Below we offer tables that show the best risk-adjusted 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 change of a stock's value from the close
on day 1 to the close on day 2, after risk-adjustment. Thus the extended hours trading between
the close on day 1 and the open on day 2 is included in the results.
The prime observation here: a small close-low differential predicts
risk-adjusted gains quite nicely.
As an interesting (we think) side note, we've done tests where we include a
predictor that indicates where in the high-low range the stock closed, which our
"close-low" and "high-close" predictors don't show (you could have a situation
where a stock closes a good percentage off its high, but also finishes well off
its low). But this new statistic always seems to get trumped by a
"close-low" and "high-close" differences. Figure that out.
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Date(ymd): 010223Average Gain: 322.40Group Stdev: 3111.16Market Focus: 0.7+1.0(0.00000, 0.00000)Market Focus5: -0.1+-0.2
one day from close to close | Top Gaining Groups16998.25 leadership -6.20 to -3.70 (2)+ industry 66.58 to 72.72 (6)
16098.55 close-low 0.00 to 0.15 (1)+ afterhours_sta 0.70 to 2.01 (9)
15711.32 close-low 0.00 to 0.15 (1)+ momentum -99.79 to -30.25 (1)
15305.38 high-close 4.39 to 64.25 (10)+ big_vslice -34093.79 to -21047.98 (4)
14611.96 resist3 0.04 to 0.09 (6)+ vtotal -7.47 to -4.88 (2)
14555.64 close-low 0.00 to 0.15 (1)+ vstdev 4.44 to 10.32 (1)
14256.09 close-low 0.00 to 0.15 (1)+ gain4 3.15 to 36.58 (10)
14175.43 close-low 0.00 to 0.15 (1)+ afterhours_sta -0.35 to -0.16 (4)
13872.23 close-low 0.00 to 0.15 (1)+ vave 1.87 to 3.48 (8)
13762.64 stdev 0.01 to 0.01 (2)+ high_moment -0.07 to -0.04 (2)
13676.40 close-low 0.00 to 0.15 (1)+ vkurt 2.41 to 2.54 (6)
13653.03 markcap_est 0.58 to 43.42 (1)+ big_pslice 708.18 to 1152.63 (8)
13581.95 corr 0.70 to 0.72 (5)+ resist2 -0.11 to -0.03 (3)
13571.10 close-low 0.00 to 0.15 (1)+ open-yclose -50.17 to -1.18 (1)
13475.92 high-close 1.57 to 2.10 (7)+ vstdev 4.44 to 10.32 (1)
13431.75 close-low 0.00 to 0.15 (1)+ volume3_10 0.46 to 2.07 (10)
13412.45 gain2 -1.64 to -0.92 (3)+ slice97 0.42 to 0.68 (8)
13367.07 close-low 0.00 to 0.15 (1)+ pskew 25.54 to 76.92 (10)
13320.63 1monthgain -3.99 to -1.26 (4)+ ptotal 2.55 to 15.85 (10)
13189.18 prd_3yrs -1.00 to -1.00 (1)+ volume10_60 0.26 to 0.50 (9)
13162.30 close-low 0.00 to 0.15 (1)+ open_moment -52.63 to -3.31 (1)
