.44 high_moment -1.08 to -0.13 (1)
95.11 1monthgain -71.07 to -22.86 (1)
91.84 momentum -99.79 to -46.76 (1)
90.65 mov_ave100 -0.73 to -0.29 (1)
88.75 mov_ave20 -0.57 to -0.13 (1)
87.67 open_moment 6.37 to 33.43 (25)
84.41 stdev 0.05 to 0.20 (25)
82.45 pair_dif -10.00 to -3.41 (1)
81.61 move_ave5 -0.45 to -0.06 (1)
81.08 3monthgain -78.52 to -35.73 (1)
80.38 break_ave -73.37 to -28.04 (1)
75.14 close-low 0.00 to 0.09 (2)
69.12 high-close 4.00 to 4.90 (23)
68.73 yeargain -97.63 to -62.97 (1)
66.18 afterhours_sta 2.71 to 5.80 (24)
63.61 move_ave5 -0.06 to -0.04 (2)
63.27 resist1 -0.88 to -0.36 (1)
61.29 high-close 4.90 to 6.62 (24)
60.01 pair_dif20 -43.99 to -30.01 (2)
58.38 close-open -4.75 to -3.33 (2)
57.55 industry 61.07 to 61.74 (10)
56.95 recent_std 0.05 to 0.59 (25)
56.70 resist3 -0.91 to -0.43 (1)
54.24 open-yclose 2.35 to 61.85 (25)
Losing Groups
-128.27 afterhours_sta -123.59 to -4.19 (1)
-117.54 high-close 0.00 to 0.00 (1)
-82.76 close-open 5.04 to 49.66 (25)
-81.70 high-close 0.00 to 0.04 (2)
-78.88 high_moment 0.12 to 0.62 (25)
-75.63 high_moment 0.09 to 0.12 (24)
-73.05 close-low 6.79 to 58.40 (25)
-70.39 high-close 0.04 to 0.16 (3)
-63.79 close-low 5.07 to 6.79 (24)
-54.56 open_moment -5.99 to -3.85 (2)
-54.21 afterhours_sta -4.19 to -2.12 (2)
-52.92 gain1 3.66 to 5.35 (24)
-47.53 close-low 4.13 to 5.07 (23)
-46.64 prcvd_risk 1.60 to 1.94 (19)
-43.59 close-low 2.67 to 3.04 (20)
-42.98 gain2 0.00 to 0.10 (13)
-40.09 gain1 -0.05 to 0.06 (13)
-39.61 big_vslice -10113.45 to -3508.90 (13)
-39.55 open_moment -2.84 to -2.17 (4)
-37.59 stock_ind 0.35 to 0.43 (19)
-37.55 momentum 17.26 to 21.71 (21)
-37.51 vstock_ind -0.56 to -0.05 (13)
-36.63 slice47 -6.06 to -1.14 (1)
-36.23 mov_ave20 0.04 to 0.05 (20)
-35.92 recent_price 9.25 to 10.81 (6)
-35.77 momentum 27.85 to 37.55 (23)
-35.11 high-close 0.25 to 0.35 (5)
-34.97 vstock_ind -1.71 to -1.12 (11)
-34.94 1monthgain 18.33 to 26.35 (24)
-34.03 close-open 1.67 to 2.08 (21)
Date(ymd): 010223
Average Gain: 0.63
Group Stdev: 16.94
Market Focus: 4.8+4.1
(0.00000, 0.00000)
Market Focus5: 2.6+1.5

afterhours trading

Top Gaining Groups
103.98 high-close 4.39 to 64.25 (10)
91.87 afterhours_sta 2.01 to 152.95 (10)
82.06 close-low 0.00 to 0.15 (1)
67.44 close-open -35.00 to -2.89 (1)
66.45 high_moment -1.08 to -0.07 (1)
62.40 gain1 -47.95 to -2.97 (1)
62.04 move_ave5 -0.45 to -0.03 (1)
53.20 momentum -99.79 to -30.25 (1)
52.32 mov_ave20 -0.57 to -0.08 (1)
49.40 1monthgain -71.07 to -13.99 (1)
49.08 open_moment 3.52 to 33.43 (10)
48.28 prcvd_risk 5.12 to 302.09 (10)
48.16 3monthgain -78.52 to -22.55 (1)
45.80 mov_ave100 -0.73 to -0.18 (1)
43.84 pair_dif -10.00 to -2.26 (1)
42.64 recent_price 0.54 to 5.53 (1)
41.65 stdev 0.03 to 0.20 (10)
40.73 break_ave -73.37 to -16.87 (1)
39.29 high-close 2.87 to 4.39 (9)
39.02 pair_dif20 -548.81 to -25.93 (1)
38.74 resist2 -0.87 to -0.24 (1)
37.43 yeargain -97.63 to -43.01 (1)
37.36 gain1 -2.97 to -1.68 (2)
36.13 high_moment -0.07 to -0.04 (2)
33.63 close-low 0.15 to 0.41 (2)
32.86 resist1 -0.88 to -0.20 (1)
30.38 recent_std 0.04 to 0.59 (10)
28.71 close-open -2.89 to -1.63 (2)
28.39 open-yclose 1.22 to 61.85 (10)
28.39 resist3 -0.91 to -0.25 (1)
Losing Groups
-93.47 high-close 0.00 to 0.11 (1)
-79.65 afterhours_sta -123.59 to -1.65 (1)
-69.85 high_moment 0.08 to 0.62 (10)
-64.02 close-low 4.55 to 58.40 (10)
-49.62 close-open 3.05 to 49.66 (10)
-39.09 high-close 0.11 to 0.35 (2)
-34.91 close-low 2.24 to 3.04 (8)
-31.31 recent_price 9.25 to 13.11 (3)
-31.10 close-low 3.04 to 4.55 (9)
-30.07 gain1 3.17 to 77.78 (10)
-29.01 close-open 1.67 to 3.05 (9)
-27.19 recent_price 20.60 to 24.80 (6)
-25.68 gain1 1.73 to 3.17 (9)
-25.49 close-open 0.94 to 1.67 (8)
-25.05 high-close 0.35 to 0.60 (3)
-24.97 vstock_ind -1.71 to -0.30 (5)
-24.83 vslice3 0.20 to 0.26 (9)
-24.44 mov_ave20 0.02 to 0.03 (7)
-23.94 prcvd_risk 1.45 to 2.44 (8)
-23.23 afterhours_sta -1.65 to -0.70 (2)
-23.09 slice47 -6.06 to -0.79 (1)
-23.01 high_moment 0.05 to 0.08 (9)
-22.90 mov_ave20 0.03 to 0.05 (8)
-22.63 1monthgain 16.21 to 259.02 (10)
-22.26 pair_dif -0.29 to 0.00 (5)
-22.20 momentum 17.26 to 32.07 (9)
-21.77 open_moment -3.31 to -1.71 (2)
-21.04 big_vslice 86395.12 to 231025.25 (10)
-19.98 ptotal -2.58 to -1.58 (2)
-19.69 gain1 0.97 to 1.73 (8)
Date(ymd): 010223
Average Gain: 0.60
Group Stdev: 14.43
Market Focus: 3.9+3.8
(0.00000, 0.00000)
Market Focus5: 2.4+1.9

