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

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.

Note that the biggest of gains below are considerably smaller than the biggest of gains you see in our tables of best open to close predictors.  Our own interpretation is that the afterhours and regular trading hours are at odds with each other...the losers in one session tend to gain in the next, and the gainers in one session tend to lose in the next.  The two sessions cancel each other out to a degree.

Looking below, a stock closing near its low is probably the best predictor of gains over the next 24 hours.  A large high-close differential also works well.  A low high-close differential predicts losses. 

Other observations:

*A high "perceived risk" has been a good predictor of gains over the last 4.5 years.  Note, however, that the average stock in our study gained an annualized 6%...as we've pointed out many times, volatile stocks do well in positive markets, and poorly in negative markets.  Had the market fared poorly over this time, we could well have seen a high "perceived risk" as a predictor of losses.  As always, the results in our tables are best viewed by discerning minds.

*Increasing volume does tend to signal gains.

*As we've seen on numerous occasions, a historical tendency to gain during the time period you're interested in seems to be a good predictor of future gains.

Date(ymd): 010223
Average Gain: 6.23
Group Stdev: 52.21
Market Focus: 2.6+0.9
(0.00000, 0.00000)
Market Focus5: 1.8+0.3

one day results from close to close

Top Gaining Groups
413.26 close-low 0.00 to 0.15 (1)+ prcvd_risk 5.12 to 302.09 (10)
385.42 close-low 0.00 to 0.15 (1)+ 3monthgain -78.52 to -22.55 (1)
376.30 close-low 0.00 to 0.15 (1)+ break_ave -73.37 to -16.87 (1)
373.10 close-low 0.00 to 0.15 (1)+ resist1 -0.88 to -0.20 (1)
370.63 vslice3 0.26 to 1.02 (10)+ prcvd_risk 5.12 to 302.09 (10)
369.56 recent_price 0.54 to 5.53 (1)+ close-low 0.00 to 0.15 (1)
369.53 close-low 0.00 to 0.15 (1)+ 1monthgain -71.07 to -13.99 (1)
356.89 close-low 0.00 to 0.15 (1)+ mov_ave100 -0.73 to -0.18 (1)
341.93 recent_price 0.54 to 5.53 (1)+ vslice3 0.26 to 1.02 (10)
341.52 close-low 0.00 to 0.15 (1)+ open_moment -52.63 to -3.31 (1)
337.68 afterhours_sta 2.01 to 152.95 (10)+ inertia 66.00 to 69.00 (4)
333.97 close-low 0.00 to 0.15 (1)+ momentum -99.79 to -30.25 (1)
332.17 close-low 0.00 to 0.15 (1)+ resist3 -0.91 to -0.25 (1)
321.83 gain3 -40.00 to -3.01 (1)+ vslice47 -0.07 to -0.01 (6)
320.25 close-low 0.00 to 0.15 (1)+ gain4 3.15 to 36.59 (10)
312.37 close-low 0.00 to 0.15 (1)+ yeargain -97.63 to -43.01 (1)
310.50 afterhours_sta 2.01 to 152.95 (10)+ vslice3 0.26 to 1.02 (10)
298.67 yeargain -97.63 to -43.01 (1)+ vave -3.59 to -2.28 (3)
296.97 close-low 0.00 to 0.15 (1)+ resist2 -0.87 to -0.24 (1)