13092.97 mov_ave100 -0.09 to -0.04 (3)+ vtotal -4.88 to -3.04 (3)
13068.97 close-low 0.00 to 0.15 (1)+ corr_f 0.54 to 0.56 (4)
13005.33 gain1 -2.97 to -1.68 (2)+ vstdev 4.44 to 10.32 (1)
12792.81 leadership 5.70 to 31.20 (10)+ close-low 0.00 to 0.15 (1)
12777.94 3monthgain -12.20 to -5.94 (3)+ vstdev 4.44 to 10.32 (1)
12756.45 leadership -6.20 to -3.70 (2)+ ptotal 2.55 to 15.85 (10)
12648.29 close-low 0.00 to 0.15 (1)+ 3monthgain 2.93 to 7.17 (6)
12615.70 volume10_60 0.26 to 0.50 (9)+ mov_ave100 -0.04 to -0.01 (4)
12556.42 recent_price 9.25 to 13.11 (3)+ close-low 0.00 to 0.15 (1)
| Losing Groups-17169.18 high-close 0.00 to 0.11 (1)+ prd_3yrs 1.07 to 1.55 (10)
-14264.92 1monthgain 5.96 to 9.61 (8)+ vave 3.48 to 6.02 (9)
-13780.23 high-close 0.00 to 0.11 (1)+ gain4 1.74 to 3.15 (9)
-13578.88 stdev 0.00 to 0.01 (1)+ move_ave5 0.02 to 0.03 (9)
-13406.60 high-close 0.00 to 0.11 (1)+ prcvd_risk 1.45 to 2.44 (8)
-13164.52 slice97 -10.16 to -1.07 (1)+ vskew -37.04 to -23.45 (2)
-13122.32 close-low 4.54 to 58.40 (10)+ big_pslice 1152.63 to 1878.26 (9)
-13046.95 high-close 0.00 to 0.11 (1)+ pkurt 2.81 to 2.85 (3)
-12921.30 slice47 -6.06 to -0.79 (1)+ slice3 -0.83 to -0.54 (2)
-12553.39 corr 0.77 to 0.80 (8)+ mov_ave20 0.08 to 0.85 (10)
-12374.74 volume1_3 -0.21 to -0.12 (4)+ vslice3 0.15 to 0.20 (8)
-12360.40 close-low 4.54 to 58.40 (10)+ volume1_3 -0.04 to 0.05 (6)
-12233.16 high-close 0.00 to 0.11 (1)+ pave -35.11 to -11.72 (1)
-12046.68 gain2 -0.39 to 0.00 (5)+ stock_ind 0.95 to 873.78 (10)
-12034.96 close-low 3.04 to 4.54 (9)+ resist3 -0.11 to -0.04 (3)
-12004.88 high-close 0.00 to 0.11 (1)+ volume10_60 -0.06 to 0.03 (6)
-11916.82 pair_dif20 -548.81 to -25.93 (1)+ vslice3 0.10 to 0.15 (7)
-11871.18 markcap_est 331.05 to 577.04 (5)+ slice3 -5.79 to -0.83 (1)
-11820.07 close-low 4.54 to 58.40 (10)+ volume3_10 -0.99 to -0.40 (1)
-11748.76 momentum 4.03 to 9.53 (7)+ ptotal 1.53 to 2.55 (9)
-11643.12 high-close 0.00 to 0.11 (1)+ resist3 -0.25 to -0.11 (2)
-11634.84 inertia 63.00 to 66.00 (3)+ volume10_60 -0.13 to -0.06 (5)
-11541.63 gain1 3.17 to 77.78 (10)+ stock_ind -1.18 to -0.57 (2)
-11541.03 vslice3 0.20 to 0.26 (9)+ vstdev 10.32 to 12.09 (2)
-11515.50 close-low 2.24 to 3.04 (8)+ mov_ave100 0.02 to 0.05 (6)
-11513.61 stdev 0.01 to 0.01 (5)+ big_pslice -19663.11 to -1860.33 (1)
-11481.09 close-low 2.24 to 3.04 (8)+ vkurt 2.54 to 2.69 (7)
-11429.43 close-low 3.04 to 4.54 (9)+ break_ave -0.67 to 2.14 (5)
