Below we offer tables that show the best predictors of open to close behavior
of stocks from Feb of 2001 to June of 2005.
The obvious (an understatement) trend: an outrageously strong tendency
for losers in the afterhours to gain, and gainers in the afterhours to lose.
Before you quit your regular job and become a daytrader, however, one should
consider the possibility that it's precisely the stocks with large afterhours
losses that tend to have large bid/ask spreads at the open. We've also
noted that such stocks often pop out of the gate quite quickly once the market
opens, meaning that it might be difficult to catch these gains. Over time
we should hone in on what works and what doesn't with more precision.
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.
There are some other interesting trends:
*stocks with nice gains from open to close in the previous session tend to
gain nicely in the next session (momentum!). It does seem that combining
large afterhours losses with nice gains in the regular hours is all the more
potent.
*stocks that have been weak in the afterhours over the last month (a low "afterhours_stat"
value) have a way of faring well in regular hours.
*increasing recent volume does tend to signal gains.
*be a bit wary of naive pair-trading strategies...going with stocks that have
outperformed their "trading partners" may actually be superior to looking for
those that have underperformed (which is contrary to the usual pair-trading
view).
*though it's not horribly significant, looking for stocks that have a history
of faring well at the particular time of year you're considering a trade has
been advisable. We've seen this tendency repeatedly in short-term trading
tests...it's no fluke.
*for shorts, you can pretty much reverse the above trends. Note that
choosing stocks with big losses from the most recent close-to-close is actually
a bit more potent than choosing afterhours gainers in one of the cells below.
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Date(ymd): 010223Average Gain: 8.04Group Stdev: 51.27Market Focus: 4.9+3.4(0.00000, 0.00000)Market Focus5: 3.5+2.1 one day from open to close | Top Gaining Groups482.40 vskew 15.76 to 24.96 (8)+ afterhours -8327.50 to -305.00 (1)
467.78 pave 10.66 to 31.59 (10)+ afterhours -8327.50 to -305.00 (1)
467.05 prd_lastyear 1.11 to 2.02 (8)+ afterhours -8327.50 to -305.00 (1)
414.68 pave -11.72 to -7.83 (2)+ afterhours -8327.50 to -305.00 (1)
414.66 corr_f 0.32 to 0.49 (1)+ afterhours -8327.50 to -305.00 (1)
410.47 volume3_10 0.46 to 2.07 (10)+ afterhours -8327.50 to -305.00 (1)
408.37 vslice47 0.19 to 0.36 (9)+ afterhours -8327.50 to -305.00 (1)
