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Below we offer tables that show the best risk-adjusted predictors of open to close behavior of stocks from Feb of 2001 to June of 2005.

Do not look at the figures in red as estimates of gains and losses.  As always with our risk-adjusted tables, we divide gains and losses by the volatility of the stocks in question.  Thus a non-volatile stock with a nice gain is "better" than a volatile stock with the same nice gain.

It might seem that the concept of "risk-adjustment" wouldn't apply to day-trading strategies.  We wouldn't make that assumption.

You won't see many surprises in the tables below by comparing them to our non-risk-adjusted tables.  One small oddity...an industry group (banks) appears as a group that has fared well in regular trading hours over the last 4.5 years.

Date(ymd): 010223
Average Gain: 7.46
Group Stdev: 30.49
Market Focus: 4.9+1.9
(0.00000, 0.00000)
Market Focus5: 3.1+1.2

one day from open to close

Top Gaining Groups
291.20 resist2 0.05 to 0.10 (6)+ afterhours -8327.50 to -305.00 (1)
244.27 resist3 0.09 to 0.16 (7)+ afterhours -8327.50 to -305.00 (1)
243.31 momentum 4.03 to 9.53 (7)+ afterhours -8327.50 to -305.00 (1)
241.82 mov_ave100 0.08 to 0.13 (8)+ afterhours -8327.50 to -305.00 (1)
237.05 3monthgain -1.09 to 2.93 (5)+ afterhours -8327.50 to -305.00 (1)
229.08 gain4 -0.40 to 0.00 (5)+ afterhours -8327.50 to -305.00 (1)
228.54 pave 10.66 to 31.59 (10)+ afterhours -8327.50 to -305.00 (1)
227.98 vskew 15.76 to 24.96 (8)+ afterhours -8327.50 to -305.00 (1)
227.72 prd_lastyear 1.11 to 2.02 (8)+ afterhours -8327.50 to -305.00 (1)
225.99 pskew 17.22 to 25.54 (9)+ afterhours -8327.50 to -305.00 (1)
225.84 leadership -6.20 to -3.70 (2)+ afterhours -8327.50 to -305.00 (1)
225.76 open_moment -1.71 to -0.92 (3)+ afterhours -8327.50 to -305.00 (1)
222.04 vstdev 4.44 to 10.32 (1)+ afterhours -8327.50 to -305.00 (1)
219.36 volume3_10 0.46 to 2.07 (10)+ afterhours -8327.50 to -305.00 (1)
217.24 resist1 0.02 to 0.06 (5)+ afterhours -8327.50 to -305.00 (1)
210.22 mov_ave100 -0.01 to 0.02 (5)+ afterhours -8327.50 to -305.00 (1)
208.47 resist1 0.19 to 0.31 (8)+ afterhours -8327.50 to -305.00 (1)
202.68 break_ave -0.67 to 2.14 (5)+ afterhours -8327.50 to -305.00 (1)
202.25 stock_ind 0.52 to 0.95 (9)+ afterhours -8327.50 to -305.00 (1)
201.08 volume1_3 0.49 to 1.93 (10)+ afterhours -8327.50 to -305.00 (1)
200.78 vslice47 0.19 to 0.36 (9)+ afterhours -8327.50 to -305.00 (1)
199.82 slice3 -0.54 to -0.34 (3)+ afterhours -8327.50 to -305.00 (1)
198.51 corr 0.64 to 0.67 (3)+ afterhours -8327.50 to -305.00 (1)
197.54 resist2 -0.03 to 0.01 (4)+ afterhours -8327.50 to -305.00 (1)