-11404.08 vslice47 -0.01 to 0.08 (7)+ pave -35.11 to -11.72 (1)
-11403.93 open_moment 0.05 to 0.49 (6)+ pstdev 16.40 to 16.68 (3)
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Date(ymd): 010223Average Gain: 336.51Group Stdev: 3053.62Revised h/l prob: 0.0, 8.66Market Focus: 1.3+0.3(0.00000, 19.88)Market Focus5: -0.3+-0.2
one day from close to close | Top Gaining Groups15636.51 close-low 0.00 to 0.00 (2)
11854.65 vslice3 -0.56 to -0.52 (4)
11587.97 stdev 0.01 to 0.01 (4)
11123.66 pskew -4.88 to -4.44 (37)
10887.35 vslice47 -0.18 to -0.18 (26)
10340.18 pair_dif20 0.00 to 0.30 (47)
10233.38 close-low 0.00 to 0.00 (1)
10147.34 move_ave5 0.10 to 0.51 (100)
9833.79 leadership -5.30 to -5.00 (14)
9793.61 close-low 0.00 to 0.00 (3)
9791.34 slice97 0.59 to 0.62 (78)
9682.07 vstdev 17.22 to 17.35 (59)
9469.83 resist2 0.02 to 0.02 (43)
9074.91 pave -11.72 to -11.21 (11)
9035.18 inertia 110.00 to 115.00 (97)
8989.34 leadership 3.60 to 3.80 (82)
8976.51 slice3 0.71 to 0.75 (89)
8960.71 open-yclose 0.58 to 0.62 (80)
8860.46 open-yclose 0.97 to 1.04 (88)
8813.42 vslice47 -1.11 to -0.46 (1)
8721.89 prd_lastyear 3.07 to 3.27 (88)
8625.30 ptotal 2.69 to 2.88 (92)
8621.02 gain4 0.45 to 0.50 (61)
8553.17 corr 0.71 to 0.71 (44)
8494.77 industry 67.69 to 68.18 (53)
8453.61 gain2 -1.83 to -1.73 (19)
8441.11 momentum -2.22 to -1.79 (47)
8396.25 high-close 1.87 to 1.92 (67)
8356.17 pave 19.53 to 31.59 (100)
8313.99 close-low 0.36 to 0.39 (19)
| Losing Groups-11191.49 big_pslice -19663.11 to -4131.46 (1)
-11033.36 slice97 -10.16 to -2.29 (1)
-10328.98 vstdev 14.99 to 15.10 (42)
-9929.98 mov_ave100 0.05 to 0.05 (60)
-9576.84 gain1 0.00 to 0.00 (51)
-9526.50 prcvd_risk 5.66 to 6.29 (92)
-9441.81 gain2 -2.98 to -2.79 (11)
-9236.62 high-close 0.00 to 0.00 (7)
-9112.41 high-close 0.00 to 0.00 (1)
-9049.50 prd_max 0.30 to 0.85 (100)
-8985.87 volume3_10 -0.14 to -0.13 (38)
-8907.26 gain2 -1.32 to -1.25 (25)
-8839.54 vslice3 -0.18 to -0.17 (22)
-8725.14 prd_lastyear -9.72 to -7.51 (2)
-8511.44 slice97 -0.93 to -0.89 (14)
-8503.00 stock_ind 3.95 to 7.80 (99)
-8374.88 slice3 0.41 to 0.43 (77)
-8311.17 3monthgain -30.16 to -27.78 (7)
-8293.88 ptotal 1.53 to 1.61 (81)
-8203.19 high-close 0.07 to 0.11 (10)
-8117.46 inertia 73.00 to 73.00 (53)
-8085.31 vslice97 0.65 to 0.69 (95)
-7872.50 high_moment 0.14 to 0.16 (98)
-7868.58 industry 66.58 to 66.98 (51)
-7841.18 prd_max -0.08 to -0.07 (16)
-7724.92 volume10_60 0.02 to 0.03 (60)
-7695.45 volume1_3 0.00 to 0.00 (55)