398.60 resist2 0.05 to 0.10 (6)+ afterhours -8327.50 to -305.00 (1)
392.96 afterhours -8327.50 to -305.00 (1)+ vstock_ind 3.19 to 7.42 (9)
391.09 slice3 0.30 to 0.50 (8)+ afterhours -8327.50 to -305.00 (1)
389.59 volume10_60 0.50 to 4.74 (10)+ afterhours -8327.50 to -305.00 (1)
384.41 open_moment -1.71 to -0.92 (3)+ afterhours -8327.50 to -305.00 (1)
384.34 pskew 17.22 to 25.54 (9)+ afterhours -8327.50 to -305.00 (1)
374.72 pair_dif 0.00 to 0.38 (6)+ afterhours -8327.50 to -305.00 (1)
373.60 volume1_3 0.49 to 1.93 (10)+ afterhours -8327.50 to -305.00 (1)
372.95 gain4 -0.40 to 0.00 (5)+ afterhours -8327.50 to -305.00 (1)
370.96 volume10_60 -1.00 to -0.40 (1)+ afterhours -8327.50 to -305.00 (1)
367.85 mov_ave100 0.08 to 0.13 (8)+ afterhours -8327.50 to -305.00 (1)
365.80 vslice97 0.35 to 0.54 (9)+ afterhours -8327.50 to -305.00 (1)
364.39 inertia 58.00 to 63.00 (2)+ afterhours -8327.50 to -305.00 (1)
359.38 momentum 17.26 to 32.07 (9)+ afterhours -8327.50 to -305.00 (1)
359.22 slice97 0.00 to 0.20 (6)+ afterhours -8327.50 to -305.00 (1)
357.78 momentum 4.03 to 9.53 (7)+ afterhours -8327.50 to -305.00 (1)
356.68 vstdev 21.00 to 23.84 (9)+ afterhours -8327.50 to -305.00 (1)
353.05 resist1 0.19 to 0.31 (8)+ afterhours -8327.50 to -305.00 (1)
348.90 stock_ind 0.31 to 0.52 (8)+ afterhours -8327.50 to -305.00 (1)
348.81 pstdev 17.69 to 18.04 (8)+ afterhours -8327.50 to -305.00 (1)
347.69 volume1_3 0.27 to 0.49 (9)+ afterhours -8327.50 to -305.00 (1)
345.64 ptotal -13.96 to -2.58 (1)+ afterhours -8327.50 to -305.00 (1)
345.62 ptotal -1.58 to -0.96 (3)+ afterhours -8327.50 to -305.00 (1)
| Losing Groups-374.90 leadership 1.00 to 2.00 (7)+ afterhours 305.00 to 11200.00 (10)
-324.34 vslice47 -0.27 to -0.21 (2)+ afterhours 305.00 to 11200.00 (10)
-313.54 vslice3 0.10 to 0.15 (7)+ afterhours 305.00 to 11200.00 (10)
-309.09 slice3 -0.17 to -0.02 (5)+ afterhours 305.00 to 11200.00 (10)
-308.44 slice47 -0.29 to -0.13 (4)+ afterhours 305.00 to 11200.00 (10)
-298.71 big_vslice -175019.44 to -62888.23 (1)+ afterhours 305.00 to 11200.00 (10)
-297.93 vskew -37.04 to -23.45 (2)+ afterhours 305.00 to 11200.00 (10)
-297.17 slice97 0.42 to 0.68 (8)+ afterhours 305.00 to 11200.00 (10)
-295.81 close-low 0.97 to 1.29 (5)+ afterhours 305.00 to 11200.00 (10)
-293.82 leadership -1.00 to 0.00 (5)+ afterhours 305.00 to 11200.00 (10)
-286.24 vkurt 2.88 to 3.18 (9)+ afterhours 305.00 to 11200.00 (10)
-282.89 pskew -7.67 to -3.00 (4)+ afterhours 305.00 to 11200.00 (10)
-280.94 resist2 -0.87 to -0.24 (1)+ slice97 -0.19 to 0.00 (5)
-278.40 ptotal -13.96 to -2.58 (1)+ afterhours 305.00 to 11200.00 (10)
-277.11 gain3 -1.68 to -0.96 (3)+ afterhours 305.00 to 11200.00 (10)