289.20 high-close 4.39 to 64.25 (10)+ big_vslice -34093.79 to -21047.98 (4)
285.12 resist1 -0.88 to -0.20 (1)+ volume10_60 0.50 to 4.74 (10)
284.48 markcap_est 0.58 to 43.42 (1)+ big_pslice 708.18 to 1152.63 (8)
283.90 high-close 4.39 to 64.25 (10)+ industry 77.07 to 86.46 (8)
281.41 1monthgain -71.07 to -13.99 (1)+ vslice3 0.26 to 1.02 (10)
279.64 close-low 0.00 to 0.15 (1)+ mov_ave20 -0.57 to -0.08 (1)
277.16 1monthgain -71.07 to -13.99 (1)+ slice3 -0.34 to -0.17 (4)
276.10 big_vslice 86395.12 to 231025.25 (10)+ prcvd_risk 5.12 to 302.09 (10)
275.21 resist1 -0.88 to -0.20 (1)+ pave 4.15 to 6.79 (8)
274.98 high-close 4.39 to 64.25 (10)+ slice3 -0.34 to -0.17 (4)
274.70 high-close 4.39 to 64.25 (10)+ corr 0.72 to 0.74 (6)
Losing Groups
-293.38 pair_dif20 -548.81 to -25.93 (1)+ vslice3 0.10 to 0.15 (7)
-284.44 close-low 4.55 to 58.40 (10)+ volume3_10 -0.99 to -0.40 (1)
-279.91 resist2 -0.87 to -0.24 (1)+ slice97 -0.19 to 0.00 (5)
-262.67 move_ave5 -0.02 to -0.01 (3)+ break_ave -73.37 to -16.87 (1)
-261.29 move_ave5 -0.02 to -0.01 (3)+ mov_ave100 -0.73 to -0.18 (1)
-258.94 pskew -20.96 to -13.14 (2)+ mov_ave20 -0.57 to -0.08 (1)
-248.20 vslice97 -0.54 to -0.36 (2)+ break_ave -73.37 to -16.87 (1)
-248.18 3monthgain -78.52 to -22.55 (1)+ corr_f 0.66 to 0.88 (10)
-246.37 high-close 0.00 to 0.11 (1)+ prd_3yrs 1.07 to 1.55 (10)
-244.89 corr 0.77 to 0.80 (8)+ mov_ave20 0.08 to 0.85 (10)
-244.44 markcap_est 331.05 to 577.04 (5)+ slice3 -5.79 to -0.83 (1)
-242.57 close-low 4.55 to 58.40 (10)+ big_pslice 1152.63 to 1878.26 (9)
-241.33 close-low 0.97 to 1.29 (5)+ mov_ave20 -0.57 to -0.08 (1)
-238.29 resist1 -0.88 to -0.20 (1)+ corr_f 0.66 to 0.88 (10)
-236.87 3monthgain -78.52 to -22.55 (1)+ vslice97 -0.54 to -0.36 (2)
-233.68 close-low 4.55 to 58.40 (10)+ vslice3 -0.01 to 0.05 (5)
-232.35 pair_dif -10.00 to -2.26 (1)+ slice3 -5.79 to -0.83 (1)
-225.53 high_moment -0.02 to -0.01 (4)+ resist1 -0.88 to -0.20 (1)
-225.21 pair_dif 2.36 to 10.00 (10)+ pstdev 17.41 to 17.69 (7)
-223.14 pair_dif -10.00 to -2.26 (1)+ vstock_ind 1.76 to 3.19 (8)
-223.02 resist2 -0.87 to -0.24 (1)+ ptotal 0.41 to 0.91 (7)
-222.80 3monthgain -78.52 to -22.55 (1)+ pkurt 3.06 to 3.16 (9)
-222.59 3monthgain 31.84 to 888.92 (10)+ gain1 -2.97 to -1.68 (2)
-221.99 corr_f 0.66 to 0.88 (10)+ break_ave -73.37 to -16.87 (1)
-220.48 corr_f 0.66 to 0.88 (10)+ mov_ave100 -0.73 to -0.18 (1)
-217.23 3monthgain -78.52 to -22.55 (1)+ volume3_10 -0.04 to 0.04 (6)
-217.20 gain1 3.17 to 77.78 (10)+ volume3_10 -0.99 to -0.40 (1)
-217.17 vslice3 0.10 to 0.15 (7)+ mov_ave100 -0.73 to -0.18 (1)
-215.46 prd_lastyear -1.95 to -1.10 (3)+ 3monthgain 31.84 to 888.92 (10)
-214.96 resist2 -0.87 to -0.24 (1)+ corr_f 0.66 to 0.88 (10)
Date(ymd): 010223
Average Gain: 6.86
Group Stdev: 52.91
Revised h/l prob: 0.0, 2.32
Market Focus: 1.7+0.7
(0.00000, 2.68)
Market Focus5: 0.5+0.0