-7679.28 vslice47 -0.46 to -0.40 (2)
-7672.66 open_moment 1.55 to 1.64 (78)
-7613.99 vave -0.27 to -0.17 (51)
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Date(ymd): 010223Average Gain: 339.47Group Stdev: 1617.88Revised h/l prob: 0.0, 5.11Market Focus: 3.4+0.9(0.00000, 3.07)Market Focus5: 0.0+0.0
one day from close to close | Top Gaining Groups10429.11 close-low 0.00 to 0.00 (1)
6171.61 vslice3 -1.22 to -0.52 (1)
5630.87 volume3_10 0.75 to 2.07 (25)
5519.52 high-close 1.76 to 1.97 (17)
4954.49 inertia 110.00 to 233.00 (25)
4949.83 stock_ind 0.43 to 0.52 (20)
4931.98 slice3 0.50 to 0.60 (21)
4800.88 leadership -5.60 to -4.50 (4)
4737.50 vslice97 -1.72 to -0.72 (1)
4566.16 volume1_3 -0.99 to -0.59 (1)
4498.98 recent_std 0.01 to 0.01 (4)
4439.51 inertia 69.00 to 70.00 (11)
4326.79 resist2 -0.07 to -0.05 (7)
4324.15 gain2 -0.39 to -0.19 (11)
4292.84 vslice3 0.28 to 0.34 (24)
4287.22 open_moment -1.33 to -1.04 (7)
4183.88 stock_ind 0.28 to 0.35 (18)
4119.62 stdev 0.01 to 0.01 (2)
4096.72 vkurt 2.43 to 2.48 (14)
4027.11 gain4 0.45 to 0.65 (16)
3997.30 ptotal 2.28 to 2.88 (23)
3959.40 momentum -3.15 to -1.33 (12)
3894.15 big_pslice 787.36 to 959.44 (19)
3865.36 pave 2.69 to 3.67 (17)
3864.41 big_pslice 2110.61 to 2835.12 (24)
3862.60 pair_dif -2.03 to -1.64 (4)
3807.03 pkurt 3.00 to 3.02 (18)
3797.96 close-low 0.31 to 0.41 (5)
3748.35 corr_f 0.57 to 0.58 (13)
3735.80 resist3 -0.11 to -0.08 (6)
| Losing Groups-5709.25 slice97 -10.16 to -1.56 (1)
-5399.85 high-close 0.04 to 0.16 (3)
-5212.23 close-low 2.68 to 3.04 (20)
-4794.61 high-close 0.00 to 0.00 (1)
-4260.27 big_pslice -19663.11 to -2769.76 (1)
-4236.20 prd_max -0.09 to -0.07 (4)
-4200.26 vslice3 0.22 to 0.25 (22)
-4183.57 close-open 1.67 to 2.08 (21)
-4103.05 pair_dif 2.11 to 2.65 (23)
-3982.02 gain2 -3.45 to -2.60 (3)
-3779.45 slice3 -5.79 to -1.17 (1)
-3760.68 gain2 -1.32 to -1.05 (7)
-3718.22 volume1_3 -0.02 to 0.01 (14)
-3682.67 gain2 0.00 to 0.10 (13)
-3674.11 vslice47 0.40 to 0.54 (24)
-3604.61 prcvd_risk 1.60 to 1.94 (19)
-3503.13 pskew 6.09 to 8.08 (16)
-3497.80 vstdev 19.42 to 20.17 (19)
-3478.31 vave -8.48 to -6.46 (2)
-3338.89 resist2 0.02 to 0.04 (12)
-3198.97 markcap_est 11144.29 to 32778.86 (22)
-3196.38 pave 1.83 to 2.69 (16)
-3175.41 gain1 2.77 to 3.66 (23)
-3150.53 slice97 -1.56 to -1.20 (2)
-3088.22 momentum -1.33 to 0.48 (13)
-3071.47 high_moment 0.12 to 0.62 (25)
-3045.53 prd_max 0.19 to 0.85 (25)
-3034.41 close-low 1.89 to 2.12 (17)
-2979.08 vstock_ind -3.69 to -3.00 (8)
