Below is a summary of the research discussed over the last 2 weeks. All stats are updated to present day. The research is designed to prepare traders for the upcoming overnight session. I feature research several times per week in the Overnight Overview. The Overview can be seen on the blog. Traders may elect to subscribe to the blog updates by email. Blog update emails are typically sent at 1pm EST.
In the 1/22 Overnight Overview I looked at overnight performance following 200-day highs during the month of January since 2000.
I noted that the numbers suggested a possible downside edge. I also examined the profit curve.
I noted that the curve told the same story as the numbers and that traders may want to be wary of taking long overnight trades at long-term highs during the month of January.
On Thursday the 24th I looked at nights following times where ES closed above its 200-day moving average and posted a 2-day RSI of greater than 99.
The numbers were obviously slanted in favor of the bears. I also examined the profit curve.
While choppy I felt there was no doubt the trend here was down and that it would raise a caution flag in going long overnight.
On Tuesday 1/29/13 I shared some research related to overnight performance going into Fed Days. I first showed results for times ES closed below a 20-day high going into a Fed Day.
The numbers here all suggests a solid upside edge. But what of those times when the market was closing at a 20-day high prior to the Fed Day?
Under these circumstances the upside edge no longer seems apparent.
On the 30th I looked at overnight performance following times where ES had closed up at least 8 days in a row.
The instances are low, but the numbers looked bearish. I also showed all the individual occurrences.
Nothing here alarmed me. While instances were low, the negative results seemed to confirm other overbought bearish studies I’d recently shown, so it seemed worth taking this study under consideration.
On the 31st I noted that Friday was not only the 1st day of a new month but also a day when the employment report was due to be released. I looked at other times this combo had occurred.
There have not been a whole lot of instances, so I also listed them all individually.
I stated that the employment report always adds an extra element of risk so it was not surprising to see that a few of the instances underwent fairly large overnight moves. Overall the combination seemed to suggest an upside edge, but with a fair amount of risk. Both direction and volatility played out Friday morning as a positive report helped ES to open up about 9.5 points.
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