one day results from close to close

Top Gaining Groups
294.43 prcvd_risk 30.07 to 302.09 (100)
272.15 move_ave5 0.10 to 0.51 (100)
265.88 recent_price 0.54 to 1.60 (1)
232.66 close-open 8.54 to 49.66 (100)
229.15 break_ave -73.37 to -43.20 (1)
227.47 resist1 -0.47 to -0.41 (3)
226.67 prcvd_risk 6.29 to 7.11 (93)
214.65 vstdev 17.22 to 17.35 (59)
208.88 volume3_10 1.19 to 2.07 (100)
206.60 close-low 0.00 to 0.00 (4)
201.88 vtotal 3.66 to 3.84 (75)
200.57 1monthgain -28.60 to -25.25 (3)
199.46 vslice47 -1.11 to -0.46 (1)
190.89 mov_ave100 -0.29 to -0.26 (5)
190.86 stdev 0.06 to 0.07 (98)
185.23 3monthgain -51.65 to -43.97 (2)
184.40 prcvd_risk 9.45 to 11.27 (96)
177.81 prd_3yrs 1.13 to 1.15 (98)
176.74 gain4 -40.69 to -8.08 (1)
176.29 vslice3 -0.56 to -0.52 (4)
175.47 resist2 0.77 to 0.87 (95)
172.58 mov_ave20 0.23 to 0.85 (100)
172.34 resist2 -0.19 to -0.17 (14)
170.91 pskew -4.88 to -4.44 (37)
169.11 gain2 9.57 to 85.71 (100)
166.08 recent_std 0.08 to 0.59 (100)
165.02 open_moment -8.31 to -6.89 (3)
164.57 resist1 -0.88 to -0.57 (1)
163.82 close-low 0.00 to 0.00 (3)
163.24 gain1 9.19 to 77.78 (100)
Losing Groups
-232.39 3monthgain -30.16 to -27.78 (7)
-215.91 prcvd_risk 5.66 to 6.29 (92)
-215.63 break_ave -25.31 to -23.18 (6)
-199.11 prd_lastyear -9.72 to -7.51 (2)
-191.63 high_moment 0.14 to 0.16 (98)
-191.37 3monthgain -22.55 to -21.12 (11)
-187.81 gain2 0.00 to 0.00 (49)
-176.49 slice97 -10.16 to -2.29 (1)
-166.05 1monthgain 26.35 to 30.33 (97)
-164.40 close-open 6.69 to 8.54 (99)
-160.49 stock_ind 3.95 to 7.80 (99)
-160.22 gain1 4.35 to 4.77 (95)
-157.88 vstdev 14.99 to 15.10 (42)
-157.21 ptotal 1.53 to 1.61 (81)
-156.13 vslice47 -0.30 to -0.29 (8)
-155.58 gain2 -2.98 to -2.79 (11)
-147.44 ptotal 5.91 to 15.85 (100)
-145.75 recent_std 0.04 to 0.04 (91)
-143.49 gain2 -3.19 to -2.98 (10)
-142.09 open_moment -4.67 to -4.21 (7)
-139.38 big_pslice -329.66 to -298.93 (41)
-139.11 momentum -21.39 to -20.29 (17)
-137.03 pkurt 2.84 to 2.84 (26)
-136.77 resist3 -0.25 to -0.23 (11)
-136.00 vstdev 16.95 to 17.09 (57)
-135.47 prd_3yrs -1.00 to -1.00 (8)
-134.94 vslice3 0.22 to 0.23 (85)
-134.48 slice97 -0.93 to -0.89 (14)
-134.02 recent_price 10.81 to 11.19 (25)
-133.25 recent_price 1.60 to 2.24 (2)
Date(ymd): 010223
Average Gain: 6.87
Group Stdev: 26.86
Revised h/l prob: 0.59, 15.64
Market Focus: 1.6+0.5
(0.00000, 11.72)
Market Focus5: 0.4+-0.1

