# Buy at 4pm and sell at 4:30pm strategy



## skc (17 November 2008)

I have done some quick numbers on what happens to the SPI (taken from IG Market's ASX200 equivalent which tracks the SPI point for point) between 4pm and 4:30pm. Here are the stats over Sept and Oct:

Total no. of trading days = 45
Total points change for XJO = -1117.6
Total points change btw 4-4:30 = *+351.5*
Average points change btw 4-4:30 = 7.8 points
Max / min points change btw 4-4:30 = +64 / 55.5 points

I would love to hear from experience traders their thoughts / opinion on these:

1. What can explain the large positive points change between 4 to 4:30? Esp considering how bearish the market has been in Sept and Oct.
2. Can / will you trade on these statistics? 

Thanks


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## chops_a_must (17 November 2008)

It's something that I have traded fairly often when on the futures.

Basically, the "theory" is that the end of day trades are often trading counter to the prevailing trend as people close out their positions.

Therefore, most down days of late resulting in people buying back into the futures end of day.

Haven't traded it lately, so couldn't tell you.


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## barney (17 November 2008)

skc said:


> I have done some quick numbers on what happens to the SPI (taken from IG Market's ASX200 equivalent which tracks the SPI point for point) between 4pm and 4:30pm. Here are the stats over Sept and Oct:
> 
> Total no. of trading days = 45
> Total points change for XJO = -1117.6
> ...




I'm not, and don't profess  to be an "experienced" trader (although I've lost a crapload in the past doing dumb things ...lol ...) ........... but, I would say that, what you are describing amounts to "divergance" .......... Possibly the best indicator to a change of trend other than insider knowledge, (from my limited experience)  ........... The time frame and range (volatility of price) that the divergance is "working on" (and the depth of your pockets!!) is the key to how you "invest" on it ........... if that makes any sense !!?? 
PS (Those who have lost a lot of cash and studied the markets may appreciate what I am saying .............. those that have not will simply dismiss my comments .............. Cheers.


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## skc (17 November 2008)

chops_a_must said:


> It's something that I have traded fairly often when on the futures. Basically, the "theory" is that the end of day trades are often trading counter to the prevailing trend as people close out their positions. Therefore, most down days of late resulting in people buying back into the futures end of day.




Thanks and like the theory. Although this also happens when the overall market has an up day.

Total trading days = 45, Market up = 14 days, Market down = 31 days

Market up and futures up btw 4 to 4:30 = 13 out of the 14 days (93%)
Market down and future up btw 4 to 4:30 = 19 out of the 31 days (61%)

So in fact this happens at a higher frequency on up days. Granted that the sample size really is quite small.



barney said:


> I would say that, what you are describing amounts to "divergance" .......... Possibly the best indicator to a change of trend other than insider knowledge, (from my limited experience)  ...........




I thought divergence require two things to diverge - like price action vs an indicator. What is the divergence you are referring to here? 

And the SPI rising btw 4-4:30 definitely hasn't seen the market rise the following day (as the data above suggests). Do you mean a short term trend reversal indicator?



barney said:


> The time frame and range (volatility of price) that the divergance is "working on" (and the depth of your pockets!!) is the key to how you "invest" on it ........... if that makes any sense !!?? PS (Those who have lost a lot of cash and studied the markets may appreciate what I am saying .............. those that have not will simply dismiss my comments ..............




 I definitely don't have lot of cash so have no idea what you are saying.  Would be great if you can share more. 

cheers


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## skyQuake (17 November 2008)

You might wanna try 4:10pm to 4:30pm. Thats when cash closes proper. 
Recently there would have been a whole heap of stocks being dumped by aussie and international funds from rebalancing, redemptions and whatnot. This has a negative effect on the Cash, and futures are dragged down by the Arb bots. Post cash close people look for bargains? Or without the selling pressure the market simply rises.
Interesting indea, but I think you need a far bigger sample size to test it out properly. Who knows when the reverse will happen?

Good luck


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## barney (17 November 2008)

skc said:


> Thanks and like the theory. Although this also happens when the overall market has an up day.
> 
> Total trading days = 45, Market up = 14 days, Market down = 31 days
> 
> ...