-271.52 pkurt 3.01 to 3.06 (8)+ afterhours 305.00 to 11200.00 (10)
-270.20 ptotal -0.49 to -0.05 (5)+ afterhours 305.00 to 11200.00 (10)
-268.26 pave 1.83 to 4.15 (7)+ afterhours 305.00 to 11200.00 (10)
-266.79 pair_dif20 15.66 to 24.95 (9)+ afterhours 305.00 to 11200.00 (10)
-263.89 corr 0.00 to 0.60 (1)+ afterhours 305.00 to 11200.00 (10)
-260.97 afterhours 305.00 to 11200.00 (10)+ vtotal -3.04 to -1.52 (4)
-260.82 vstdev 4.44 to 10.32 (1)+ afterhours 305.00 to 11200.00 (10)
-259.37 volume3_10 -0.99 to -0.40 (1)+ afterhours 305.00 to 11200.00 (10)
-258.63 vave 3.48 to 6.02 (9)+ afterhours 305.00 to 11200.00 (10)
-258.59 pskew -20.96 to -13.14 (2)+ mov_ave20 -0.57 to -0.08 (1)
-258.59 volume1_3 0.15 to 0.27 (8)+ afterhours 305.00 to 11200.00 (10)
-258.27 stock_ind -5822.04 to -1.18 (1)+ afterhours 305.00 to 11200.00 (10)
-257.26 vskew 37.61 to 117.95 (10)+ afterhours 305.00 to 11200.00 (10)
-257.18 prd_3yrs 0.96 to 0.98 (4)+ afterhours 305.00 to 11200.00 (10)
-256.99 corr 0.60 to 0.64 (2)+ afterhours 305.00 to 11200.00 (10)
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Date(ymd): 010223Average Gain: 7.80Group Stdev: 51.49Market Focus: 8.3+2.6(0.00000, 0.00000)Market Focus5: 1.3+1.3 one day from open to close | Top Gaining Groups622.02 afterhours -8327.50 to -1122.50 (1)
522.18 afterhours -1122.50 to -807.50 (2)
302.16 afterhours -662.50 to -575.00 (4)
286.28 close-open 8.54 to 49.66 (100)
260.60 afterhours -807.50 to -662.50 (3)
238.60 close-low 11.11 to 58.40 (100)
214.80 resist2 0.77 to 0.87 (95)
210.20 move_ave5 0.10 to 0.51 (100)
205.22 prcvd_risk 9.45 to 11.27 (96)
199.43 afterhours -502.50 to -450.00 (6)
183.53 volume3_10 1.19 to 2.07 (100)
180.92 afterhours_sta -1.88 to -1.65 (10)
176.21 pskew -4.88 to -4.44 (37)
174.24 open_moment -8.31 to -6.89 (3)
173.18 ptotal 3.84 to 4.26 (97)
171.44 pave -11.72 to -11.21 (11)
169.90 close-open 5.71 to 6.69 (98)
166.78 prcvd_risk 6.29 to 7.11 (93)
163.41 vstdev 17.22 to 17.35 (59)
161.40 stock_ind 0.49 to 0.52 (80)
160.01 recent_price 5.95 to 6.26 (12)
159.81 leadership -5.30 to -5.00 (14)
159.34 close-low 6.22 to 6.78 (96)
157.78 afterhours_sta -123.59 to -12.12 (1)
157.19 afterhours_sta -7.42 to -5.41 (3)
153.12 stdev 0.02 to 0.02 (73)
149.12 mov_ave100 -0.29 to -0.26 (5)
148.09 vskew -4.64 to -3.84 (44)
147.93 break_ave 27.88 to 30.61 (96)
146.42 volume1_3 0.43 to 0.46 (89)
| Losing Groups-296.07 gain1 -47.95 to -8.62 (1)
-293.91 afterhours 1132.50 to 11200.00 (100)
-292.33 close-open -35.00 to -8.35 (1)
-253.57 high-close 10.94 to 64.25 (100)
-228.31 3monthgain -30.16 to -27.78 (7)
-219.56 pair_dif -10.00 to -4.80 (1)
-214.42 afterhours 817.50 to 1132.50 (99)
-195.85 prcvd_risk 19.25 to 30.07 (99)