one day results from close to close

Top Gaining Groups
134.36 prcvd_risk 6.29 to 11.27 (24)
126.88 close-low 0.00 to 0.00 (1)
118.26 inertia 110.00 to 233.00 (25)
112.62 volume3_10 0.75 to 2.07 (25)
101.40 vslice3 -1.22 to -0.52 (1)
97.65 recent_std 0.05 to 0.59 (25)
92.46 slice3 0.50 to 0.60 (21)
92.07 open_moment -52.63 to -5.99 (1)
91.79 close-low 0.00 to 0.09 (2)
87.65 resist1 -0.88 to -0.36 (1)
86.04 volume1_3 -0.99 to -0.59 (1)
85.81 vslice3 0.28 to 0.34 (24)
84.14 prd_3yrs 1.12 to 1.55 (25)
83.49 high-close 1.76 to 1.97 (17)
79.48 volume10_60 0.59 to 0.86 (24)
77.25 1monthgain -71.07 to -22.86 (1)
74.49 prd_max 0.10 to 0.13 (23)
72.40 recent_price 3.17 to 4.72 (2)
71.02 high-close 6.62 to 64.25 (25)
70.35 resist3 0.92 to 15.90 (25)
69.74 high-close 4.90 to 6.62 (24)
68.76 stock_ind 0.28 to 0.35 (18)
68.56 gain1 5.35 to 77.78 (25)
68.21 open_moment -1.33 to -1.04 (7)
67.57 momentum -99.79 to -46.76 (1)
67.01 gain3 5.37 to 74.13 (25)
66.05 break_ave 22.12 to 30.61 (24)
65.73 prd_lastyear 6.14 to 52.35 (25)
65.24 resist3 -0.91 to -0.43 (1)
63.94 move_ave5 0.06 to 0.51 (25)
Losing Groups
-87.70 slice3 -5.79 to -1.17 (1)
-85.70 gain2 0.00 to 0.10 (13)
-79.20 gain2 -3.45 to -2.60 (3)
-75.71 break_ave -28.04 to -19.90 (2)
-72.64 pave 1.83 to 2.69 (16)
-72.59 prcvd_risk 1.60 to 1.94 (19)
-72.39 high-close 0.00 to 0.00 (1)
-70.86 high-close 0.04 to 0.16 (3)
-68.64 vslice3 0.22 to 0.25 (22)
-64.60 slice97 -10.16 to -1.56 (1)
-61.22 prd_lastyear -41.29 to -5.66 (1)
-60.91 vave -8.48 to -6.46 (2)
-59.78 prd_max -0.09 to -0.07 (4)
-59.68 vstdev 19.42 to 20.17 (19)
-58.83 vslice97 -0.16 to -0.12 (10)
-56.04 gain1 -0.83 to -0.61 (9)
-55.25 high_moment 0.12 to 0.62 (25)
-55.09 open_moment 1.47 to 1.84 (20)
-54.51 3monthgain -25.81 to -19.72 (3)
-53.73 close-low 2.68 to 3.04 (20)
-52.86 stock_ind -0.57 to -0.44 (6)
-51.32 ptotal 1.53 to 1.86 (21)
-51.17 vkurt 2.21 to 2.25 (9)
-50.01 open-yclose 1.47 to 2.34 (24)
-49.25 industry 76.00 to 77.91 (18)
-48.74 slice3 -0.91 to -0.76 (3)
-47.98 pave 8.20 to 9.79 (22)
-47.87 prd_lastyear -1.57 to -1.25 (7)
-47.48 volume3_10 -0.15 to -0.12 (10)
-47.44 slice3 0.60 to 0.71 (22)
Date(ymd): 010223
Average Gain: 6.82
Group Stdev: 16.86
Revised h/l prob: 0.0, 7.95
Market Focus: 2.8+0.3
(0.00000, 21.44)
Market Focus5: 0.0+-1.0