Hi SKC,     Firstly I must state that I wasn't trying to be clever or flippant with my comment ............... and my statement that I am not an expert trader is very accurate (although I have had a lot of experience trading .... most of it negative ... lol)

Short term is definitely what I was referring to with the "divergance" ........... If the market is tanking (as it has been) and the SPI has been rising significantly EOD, then the question should be asked ... who is "buying the Index" .............. Logically the EOD may often be opposite the "trend" as short term holders close out their positions as Chops pointed out etc.,............
............. but if the "trend" is so obvious, why does the smart money simply not hold their positions and "cash in" overnight?? .................. Because they are unsure whether the market will rise X% or fall Y% !!   Volatility to me indicates lack of definition .......... The fact that the market can increase so substantially in the face of such negative sentiment means .... be cautious ........ and don't assume that the trend is continuous  ............. It certainly doesn't mean that it can suddenly turn on a sixpence and skyrocket (although it might just do that) .................. ie. If the smart money is being cautious, then the downtrend is fragile imo. ........... As the downtrend becomes more fragile, their is more chance that the bottom will show itself ....... Hence my reference to "time" and the "depth of ones pockets" being relative to ones "investment" plan ............... 

If you have limited cash available in the current market (join the club  ) then only trade very short term, or alternatively, only trade very long term (ie be prepared to wait) cause things may or may not get a lot worse  .......... PS ... Just my observations from watching the market over a long period, and I may be totally off the ball .................... The point is you have picked up on an anomaly of the markets that you may be able to "take advantage" of ............. This may or may not be a short term anomaly .......... but as long as you/we are aware that things in the market are not static, we may be able to derive some advantage from them.  Hope that makes some sense ......... I've pretty much confused myself ... lol .....   Cheers.


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## skc (17 November 2008)

skyQuake said:


> You might wanna try 4:10pm to 4:30pm. Thats when cash closes proper.




Yeah. I wanted to do 4:10 to 4:30 as well. But my 30min data goes back further than my 10min data. Also, I wasn't sure if the arb bots could work in the closing auction, given that they can't really place a "market order" per se.



skyQuake said:


> Interesting indea, but I think you need a far bigger sample size to test it out properly. Who knows when the reverse will happen?




Will post some Nov data at end of month.



barney said:


> Hi SKC,     Firstly I must state that I wasn't trying to be clever or flippant with my comment ............... and my statement that I am not an expert trader is very accurate (although I have had a lot of experience trading .... most of it negative ... lol)




Hey Barney, didn't think you were trying to be clever at all . Appreciate your input and just interested to understand more / better.



barney said:


> The point is you have picked up on an anomaly of the markets that you may be able to "take advantage" of ............. This may or may not be a short term anomaly .......... but as long as you/we are aware that things in the market are not static, we may be able to derive some advantage from them.




To trade profitably from this one will need to consider range and stop loss. There are times when it drops 20-25 points before going back up to finish 1 point above the line - not the best R/R ratio and I would porbably have closed the position at a loss, even though the stats said you made a profit.

And don't we all have "limited" cash. I probably wouldn't be trading if I had "unlimited" cash


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## Broadway (18 November 2008)

Asia still has some influence over the spi at this time.

The kospi and nikkei are still open at that time (at the moment) and these can run parallel. The spi isn't an isolated independent index. If you know where the Asia region is trying to go you can predict the spi.

And in winter try putting a chart of the dax next to the spi at 4pm. 

Good luck with the strategy, hope it works for you.


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## MRC & Co (18 November 2008)

Broadway said:


> If you know where the Asia region is trying to go you can predict the spi.




lol and sometimes this will get you RAPED!


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## superkrusty (18 November 2008)

SKC , would you mind letting me know your method or process of checking this , I have a few similar ideas I want to test but have no idea on how to do it. Was thinking of using excel ??  Am I on the right track?


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## MRC & Co (18 November 2008)

MRC & Co said:


> lol and sometimes this will get you RAPED!




Today would be a fukcin good example!


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## professor_frink (18 November 2008)

superkrusty said:


> SKC , would you mind letting me know your method or process of checking this , I have a few similar ideas I want to test but have no idea on how to do it. Was thinking of using excel ??  Am I on the right track?




yep. Throw the relevant data into excel, then you just need to know how to code the idea into it. You don't need to be much better than a beginner to start testing out ideas like this.

You can also do it with most decent charting packages(amibroker, metastock,etc), but you'd be surprised at how much you can actually do with a simple spreadsheet once you know how to use it.