195.98 vslice97 0.35 to 0.54 (9)+ afterhours -8327.50 to -305.00 (1)
195.95 vslice3 0.10 to 0.15 (7)+ afterhours -8327.50 to -305.00 (1)
195.63 big_vslice 53083.46 to 86395.12 (9)+ afterhours -8327.50 to -305.00 (1)
195.62 volume10_60 0.50 to 4.74 (10)+ afterhours -8327.50 to -305.00 (1)
193.81 pave -11.72 to -7.83 (2)+ afterhours -8327.50 to -305.00 (1)
193.49 momentum 17.26 to 32.07 (9)+ afterhours -8327.50 to -305.00 (1)
Losing Groups
-180.25 mov_ave100 -0.04 to -0.01 (4)+ afterhours 305.00 to 11200.00 (10)
-174.42 vstdev 4.44 to 10.32 (1)+ afterhours 305.00 to 11200.00 (10)
-171.55 vslice3 0.10 to 0.15 (7)+ afterhours 305.00 to 11200.00 (10)
-167.59 close-low 2.24 to 3.04 (8)+ afterhours 305.00 to 11200.00 (10)
-157.91 vslice47 -0.27 to -0.21 (2)+ afterhours 305.00 to 11200.00 (10)
-157.29 pair_dif20 15.66 to 24.95 (9)+ afterhours 305.00 to 11200.00 (10)
-154.42 3monthgain -5.94 to -1.09 (4)+ afterhours 305.00 to 11200.00 (10)
-153.43 stock_ind -5822.04 to -1.18 (1)+ afterhours 305.00 to 11200.00 (10)
-153.10 gain3 -1.68 to -0.96 (3)+ afterhours 305.00 to 11200.00 (10)
-152.25 close-open 1.67 to 3.05 (9)+ afterhours 305.00 to 11200.00 (10)
-151.97 prd_max 0.02 to 0.04 (7)+ afterhours 305.00 to 11200.00 (10)
-148.68 ptotal -0.49 to -0.05 (5)+ afterhours 305.00 to 11200.00 (10)
-146.45 resist2 0.17 to 0.29 (8)+ afterhours 305.00 to 11200.00 (10)
-145.42 mov_ave20 -0.02 to -0.01 (4)+ afterhours 305.00 to 11200.00 (10)
-145.33 big_vslice -175019.44 to -62888.23 (1)+ afterhours 305.00 to 11200.00 (10)
-145.08 leadership 1.00 to 2.00 (7)+ afterhours 305.00 to 11200.00 (10)
-144.46 slice47 -0.29 to -0.13 (4)+ afterhours 305.00 to 11200.00 (10)
-144.38 inertia 58.00 to 63.00 (2)+ afterhours 305.00 to 11200.00 (10)
-144.17 slice97 -1.07 to -0.68 (2)+ afterhours 305.00 to 11200.00 (10)
-143.62 resist3 0.16 to 0.26 (8)+ afterhours 305.00 to 11200.00 (10)
-142.70 gain4 0.45 to 1.00 (7)+ afterhours 305.00 to 11200.00 (10)
-141.66 vslice3 -0.08 to -0.01 (4)+ afterhours 305.00 to 11200.00 (10)
-140.63 mov_ave100 -0.01 to 0.02 (5)+ afterhours 152.50 to 305.00 (9)
-139.60 prd_lastyear 0.00 to 0.50 (6)+ afterhours 305.00 to 11200.00 (10)
-139.19 close-low 1.29 to 1.69 (6)+ afterhours 305.00 to 11200.00 (10)
-138.83 prd_3yrs 0.99 to 1.01 (6)+ afterhours 305.00 to 11200.00 (10)
-138.54 slice97 0.42 to 0.68 (8)+ afterhours 305.00 to 11200.00 (10)
-138.47 pstdev 17.41 to 17.69 (7)+ afterhours 305.00 to 11200.00 (10)
-138.44 high_moment -0.02 to -0.01 (4)+ afterhours 305.00 to 11200.00 (10)
-138.36 leadership 5.70 to 31.20 (10)+ afterhours 305.00 to 11200.00 (10)
Date(ymd): 010223
Average Gain: 7.39
Group Stdev: 29.45
Revised h/l prob: 0.0, 2.35
Market Focus: 4.8+0.3
(0.00000, 21.72)
Market Focus5: 1.0+-0.4