one day results from close to close

Top Gaining Groups
99.00 close-low 0.00 to 0.15 (1)
66.93 high-close 4.39 to 64.25 (10)
63.42 volume10_60 0.50 to 4.74 (10)
52.65 move_ave5 0.03 to 0.51 (10)
52.08 vslice97 -1.72 to -0.54 (1)
51.17 1monthgain -71.07 to -13.99 (1)
50.95 vstdev 16.11 to 17.50 (6)
48.44 move_ave5 -0.45 to -0.03 (1)
48.16 afterhours_sta 2.01 to 152.95 (10)
47.58 volume3_10 0.46 to 2.07 (10)
47.47 corr 0.70 to 0.72 (5)
47.39 open_moment -1.71 to -0.92 (3)
46.83 high_moment -0.07 to -0.04 (2)
45.71 big_pslice 708.18 to 1152.63 (8)
42.55 vslice3 0.26 to 1.02 (10)
41.21 prcvd_risk 5.12 to 302.09 (10)
40.59 open-yclose 0.62 to 1.23 (9)
39.26 volume1_3 -0.99 to -0.45 (1)
38.81 vslice3 -0.35 to -0.19 (2)
38.63 pair_dif -2.26 to -1.32 (2)
38.21 break_ave 19.66 to 179.86 (10)
37.73 resist2 0.53 to 21.73 (10)
37.58 inertia 96.00 to 233.00 (10)
36.88 vslice3 -1.22 to -0.35 (1)
36.68 recent_price 0.54 to 5.53 (1)
36.02 momentum 17.26 to 32.07 (9)
35.76 3monthgain 31.84 to 888.92 (10)
35.39 slice3 0.50 to 0.78 (9)
35.25 industry 61.74 to 66.58 (5)
35.16 pair_dif20 -548.81 to -25.93 (1)
Losing Groups
-52.58 high-close 0.00 to 0.11 (1)
-39.20 slice3 -5.79 to -0.83 (1)
-37.40 big_pslice -19663.11 to -1860.33 (1)
-35.68 slice97 -10.16 to -1.07 (1)
-30.91 slice3 -0.83 to -0.54 (2)
-30.20 close-low 2.24 to 3.04 (8)
-29.58 pskew 6.09 to 11.18 (7)
-29.46 prd_lastyear -1.95 to -1.10 (3)
-27.75 move_ave5 0.00 to 0.00 (5)
-27.62 vkurt 2.18 to 2.29 (4)
-27.36 volume3_10 -0.99 to -0.40 (1)
-26.89 vslice3 0.20 to 0.26 (9)
-26.65 close-low 0.97 to 1.29 (5)
-26.09 move_ave5 0.02 to 0.03 (9)
-25.00 markcap_est 67469.55 to 23858984.00 (10)
-24.71 open-yclose -0.30 to -0.07 (4)
-24.35 pair_dif 1.43 to 2.36 (9)
-23.96 high-close 0.35 to 0.60 (3)
-23.91 open_moment -0.40 to 0.05 (5)
-23.21 vave 3.48 to 6.02 (9)
-22.36 volume1_3 -0.21 to -0.12 (4)
-20.52 volume3_10 -0.04 to 0.04 (6)
-20.18 high_moment 0.08 to 0.62 (10)
-19.42 gain4 1.74 to 3.15 (9)
-19.40 mov_ave100 0.02 to 0.05 (6)
-19.32 momentum -17.56 to -10.43 (3)
-19.27 prd_lastyear -41.29 to -3.49 (1)
-19.09 resist2 0.01 to 0.05 (5)
-19.06 prd_max -0.10 to -0.06 (2)
-18.64 corr_f 0.63 to 0.66 (9)
Date(ymd): 010223
Average Gain: 6.78
Group Stdev: 11.96
Revised h/l prob: 0.60, 4.03
Market Focus: 1.6+0.9
(0.00000, 0.8995)
Market Focus5: 0.0+-0.5