-2969.99 vkurt 3.27 to 3.56 (24)
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Date(ymd): 010223Average Gain: 334.54Group Stdev: 1059.70Market Focus: 2.3+2.0(0.00000, 0.00000)Market Focus5: -0.5+0.3
one day from close to close | Top Gaining Groups5788.54 close-low 0.00 to 0.15 (1)
3431.86 vslice97 -1.72 to -0.54 (1)
3133.30 big_pslice 708.18 to 1152.63 (8)
2963.73 open_moment -1.71 to -0.92 (3)
2911.65 high_moment -0.07 to -0.04 (2)
2847.47 vslice3 -0.35 to -0.19 (2)
2809.27 pair_dif20 -2.36 to 1.56 (5)
2589.65 high-close 4.39 to 64.25 (10)
2582.05 gain1 -47.95 to -2.97 (1)
2554.23 vstock_ind -16867.03 to -10.69 (1)
2533.14 slice97 0.42 to 0.68 (8)
2514.50 open-yclose 0.62 to 1.22 (9)
2435.65 stock_ind 0.52 to 0.95 (9)
2396.94 corr 0.70 to 0.72 (5)
2365.49 stock_ind 0.32 to 0.52 (8)
2362.60 vstdev 16.11 to 17.50 (6)
2340.75 close-low 0.15 to 0.41 (2)
2321.55 pair_dif -2.26 to -1.32 (2)
2320.61 move_ave5 -0.45 to -0.03 (1)
2268.45 ptotal 2.55 to 15.85 (10)
2241.20 vslice3 -1.22 to -0.35 (1)
2189.28 prcvd_risk 0.01 to 0.20 (1)
2138.12 vave -1.23 to -0.26 (5)
2135.40 high-close 1.57 to 2.10 (7)
2128.48 close-low 0.69 to 0.97 (4)
2125.36 leadership 5.70 to 31.20 (10)
2121.78 resist2 -0.11 to -0.03 (3)
2120.05 volume10_60 0.50 to 4.74 (10)
2110.27 inertia 69.00 to 72.00 (5)
2064.20 gain1 -1.68 to -0.96 (3)
| Losing Groups-4411.90 high-close 0.00 to 0.11 (1)
-3424.95 slice97 -10.16 to -1.07 (1)
-3237.84 big_pslice -19663.11 to -1860.33 (1)
-2933.08 close-open 1.67 to 3.05 (9)
-2580.69 close-low 2.24 to 3.04 (8)
-2183.27 close-low 4.54 to 58.40 (10)
-2136.24 pskew 6.09 to 11.18 (7)
-2034.11 open_moment -0.40 to 0.05 (5)
-2030.81 move_ave5 0.02 to 0.03 (9)
-1888.75 vslice3 0.20 to 0.26 (9)
-1888.68 close-low 3.04 to 4.54 (9)
-1813.13 slice3 -5.79 to -0.83 (1)
-1729.63 slice47 -6.06 to -0.79 (1)
-1726.28 high_moment 0.08 to 0.62 (10)
-1695.44 prd_max -0.10 to -0.06 (2)
-1675.08 slice3 -0.83 to -0.54 (2)
-1671.65 pair_dif 1.43 to 2.36 (9)
-1552.44 close-low 1.69 to 2.24 (7)
-1458.97 industry 77.07 to 86.46 (8)
-1420.90 mov_ave100 0.02 to 0.05 (6)
-1410.69 open-yclose 1.22 to 61.85 (10)
-1405.77 high-close 0.11 to 0.35 (2)
-1373.86 gain1 3.17 to 77.78 (10)
-1351.92 corr 0.80 to 0.84 (9)
-1330.19 resist2 0.01 to 0.05 (5)
-1315.54 vslice47 -0.01 to 0.08 (7)
-1301.91 gain1 1.73 to 3.17 (9)
-1288.98 resist2 -0.87 to -0.24 (1)
-1283.01 volume3_10 -0.99 to -0.40 (1)
-1237.34 high-close 0.35 to 0.60 (3)