one day from open to close

Top Gaining Groups
257.35 afterhours -8327.50 to -1122.50 (1)
250.62 afterhours -1122.50 to -807.50 (2)
159.93 afterhours -662.50 to -575.00 (4)
146.17 afterhours -807.50 to -662.50 (3)
145.07 afterhours -502.50 to -450.00 (6)
122.40 pskew -4.88 to -4.44 (37)
111.48 gain1 -0.32 to -0.28 (43)
104.97 resist2 0.77 to 0.87 (95)
104.73 pave -11.72 to -11.21 (11)
104.39 afterhours -242.50 to -225.00 (14)
101.97 vslice3 -0.56 to -0.52 (4)
100.69 move_ave5 0.10 to 0.51 (100)
100.51 slice3 0.71 to 0.75 (89)
99.85 close-open 8.54 to 49.66 (100)
99.64 resist1 0.08 to 0.08 (54)
97.16 pair_dif20 0.00 to 0.30 (47)
97.15 gain2 -1.83 to -1.73 (19)
95.27 open-yclose 0.58 to 0.62 (80)
95.22 resist1 0.05 to 0.06 (49)
93.80 close-low 11.11 to 58.40 (100)
92.45 resist2 0.02 to 0.02 (43)
90.69 open_moment -8.31 to -6.89 (3)
90.25 industry 91.54 to 91.72 (88)
90.25 vslice47 -0.25 to -0.24 (14)
90.07 prd_lastyear -0.64 to -0.58 (38)
89.84 recent_std 0.01 to 0.01 (20)
88.72 big_vslice -555.88 to 564.35 (55)
87.31 afterhours_sta -7.42 to -5.41 (3)
87.17 afterhours_sta -123.59 to -12.12 (1)
86.14 momentum -2.22 to -1.79 (47)
Losing Groups
-112.82 afterhours 442.50 to 495.00 (95)
-108.26 afterhours 1132.50 to 11200.00 (100)
-95.66 afterhours 495.00 to 567.50 (96)
-94.05 gain2 -1.32 to -1.25 (25)
-93.06 afterhours 667.50 to 817.50 (98)
-91.43 close-open -35.00 to -8.35 (1)
-90.72 afterhours 332.50 to 365.00 (92)
-90.31 afterhours 225.00 to 242.50 (87)
-89.52 vslice47 0.08 to 0.09 (71)
-88.58 stdev 0.01 to 0.01 (39)
-79.90 pkurt 2.97 to 2.97 (62)
-79.77 prcvd_risk 5.66 to 6.29 (92)
-79.08 3monthgain -30.16 to -27.78 (7)
-78.78 slice97 -10.16 to -2.29 (1)
-78.30 big_pslice -1860.33 to -1769.55 (11)
-78.25 afterhours 817.50 to 1132.50 (99)
-78.24 afterhours 567.50 to 667.50 (97)
-75.75 close-open -1.38 to -1.31 (24)
-74.88 gain1 -47.95 to -8.62 (1)
-74.52 resist1 -0.02 to -0.02 (29)
-74.00 big_vslice -48374.76 to -47010.48 (20)
-73.75 afterhours 0.00 to 7.50 (56)
-73.35 afterhours -60.00 to -55.00 (34)
-73.18 afterhours 305.00 to 332.50 (91)
-72.69 pair_dif -4.80 to -4.14 (2)
-72.62 prd_lastyear -9.72 to -7.51 (2)
-72.34 pair_dif -10.00 to -4.80 (1)
-71.11 big_pslice -19663.11 to -4131.46 (1)
-70.00 gain2 0.70 to 0.75 (66)
-69.66 vslice3 -0.18 to -0.17 (22)
Date(ymd): 010223
Average Gain: 7.40
Group Stdev: 16.50
Market Focus: 9.2+3.2
(0.00000, 0.00000)
Market Focus5: 0.5+0.2

