Research Summary for Week of 2/4 – 2/8/13

Below is a summary of the research discussed over the last week. 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 2pm EST.

 

In the 2/4/13 Overnight Overview I looked at overnight performance during February since 2008.

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The numbers looked fairly bearish, with the average night losing over 1 S&P point. I also looked at the profit curve.

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I noted that last year was basically breakeven, but 2008 – 2011 all saw tough times during February. Traders may want to keep this in mind and use a little extra caution when considering overnight long positions this month.

 

On Tuesday I looked at a pattern of unfilled gap that had the potential to trigger.

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The number of instances was low, but the results appeared lopsided enough that traders may want to keep this setup in mind. As it turned out the setup did not trigger at the close on Tuesday.

 

On Wednesday I shared some research that combined unfilled gaps with day-of-week seasonality. I found that Wednesday had provided the most overnight gains of any day following unfilled gaps down. Below are the numbers.

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The numbers here all suggest a solid upside edge. I also examined the profit curve.

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The profit curve was very impressive, as it has moved steadily from lower left to upper right. The gap ended up filling on Wednesday, so this did not trigger. But it certainly seems worth keeping in mind in the future.

 

On Thursday I looked at overnight performance following outside days that close down while in long-term uptrends.

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I commented that the numbers suggested a moderate upside edge. I also looked at the profit curve.

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While choppy the curve works its way higher in a persistent manner. I noted that this could act as a nice confirming study if other evidence also pointed higher. These results do NOT include Thursday night’s action. Thursday night DID act according to historical norms and ES gapped up 2.75 points.

 

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