GS’s Bull by Night, Bear by Day
In case you missed it, a Bloomberg article (hat tip Carlos) discussing a Goldman Sachs study that shows the overnight market (close-to-open) has historically been far more bullish than the daytime market (open-to-close).
We covered this same issue back in July of last year (minus the fan fare).
I’ll add another wrinkle that I haven’t heard anyone focus on – yes, the overnight has been more bullish and daytime more bearish, but playing each correctly largely depends on the broader trend of the market. Bullish markets tend to play out in the overnight, while bearish markets tend to play out in the daytime. Our previous study (which is due for an update) should make that more clear.
Happy Trading,
ms
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Filed under: Stock Market Mechanics | 5 Comments
Absolutely correct. I touched on something similar in this seekingalpha article….
http://seekingalpha.com/article/126154-long-s-p-500-overnight-is-not-an-advisable-strategy-in-bear-markets
RE to rcm: excellent, excellent work Raymond taking the next step of turning this concept into a more intelligent trading strategy. I’ve added it to my to do list to come back and do a review of your post on this blog. Thanks for the link. michael
My pleasure. Looking forward to it.
Could you factor in (or out) the last 30 minutes of trading? I recall a lot of the selloff arriving late in the day during some of the deepest market moves of October/November 08. Put another way, Bear markets can be either positive or negative in the first half of the day, but consistently (and by a greater degree of standard deviation) negative at end of day. Whereas, Bull markets are most often only bullish during the first part of the day owing to the overnight gap, but if they do finish higher, probably only marginally higher than the open.
RE to tk: the vast majority of what I do daily rather than intraday, but this type of look is definitely on my to-do list. michael