one day from open to close

Top Gaining Groups
204.01 afterhours -8327.50 to -575.00 (1)
92.75 afterhours -575.00 to -367.50 (2)
71.08 afterhours -367.50 to -260.00 (3)
65.73 afterhours -260.00 to -197.50 (4)
60.79 mov_ave20 0.04 to 0.05 (20)
56.77 afterhours_sta -123.59 to -4.19 (1)
51.95 afterhours_sta -4.19 to -2.12 (2)
50.31 close-low 6.79 to 58.40 (25)
49.39 volume3_10 0.75 to 2.07 (25)
47.48 markcap_est 0.58 to 19.86 (1)
47.31 high_moment 0.09 to 0.12 (24)
47.01 pkurt 3.00 to 3.02 (18)
46.72 close-open 5.04 to 49.66 (25)
46.68 ptotal -1.90 to -1.58 (5)
46.60 close-low 0.00 to 0.00 (1)
45.64 volume1_3 -0.99 to -0.59 (1)
45.63 stock_ind 0.43 to 0.52 (20)
45.17 open_moment -52.63 to -5.99 (1)
44.93 open_moment -1.33 to -1.04 (7)
42.84 inertia 69.00 to 70.00 (11)
42.39 recent_price 9.25 to 10.81 (6)
42.25 vkurt 2.43 to 2.48 (14)
41.24 resist3 0.12 to 0.15 (17)
41.20 vslice3 0.25 to 0.28 (23)
40.98 stock_ind 0.28 to 0.35 (18)
39.80 industry 91.72 to 93.78 (23)
39.27 momentum 17.26 to 21.71 (21)
39.20 ptotal -2.31 to -1.90 (4)
39.16 vslice3 -1.22 to -0.52 (1)
39.05 stock_ind 0.52 to 0.64 (21)
Losing Groups
-89.48 afterhours 567.50 to 11200.00 (25)
-83.59 afterhours 365.00 to 567.50 (24)
-70.77 afterhours 260.00 to 365.00 (23)
-43.07 afterhours 197.50 to 260.00 (22)
-40.40 gain1 -3.45 to -2.65 (3)
-38.03 pair_dif -10.00 to -3.41 (1)
-36.93 gain2 -1.32 to -1.05 (7)
-36.63 afterhours 152.50 to 197.50 (21)
-35.72 pskew 6.09 to 8.08 (16)
-33.92 pair_dif 2.11 to 2.65 (23)
-31.54 gain1 -0.83 to -0.61 (9)
-29.78 vslice3 0.22 to 0.25 (22)
-29.22 momentum -1.33 to 0.48 (13)
-29.04 resist1 -0.02 to 0.00 (8)
-28.45 prd_lastyear -41.29 to -5.66 (1)
-28.42 3monthgain -35.73 to -25.81 (2)
-28.41 open_moment 1.47 to 1.84 (20)
-28.37 slice97 -10.16 to -1.56 (1)
-28.28 vskew 29.32 to 34.48 (22)
-27.96 close-open -1.63 to -1.31 (6)
-27.82 vstdev 19.42 to 20.17 (19)
-27.70 close-open -35.00 to -4.75 (1)
-26.70 pair_dif20 -6.19 to -4.12 (9)
-25.52 pkurt 2.93 to 2.95 (14)
-24.89 prd_max -0.09 to -0.07 (4)
-24.79 1monthgain -3.38 to -2.28 (9)
-24.52 corr_f 0.52 to 0.52 (6)
-24.43 close-low 1.89 to 2.12 (17)
-24.35 yeargain -17.36 to -12.20 (7)
-24.25 afterhours -65.00 to -42.50 (9)
Date(ymd): 010223
Average Gain: 7.38
Group Stdev: 12.26
Market Focus: 8.3+5.6
(0.00000, 0.00000)
Market Focus5: 0.3+0.0