afterhours trading

Top Gaining Groups
71.75 high-close 2.87 to 64.25 (5)
58.48 afterhours_sta 0.70 to 152.95 (5)
57.89 close-low 0.00 to 0.41 (1)
51.34 high_moment -1.08 to -0.04 (1)
49.82 gain1 -47.95 to -1.68 (1)
48.17 close-open -35.00 to -1.63 (1)
35.48 mov_ave20 -0.57 to -0.04 (1)
31.97 open_moment 1.84 to 33.43 (5)
31.72 move_ave5 -0.45 to -0.02 (1)
29.25 momentum -99.79 to -17.57 (1)
28.09 pair_dif -10.00 to -1.32 (1)
27.68 recent_price 0.54 to 9.25 (1)
26.10 1monthgain -71.07 to -7.67 (1)
25.35 stdev 0.03 to 0.20 (5)
25.07 prcvd_risk 2.44 to 302.09 (5)
22.64 close-low 0.41 to 0.97 (2)
21.84 pair_dif20 -548.81 to -13.99 (1)
21.79 big_vslice -175019.44 to -47010.48 (1)
21.10 mov_ave100 -0.73 to -0.09 (1)
20.25 resist3 -0.91 to -0.11 (1)
19.76 vslice3 -1.22 to -0.19 (1)
19.48 open-yclose 0.62 to 61.85 (5)
19.45 resist2 -0.87 to -0.10 (1)
18.33 vslice97 -1.72 to -0.36 (1)
17.22 high-close 1.57 to 2.87 (4)
16.45 3monthgain -78.52 to -12.20 (1)
16.30 recent_std 0.03 to 0.59 (5)
15.74 slice47 0.54 to 5.25 (5)
15.56 resist1 -0.88 to -0.08 (1)
15.42 yeargain -97.63 to -23.66 (1)
Losing Groups
-66.36 high-close 0.00 to 0.35 (1)
-51.56 afterhours_sta -123.59 to -0.70 (1)
-47.56 close-low 3.04 to 58.40 (5)
-46.03 high_moment 0.05 to 0.62 (5)
-39.31 close-open 1.67 to 49.66 (5)
-27.80 gain1 1.73 to 77.78 (5)
-22.88 mov_ave20 0.02 to 0.05 (4)
-21.26 close-low 1.69 to 3.04 (4)
-20.73 open_moment -52.63 to -1.71 (1)
-19.03 close-open 0.42 to 1.67 (4)
-17.71 prcvd_risk 0.97 to 2.44 (4)
-16.92 big_vslice 53083.46 to 231025.25 (5)
-16.82 momentum 4.03 to 17.26 (4)
-16.33 mov_ave100 -0.01 to 0.05 (3)
-16.31 vslice3 0.10 to 0.20 (4)
-16.26 high-close 0.35 to 0.87 (2)
-16.05 recent_price 9.25 to 16.77 (2)
-15.71 pair_dif20 5.64 to 15.66 (4)
-15.24 open-yclose -50.17 to -0.60 (1)
-15.15 slice97 -10.16 to -0.68 (1)
-14.99 1monthgain 9.61 to 259.02 (5)
-14.96 move_ave5 0.02 to 0.51 (5)
-14.75 move_ave5 0.01 to 0.02 (4)
-14.69 gain1 0.43 to 1.73 (4)
-14.57 ptotal -13.96 to -1.58 (1)
-14.21 recent_price 16.77 to 24.80 (3)
-14.17 pair_dif 0.38 to 1.43 (4)
-14.11 momentum 17.26 to 598.88 (5)
-13.72 afterhours_sta -0.70 to -0.16 (2)
-13.49 vslice47 0.19 to 1.18 (5)

 

 

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