-195.47 afterhours 667.50 to 817.50 (98)
-186.32 prd_lastyear -9.72 to -7.51 (2)
-184.75 3monthgain -22.55 to -21.13 (11)
-176.79 afterhours_sta 7.71 to 11.70 (98)
-175.32 prcvd_risk 5.66 to 6.29 (92)
-169.55 mov_ave100 -0.32 to -0.29 (4)
-168.72 afterhours 332.50 to 365.00 (92)
-160.59 resist2 -0.26 to -0.24 (10)
-159.93 afterhours 442.50 to 495.00 (95)
-159.58 vslice47 -0.30 to -0.29 (8)
-154.27 mov_ave100 -0.24 to -0.22 (7)
-153.79 slice3 -1.27 to -1.18 (4)
-151.20 afterhours_sta 11.70 to 20.71 (99)
-148.11 yeargain -71.97 to -66.88 (3)
-147.83 break_ave -25.31 to -23.18 (6)
-145.86 high-close 3.48 to 3.63 (86)
-145.52 open-yclose 1.63 to 1.82 (94)
-141.90 pair_dif -4.80 to -4.14 (2)
-141.30 pskew 45.33 to 76.92 (100)
-141.12 slice97 -10.16 to -2.29 (1)
-141.05 high_moment -0.17 to -0.14 (3)
-138.62 vstdev 11.11 to 11.30 (15)
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Date(ymd): 010223Average Gain: 7.82Group Stdev: 29.17Market Focus: 11.3+4.7(0.00000, 0.00000)Market Focus5: 0.7+1.0 one day from open to close | Top Gaining Groups427.80 afterhours -8327.50 to -575.00 (1)
142.76 afterhours -575.00 to -367.50 (2)
119.94 prcvd_risk 6.29 to 11.27 (24)
117.35 close-low 6.78 to 58.40 (25)
117.11 close-open 5.04 to 49.66 (25)
107.67 afterhours_sta -123.59 to -4.19 (1)
97.78 open_moment -52.63 to -5.99 (1)
96.72 inertia 110.00 to 233.00 (25)
95.62 afterhours_sta -4.19 to -2.12 (2)
92.33 afterhours -367.50 to -260.00 (3)
91.79 high_moment 0.09 to 0.12 (24)
88.52 gain1 5.35 to 77.78 (25)
88.21 volume3_10 0.75 to 2.07 (25)
80.24 markcap_est 0.58 to 19.86 (1)
77.49 momentum 17.26 to 21.71 (21)
76.43 open_moment -1.33 to -1.04 (7)
75.57 afterhours -260.00 to -197.50 (4)
75.00 volume1_3 -0.99 to -0.59 (1)
74.75 move_ave5 0.04 to 0.06 (24)
71.24 stdev 0.03 to 0.04 (23)
70.86 inertia 69.00 to 70.00 (11)
70.62 corr 0.70 to 0.71 (11)
70.31 high-close 0.00 to 0.00 (1)
68.71 mov_ave20 0.04 to 0.05 (20)
67.88 stock_ind 0.43 to 0.52 (20)
65.99 stock_ind 0.28 to 0.35 (18)
65.30 recent_price 9.25 to 10.81 (6)
64.43 pair_dif20 27.83 to 37.85 (24)
64.05 slice3 0.50 to 0.60 (21)
63.77 volume10_60 -1.00 to -0.53 (1)
| Losing Groups-204.59 afterhours 567.50 to 11200.00 (25)
-130.03 afterhours 365.00 to 567.50 (24)
-110.53 afterhours 260.00 to 365.00 (23)
-107.74 close-open -35.00 to -4.75 (1)
-98.46 pair_dif -10.00 to -3.41 (1)
-83.47 afterhours_sta 5.80 to 152.95 (25)
-78.36 prcvd_risk 11.27 to 302.09 (25)
-73.62 resist2 -0.29 to -0.20 (3)
-72.74 gain1 -47.95 to -4.90 (1)
-71.69 prd_lastyear -41.29 to -5.66 (1)
-71.11 break_ave -28.04 to -19.90 (2)
-70.69 high-close 6.62 to 64.25 (25)
-70.21 gain1 -3.45 to -2.65 (3)
-70.00 mov_ave100 -0.73 to -0.29 (1)