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Date(ymd): 010223Average Gain: 334.28Group Stdev: 819.96Market Focus: 2.7+1.8(0.00000, 0.00000)Market Focus5: 0.3+0.5
one day from close to close | Top Gaining Groups4090.39 close-low 0.00 to 0.41 (1)
2569.83 vslice3 -1.22 to -0.19 (1)
2388.92 big_pslice 337.44 to 1152.63 (4)
2307.88 vslice97 -1.72 to -0.36 (1)
2126.53 slice97 0.20 to 0.68 (4)
2004.67 high-close 2.87 to 64.25 (5)
2004.14 high_moment -1.08 to -0.04 (1)
1990.16 open_moment -1.71 to -0.40 (2)
1972.01 close-low 0.41 to 0.97 (2)
1877.96 stock_ind 0.15 to 0.52 (4)
1791.22 slice3 0.50 to 5.57 (5)
1782.74 volume10_60 0.26 to 4.74 (5)
1641.83 high-close 1.57 to 2.87 (4)
1599.36 gain1 -47.95 to -1.68 (1)
1583.79 resist3 -0.11 to 0.00 (2)
1563.44 slice47 0.54 to 5.25 (5)
1561.09 leadership 3.50 to 31.20 (5)
1535.49 vstock_ind -16867.03 to -5.57 (1)
1501.43 vslice47 -0.11 to -0.01 (3)
1480.65 yeargain -0.21 to 17.97 (3)
1459.27 pair_dif20 -2.36 to 5.64 (3)
1416.73 close-open -35.00 to -1.63 (1)
1399.56 volume3_10 0.25 to 2.07 (5)
1397.34 move_ave5 -0.45 to -0.02 (1)
1380.81 recent_std 0.00 to 0.01 (1)
1378.30 vslice47 -0.21 to -0.11 (2)
1356.38 pair_dif -10.00 to -1.32 (1)
1346.07 gain1 -1.68 to -0.42 (2)
1342.93 gain4 -1.66 to -0.40 (2)
1337.96 move_ave5 -0.02 to 0.00 (2)
| Losing Groups-2827.87 high-close 0.00 to 0.35 (1)
-2081.72 close-low 1.69 to 3.04 (4)
-2036.10 close-low 3.04 to 58.40 (5)
-1973.09 slice97 -10.16 to -0.68 (1)
-1784.52 close-open 1.67 to 49.66 (5)
-1745.42 slice3 -5.79 to -0.54 (1)
-1622.12 big_pslice -19663.11 to -1151.67 (1)
-1372.96 pair_dif 1.43 to 10.00 (5)
-1372.39 high_moment 0.05 to 0.62 (5)
-1337.31 gain1 1.73 to 77.78 (5)
-1112.74 industry 72.72 to 86.46 (4)
-1077.25 open_moment -0.40 to 0.49 (3)
-1030.97 stock_ind -5822.04 to -0.57 (1)
-1014.25 vslice3 0.10 to 0.20 (4)
-907.99 pskew 6.09 to 17.22 (4)
-879.44 markcap_est 5551.64 to 23858984.00 (5)
-872.59 mov_ave100 -0.01 to 0.05 (3)
-750.42 pave -2.61 to 1.83 (3)
-722.29 inertia 63.00 to 69.00 (2)
-711.22 vstdev 17.50 to 21.00 (4)
-705.56 vskew 24.96 to 117.95 (5)
-698.39 prd_max -0.60 to -0.06 (1)
-672.29 move_ave5 0.00 to 0.01 (3)
-670.31 vkurt 2.07 to 2.29 (2)
-666.00 volume1_3 -0.12 to 0.05 (3)
-657.04 corr_f 0.52 to 0.56 (2)
-647.05 mov_ave20 0.05 to 0.85 (5)
-645.95 slice47 -6.06 to -0.50 (1)
-640.81 big_vslice 53083.46 to 231025.25 (5)
-623.89 prd_lastyear -1.95 to -0.47 (2)
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