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Using statistics to map the trading day

This will be a very quick blog, as I’m just typing a few thoughts here in the first few minutes of what might be a volatile trading day.

This morning, I noticed an extreme negative NYSE TICK reading on the open, and ran some quick stats.

  • The low of today’s TICK in the first minute of the trading day was -1309. Quick stats on 1 minute TICK bars back to 1997 (2.2 million observations… so you can’t do this kind of work in Excel!) show an average of -37 for the first minute with a stdev of 446. Percentiles break out at 25% = -177, 10% = -532 5% = -885 and 1% = -1318. So we are very close to the 1st percentile.
  • Looking at all days this extreme or lower, (only 44 trading days), we find they close up from the previous close only 18% of the time. This is not surprising since we can expect these large negative TICK readings are driven by gaps down… unlikely to recover those completely… however…
  • Only 34% of the days closed up from the open! That is a significant number and probably an edge for today. Average loss from the open was -0.41% to close, but that’s deceptive… stdev is 1.24, so there have been a wide range of volatile outcomes.
  • If you’re wondering (and I hope you were), all days closed up from the open 53% of the time, with an average gain of 0.02% and a stdev of 1.15%.

Just some stats to think about as the day unfolds…

AdamHGrimes

Adam Grimes has over two decades of experience in the industry as a trader, analyst and system developer. The author of a best-selling trading book, he has traded for his own account, for a top prop firm, and spent several years at the New York Mercantile Exchange. He focuses on the intersection of quantitative analysis and discretionary trading, and has a talent for teaching and helping traders find their own way in the market.