-69.03 slice3 -5.79 to -1.17 (1)
-68.66 3monthgain -35.73 to -25.81 (2)
-60.09 high_moment -1.08 to -0.13 (1)
-58.88 open_moment 1.47 to 1.84 (20)
-57.91 high-close 3.33 to 4.00 (22)
-56.41 vslice97 -0.16 to -0.12 (10)
-56.11 afterhours 0.00 to 7.50 (14)
-54.13 mov_ave20 -0.57 to -0.13 (1)
-53.59 open-yclose 1.47 to 2.34 (24)
-53.48 gain1 -0.83 to -0.61 (9)
-51.78 gain2 -3.45 to -2.60 (3)
-50.62 afterhours 152.50 to 197.50 (21)
-50.54 vstdev 14.85 to 15.37 (11)
-50.43 3monthgain -25.81 to -19.72 (3)
-50.01 pave 8.20 to 9.79 (22)
-48.81 volume3_10 -0.53 to -0.43 (2)
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Date(ymd): 010223Average Gain: 7.79Group Stdev: 21.50Market Focus: 9.0+5.7(0.00000, 0.00000)Market Focus5: 0.5+0.4 one day from open to close | Top Gaining Groups244.68 afterhours -8327.50 to -305.00 (1)
91.75 afterhours_sta -123.59 to -1.65 (1)
71.97 close-open 3.05 to 49.66 (10)
63.85 move_ave5 0.03 to 0.51 (10)
62.07 afterhours -305.00 to -150.00 (2)
60.20 momentum 17.26 to 32.07 (9)
59.84 close-low 4.54 to 58.40 (10)
59.53 open_moment -1.71 to -0.92 (3)
56.70 open_moment -52.63 to -3.31 (1)
54.72 high_moment 0.08 to 0.62 (10)
49.99 stock_ind 0.31 to 0.52 (8)
48.43 big_pslice 708.18 to 1152.63 (8)
48.22 ptotal -2.58 to -1.58 (2)
47.79 markcap_est 0.58 to 43.42 (1)
47.16 corr 0.70 to 0.72 (5)
46.80 volume3_10 0.46 to 2.07 (10)
46.55 high-close 0.00 to 0.11 (1)
46.37 gain1 0.97 to 1.73 (8)
45.06 volume10_60 0.50 to 4.74 (10)
43.68 vstdev 16.11 to 17.50 (6)
42.18 vslice3 0.26 to 1.02 (10)
40.02 3monthgain 31.84 to 888.92 (10)
39.54 pair_dif20 24.95 to 355.47 (10)
39.12 vave 1.87 to 3.48 (8)
38.98 gain1 3.17 to 77.78 (10)
38.52 resist3 0.09 to 0.16 (7)
38.34 pair_dif20 -2.36 to 1.56 (5)
36.09 volume1_3 -0.99 to -0.45 (1)
35.04 pskew 17.22 to 25.54 (9)
35.04 pair_dif -0.29 to 0.00 (5)
| Losing Groups-160.85 afterhours 305.00 to 11200.00 (10)
-54.72 afterhours 152.50 to 305.00 (9)
-53.61 3monthgain -78.52 to -22.55 (1)
-51.31 resist2 -0.87 to -0.24 (1)
-47.27 mov_ave100 -0.73 to -0.18 (1)
-45.77 mov_ave20 -0.57 to -0.08 (1)
-44.21 close-open -35.00 to -2.89 (1)
-40.89 open-yclose 1.22 to 61.85 (10)
-40.13 gain1 -2.97 to -1.68 (2)
-39.72 open_moment 3.52 to 33.44 (10)
-39.65 afterhours_sta 2.01 to 152.95 (10)
-39.22 high_moment -1.08 to -0.07 (1)
-33.47 break_ave -73.37 to -16.87 (1)
-33.26 high-close 4.39 to 64.25 (10)
-33.01 pair_dif -10.00 to -2.26 (1)
-28.91 vslice47 -1.11 to -0.27 (1)
-28.73 pskew 6.09 to 11.18 (7)
-28.53 slice3 -0.83 to -0.54 (2)
-27.94 high-close 2.87 to 4.39 (9)
-27.61 slice3 -5.79 to -0.83 (1)
-26.74 resist3 -0.25 to -0.11 (2)
-26.06 gain1 -47.95 to -2.97 (1)
-24.38 momentum -99.79 to -30.25 (1)
