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Jason Roney's Main Points

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Jason Roney
Statistically Speaking

  • Since SP futures were introduced in 1982, the number of up days has been virtually the same as the number of down days. This creates an even playing field for traders in the short term, so to remain profitable, the key is to objectively analyze each day's direction.
  • Statistical analysis of Gap Days
    • When the SP gaps at least 0.5% from the prior day's close
      • 75% of the time, the SP retraces at least 0.25%
      • 77% of the time, the SP closes in the direction of the gap
      • More than 50% of the time, the SP remains positive throughout the day
    • When the SP gaps -0.5% or lower from the prior day's close
      • 75% of the time, the SP retraces at least 0.3%, and lower opens tend to retrace more of the gap than higher opens
      • 75% of the time, the SP closes in the direction of the gap
      • More than 50% of the time, the SP remains negative throughout the day
    • The importance of the first hour
      • Gap up 0.75%
        • When the low of the day is made inside the first hour, there is a 72% chance of closing up for the day
        • When a new high is made after the first hour, there is a 98% chance of a higher close, and a 77% chance of closing up for the day
      • Gap down 0.75%
        • When the high of the day is made inside the first hour and a half, there is a 70% chance of closing down for the day
        • When a new low is made after the first hour, there is a 97% chance of a lower close, and a 75% chance of closing down for the day
    • It is surprising to note that, since 1982, the SP gapped higher by 0.5% or more 9.3% of the time, and lower by 0.5% or less 8.4% of the time. That's nearly 1 in 5 days!
    • Gaps are also correlated to the VIX, as increases in volatility levels increase the chances of a gap day
  • Trend Days
    • A "Down" Trend Day is one where the daily high is made within the first hour, and the close is at least 1% lower than the previous day's close
    • An "Up" Trend Day is one where the daily low is made within the first hour, and the close is at least 1% higher than the prior day's close
    • Since September 1987, 1 in 8 days were Trend Days (for SP futures), so it is very important to learn to recognize and anticipate these patterns
  • Range Days
    • During the first half of 2004 (when the market was directionless), the importance of buying strength and selling weakness was underscored
    • Nearly 1/3 of all days from January '04 to June '04 produced a mixed close across key sectors / stocks
  • Election Days
    • The SPX gained ground 8 of the last 10 days prior to an election
    • The SPX lost ground 7 of the last 10 days after an election
    • Since 1984, the SPX closed higher on Election Day in '84, '88, and '96, and closed lower in '92 and '00.
    • The Dow Jones made a new yearly low in August. The only other time that happened in an election year was in 1920, and in that year the Dow declined by more than 10% in November. This was the worst November in election year history.
No positions in stocks mentioned.

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