one day from open to close

Top Gaining Groups
134.44 afterhours -8327.50 to -305.00 (1)
53.46 afterhours -305.00 to -150.00 (2)
50.94 afterhours_sta -123.59 to -1.65 (1)
39.39 open_moment -1.71 to -0.92 (3)
37.44 ptotal -2.58 to -1.58 (2)
34.66 close-open 3.05 to 49.66 (10)
33.86 big_pslice 708.18 to 1152.63 (8)
32.99 stock_ind 0.31 to 0.52 (8)
31.80 resist3 0.09 to 0.16 (7)
30.59 open_moment -52.63 to -3.31 (1)
30.47 high_moment 0.08 to 0.62 (10)
29.79 recent_price 9.25 to 13.11 (3)
29.32 move_ave5 0.03 to 0.51 (10)
29.23 momentum 17.26 to 32.07 (9)
28.66 pair_dif20 -2.36 to 1.56 (5)
28.61 pkurt 3.01 to 3.06 (8)
28.45 high-close 0.00 to 0.11 (1)
28.07 pair_dif 0.00 to 0.38 (6)
27.96 volume3_10 0.46 to 2.07 (10)
27.92 markcap_est 0.58 to 43.42 (1)
27.88 recent_std 0.01 to 0.01 (2)
26.59 yeargain 8.86 to 17.97 (6)
25.31 gain1 0.97 to 1.73 (8)
25.26 close-open 0.94 to 1.67 (8)
24.63 vstock_ind -1.71 to -0.30 (5)
24.52 vslice3 0.26 to 1.02 (10)
24.18 vstdev 16.11 to 17.50 (6)
24.16 close-low 4.54 to 58.40 (10)
23.80 high_moment 0.03 to 0.05 (8)
23.54 leadership 5.70 to 31.20 (10)
Losing Groups
-85.66 afterhours 305.00 to 11200.00 (10)
-43.58 afterhours 152.50 to 305.00 (9)
-20.01 open-yclose 1.22 to 61.85 (10)
-19.25 pskew 6.09 to 11.18 (7)
-17.20 resist2 -0.87 to -0.24 (1)
-17.00 high_moment -1.08 to -0.07 (1)
-16.90 mov_ave20 -0.57 to -0.08 (1)
-16.67 3monthgain -78.52 to -22.55 (1)
-15.11 stock_ind -5822.04 to -1.18 (1)
-14.99 gain1 -2.97 to -1.68 (2)
-14.22 open_moment 3.53 to 33.43 (10)
-13.62 vslice47 -1.11 to -0.27 (1)
-13.57 big_pslice -19663.11 to -1860.33 (1)
-13.57 volume1_3 -0.21 to -0.12 (4)
-13.47 mov_ave100 -0.73 to -0.18 (1)
-13.36 slice97 -10.16 to -1.07 (1)
-13.08 prd_max -0.10 to -0.06 (2)
-11.70 afterhours_sta 2.01 to 152.95 (10)
-11.59 markcap_est 67469.55 to 23858984.00 (10)
-10.48 resist3 -0.25 to -0.11 (2)
-10.33 close-open -2.89 to -1.63 (2)
-10.16 corr_f 0.52 to 0.54 (3)
-10.14 open_moment 1.03 to 1.84 (8)
-10.11 3monthgain -5.94 to -1.09 (4)
-9.98 close-open -35.00 to -2.89 (1)
-9.89 pair_dif20 -13.99 to -7.32 (3)
-9.61 stock_ind -1.18 to -0.57 (2)
-9.25 high-close 4.39 to 64.25 (10)
-9.23 slice3 -0.83 to -0.54 (2)
-9.13 prd_3yrs -1.00 to 0.93 (2)
Date(ymd): 010223
Average Gain: 7.38
Group Stdev: 9.99
Market Focus: 6.8+5.5
(0.00000, 0.00000)
Market Focus5: 0.0+-0.1