-22.41 volume1_3 -0.21 to -0.12 (4)
-22.40 big_pslice -19663.11 to -1860.33 (1)
-21.78 markcap_est 67469.55 to 23858984.00 (10)
-21.61 vslice97 -0.36 to -0.22 (3)
-21.50 close-open -2.89 to -1.63 (2)
-21.48 big_vslice -175019.44 to -62888.23 (1)
-21.40 vkurt 2.18 to 2.29 (4)
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Date(ymd): 010223Average Gain: 7.78Group Stdev: 17.08Market Focus: 6.7+5.0(0.00000, 0.00000)Market Focus5: 0.1+0.4 one day from open to close | Top Gaining Groups152.46 afterhours -8327.50 to -150.00 (1)
58.80 afterhours_sta -123.59 to -0.70 (1)
42.53 close-open 1.67 to 49.66 (5)
41.82 high_moment 0.05 to 0.62 (5)
39.47 momentum 17.26 to 598.88 (5)
38.07 open_moment -52.63 to -1.71 (1)
37.36 close-low 3.04 to 58.40 (5)
35.99 ptotal -13.96 to -1.58 (1)
35.83 markcap_est 0.58 to 97.38 (1)
35.26 volume3_10 0.25 to 2.07 (5)
34.43 open_moment -1.71 to -0.40 (2)
33.62 high-close 0.00 to 0.35 (1)
32.90 volume10_60 0.26 to 4.74 (5)
32.61 stock_ind 0.15 to 0.52 (4)
31.37 move_ave5 0.02 to 0.51 (5)
31.32 pair_dif -0.29 to 0.38 (3)
30.71 mov_ave20 0.02 to 0.05 (4)
30.36 big_pslice 337.44 to 1152.63 (4)
29.66 3monthgain 18.83 to 888.92 (5)
28.87 open-yclose -50.17 to -0.60 (1)
27.70 corr 0.70 to 0.74 (3)
26.67 gain1 1.73 to 77.78 (5)
25.68 break_ave 12.06 to 179.86 (5)
24.87 leadership 3.50 to 31.20 (5)
24.50 close-open 0.42 to 1.67 (4)
24.21 prd_max 0.07 to 0.85 (5)
23.44 gain1 0.43 to 1.73 (4)
23.43 corr_f 0.56 to 0.59 (3)
23.43 pkurt 2.96 to 3.06 (4)
23.33 slice3 0.50 to 5.57 (5)
| Losing Groups-107.52 afterhours 152.50 to 11200.00 (5)
-33.09 gain1 -47.95 to -1.68 (1)
-32.85 close-open -35.00 to -1.63 (1)
-30.47 high-close 2.87 to 64.25 (5)
-27.67 slice3 -5.79 to -0.54 (1)
-26.72 3monthgain -78.52 to -12.20 (1)
-24.89 afterhours_sta 0.70 to 152.95 (5)
-21.22 mov_ave20 -0.57 to -0.04 (1)
-18.42 open_moment 1.84 to 33.43 (5)
-18.15 vskew 24.96 to 117.95 (5)
-17.71 vslice47 -1.11 to -0.21 (1)
-17.26 big_vslice -175019.44 to -47010.48 (1)
-16.83 stock_ind -5822.04 to -0.57 (1)
-16.73 vslice97 -0.36 to -0.12 (2)
-16.24 resist3 -0.91 to -0.11 (1)
-15.33 afterhours -20.00 to 22.50 (3)
-14.92 momentum -17.57 to -5.07 (2)
-14.49 vslice3 -0.19 to -0.01 (2)
-12.52 break_ave -73.37 to -8.68 (1)
-12.20 high_moment -1.08 to -0.04 (1)
-11.33 high_moment -0.04 to -0.01 (2)
-11.25 markcap_est 5551.64 to 23858984.00 (5)
-11.02 vstdev 17.50 to 21.00 (4)
-11.01 big_pslice -19663.11 to -1151.67 (1)
-10.73 close-open -1.63 to -0.40 (2)
-10.28 prd_max -0.60 to -0.06 (1)
-10.16 move_ave5 -0.02 to 0.00 (2)
-9.68 resist2 -0.87 to -0.11 (1)
-9.53 pair_dif20 -548.81 to -13.99 (1)
-9.28 mov_ave100 -0.73 to -0.09 (1)
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