one day results from close to close

Top Gaining Groups
55.92 close-low 0.00 to 0.41 (1)
42.08 volume10_60 0.26 to 4.74 (5)
38.10 high-close 2.87 to 64.25 (5)
37.46 vslice3 -1.22 to -0.19 (1)
36.79 volume3_10 0.25 to 2.07 (5)
36.31 high_moment -1.08 to -0.04 (1)
36.03 big_pslice 337.44 to 1152.63 (4)
35.42 recent_price 0.54 to 9.25 (1)
34.15 corr 0.70 to 0.74 (3)
31.03 afterhours_sta 0.70 to 152.95 (5)
30.91 prcvd_risk 2.44 to 302.09 (5)
30.45 vslice97 -1.72 to -0.36 (1)
29.31 close-low 0.41 to 0.97 (2)
28.32 slice97 0.20 to 0.68 (4)
27.84 corr_f 0.56 to 0.59 (3)
27.76 gain2 1.73 to 85.71 (5)
27.21 slice3 0.50 to 5.57 (5)
26.54 stdev 0.03 to 0.20 (5)
26.46 prd_lastyear 2.02 to 52.35 (5)
26.07 open_moment -1.71 to -0.40 (2)
25.44 break_ave 12.06 to 179.86 (5)
25.16 markcap_est 0.58 to 97.38 (1)
24.77 3monthgain 18.83 to 888.92 (5)
23.69 high-close 1.57 to 2.87 (4)
23.64 pair_dif -10.00 to -1.32 (1)
23.02 momentum 17.26 to 598.88 (5)
22.63 inertia 86.00 to 233.00 (5)
22.42 leadership 3.50 to 31.20 (5)
22.21 vslice47 -0.11 to -0.01 (3)
22.04 resist2 0.29 to 21.73 (5)
Losing Groups
-34.85 slice3 -5.79 to -0.54 (1)
-34.29 high-close 0.00 to 0.35 (1)
-22.27 slice97 -10.16 to -0.68 (1)
-20.31 close-low 1.69 to 3.04 (4)
-18.13 pair_dif 1.43 to 10.00 (5)
-17.51 close-low 0.97 to 1.69 (3)
-16.47 big_pslice -19663.11 to -1151.67 (1)
-14.93 close-low 3.04 to 58.40 (5)
-13.76 vstdev 17.50 to 21.00 (4)
-13.73 pskew 6.09 to 17.22 (4)
-13.20 3monthgain -78.52 to -12.20 (1)
-12.87 prd_lastyear -1.95 to -0.47 (2)
-12.68 vslice3 0.10 to 0.20 (4)
-11.70 industry 72.72 to 86.46 (4)
-11.62 mov_ave100 -0.01 to 0.05 (3)
-10.85 vkurt 2.07 to 2.29 (2)
-10.71 volume10_60 -1.00 to -0.29 (1)
-10.29 momentum -17.57 to -5.07 (2)
-10.23 open_moment 0.49 to 1.84 (4)
-10.08 markcap_est 5551.64 to 23858984.00 (5)
-9.69 vslice97 -0.36 to -0.12 (2)
-9.16 open_moment -0.40 to 0.49 (3)
-8.87 vskew 24.96 to 117.95 (5)
-8.65 stock_ind -5822.04 to -0.57 (1)
-7.84 volume3_10 -0.99 to -0.28 (1)
-7.81 high_moment 0.05 to 0.62 (5)
-7.76 move_ave5 0.00 to 0.01 (3)
-6.98 momentum 4.03 to 17.26 (4)
-6.70 volume10_60 -0.29 to -0.13 (2)
-6.55 yeargain -23.66 to -0.21 (2)

 

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