one day from open to close

Top Gaining Groups
93.55 afterhours -8327.50 to -150.00 (1)
34.24 afterhours_sta -123.59 to -0.70 (1)
26.52 open_moment -52.63 to -1.71 (1)
25.81 open_moment -1.71 to -0.40 (2)
25.55 ptotal -13.96 to -1.58 (1)
25.19 markcap_est 0.58 to 97.38 (1)
25.18 stock_ind 0.15 to 0.52 (4)
23.30 high-close 0.00 to 0.35 (1)
22.20 stdev 0.00 to 0.01 (1)
21.33 big_pslice 337.44 to 1152.63 (4)
21.30 recent_std 0.00 to 0.01 (1)
20.97 high_moment 0.05 to 0.62 (5)
20.50 volume3_10 0.25 to 2.07 (5)
20.46 open-yclose -50.17 to -0.60 (1)
20.32 yeargain -0.21 to 17.97 (3)
19.54 3monthgain 7.16 to 18.83 (4)
19.53 pkurt 2.96 to 3.06 (4)
19.45 vslice47 -0.11 to -0.01 (3)
19.31 pair_dif -0.29 to 0.38 (3)
19.07 momentum 17.26 to 598.88 (5)
18.84 volume10_60 0.26 to 4.74 (5)
18.83 mov_ave20 0.02 to 0.05 (4)
18.55 leadership 3.50 to 31.20 (5)
18.50 industry 86.46 to 101.99 (5)
18.37 pair_dif20 -2.36 to 5.64 (3)
17.92 close-open 0.42 to 1.67 (4)
17.66 resist1 0.12 to 0.31 (4)
17.56 1monthgain 3.32 to 9.61 (4)
17.49 recent_price 9.25 to 16.77 (2)
17.40 close-open 1.67 to 49.66 (5)
Losing Groups
-64.52 afterhours 152.50 to 11200.00 (5)
-12.37 stock_ind -5822.04 to -0.57 (1)
-10.16 close-open -35.00 to -1.63 (1)
-8.72 open_moment 1.84 to 33.43 (5)
-8.66 high-close 2.87 to 64.25 (5)
-8.16 afterhours_sta 0.70 to 152.95 (5)
-7.73 3monthgain -78.52 to -12.20 (1)
-7.27 vskew 24.96 to 117.95 (5)
-7.02 pair_dif20 -13.99 to -2.36 (2)
-6.79 slice3 -5.79 to -0.54 (1)
-6.74 vslice47 -1.11 to -0.21 (1)
-6.51 vslice97 -0.36 to -0.12 (2)
-6.47 gain1 -47.95 to -1.68 (1)
-6.33 prd_max -0.60 to -0.06 (1)
-6.26 mov_ave20 -0.57 to -0.04 (1)
-6.13 afterhours -20.00 to 22.50 (3)
-6.09 big_vslice -175019.44 to -47010.48 (1)
-5.74 high_moment -0.04 to -0.01 (2)
-5.37 markcap_est 5551.64 to 23858984.00 (5)
-5.01 momentum -17.57 to -5.07 (2)
-4.73 vslice3 -0.19 to -0.01 (2)
-4.27 recent_price 35.78 to 1124.00 (5)
-4.13 open_moment -0.40 to 0.49 (3)
-3.99 resist3 -0.91 to -0.11 (1)
-3.96 corr_f 0.52 to 0.56 (2)
-3.88 1monthgain -7.67 to -1.26 (2)
-3.61 vstdev 17.50 to 21.00 (4)
-3.39 pave -2.61 to 1.83 (3)
-3.15 vkurt 2.07 to 2.29 (2)
-2.98 big_pslice -19663.11 to -1151.67 (1)

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