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## awg (18 November 2008)

would not have worked today!  on either of the below

are you using the "Australia 200 forward"

or "aus cash 200"

interesting idea though, where are u getting your historical data?

thanks


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## skc (18 November 2008)

superkrusty said:


> SKC , would you mind letting me know your method or process of checking this , I have a few similar ideas I want to test but have no idea on how to do it. Was thinking of using excel ??  Am I on the right track?






professor_frink said:


> yep. Throw the relevant data into excel, then you just need to know how to code the idea into it. You don't need to be much better than a beginner to start testing out ideas like this.
> 
> You can also do it with most decent charting packages(amibroker, metastock,etc), but you'd be surprised at how much you can actually do with a simple spreadsheet once you know how to use it.




Spot on Professor. You will find endless ways to analyse the data if you get familiar with "Pivot Table" function in excel. That is also quite a beginner-level tool.



awg said:


> would not have worked today!  on either of the below
> 
> are you using the "Australia 200 forward" or "aus cash 200"
> 
> interesting idea though, where are u getting your historical data?




I looked at Aus cash 200. Just read off the chart for historical data - there might be smarter ways of doing this, however. 

The limited observation so far merely suggests that there is a higher odd of rising than falling during these hours. Make of it what you will. 

Today's number are: 4pm = 3532.5; 4:10pm = 3529.5; 4:30pm = 3535. So there is a small gain, but you would have had to endure a low of 3502 at 4:15.


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## awg (18 November 2008)

skc said:


> Spot on Professor. You will find endless ways to analyse the data if you get familiar with "Pivot Table" function in excel. That is also quite a beginner-level tool.
> 
> 
> 
> ...






Just for my clarification, as I am only CFD learner

I thought the aus cash 200 was a mirror of the ASX200, and the aus 200 forward was a mirror of the SPI?

dont want to seem to be a smartars but with a 2 point spread each way, would those figures not suggest a tiny loss?

ps sure makes a difference paper trading on a demo account, I absolutely cleaned up today, certainly would not have the guts to trade like that for real at this point in time.

keep up the great work


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## James Austin (18 November 2008)

SKC

where is entry? 4.01pm!
where is exit? 4.30pm!
where is SL placed? none!   . . . eek!

i dont wish to discourage you, but these things need to be sorted. 

i am pretty confident that a large sample will, on the SPI b/w 4 + 4.30pm, reveal a random pattern, but there might be some clumping of up days and dn days. the problem is, no one knows when the clump will start and when it will finish; if you can work that out just place $1000pnts and make a killing!

*returning to entry, exit and stops,*

even if you come to the conslusion that 60% of the time the SPI is up b/w 4 and 4.30pm, you still need to know where to place entry and exit, cos the SPI doesnt travel in an upward straight line as of 4pm, . . . how will you work this out?

and if you decide well i've got a 60% chance of profiting here so i'll just enter at 4.01 and exit at 4.29, . . . . where is your stop, you might need a 50 or 60pnt stop to allow for the volatility at this time of day.

in the end, all of this is easily and cheaply tested, $1 pnts at CMC or City Index.

i await the results


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## skc (18 November 2008)

awg said:


> I thought the aus cash 200 was a mirror of the ASX200, and the aus 200 forward was a mirror of the SPI?




I think the cash and the forward are tick-for-tick anyway. So since we are looking at the differences it should produce the same outcome regardless of the instrument.



awg said:


> dont want to seem to be a smartars but with a 2 point spread each way, would those figures not suggest a tiny loss?




It's actually 2 points spread total. The numbers quoted are mid-point of the spreads. So to buy you pay 1 point more, to sell you get 1 point less. So for today, there is 0.5 point increase.



James Austin said:


> where is SL placed? none!   . . . eek! i dont wish to discourage you, but these things need to be sorted.




Totally agree James. See post #7 above. I am also well aware of the small sample size. I am not trading this strategy (strategy's probably too big a word, more like observation) - it is being very cheaply tested on paper  

The purpose of this thread is to ask if anyone has any reason explaining the observed. I don't believe in the Asian market influence theory just yet - it doesn't make sense that Asian markets should rise btw 4-4:30. I will probably do some correlation testing if there are theories that stack up... Do share your thinking. 

cheers


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## awg (18 November 2008)

one observation, may mean nothing

but yr sample roughly corresponds with short selling ban

will be interesting to see what happens when short selling is allowed, as yr time period (4 to 4.30) is also right when short sellers would be very active


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## skc (1 December 2008)

Just a quick update on the Nov numbers as promised - for anyone still interested.

Total no. of trading days = 20
Total points change for XJO = -479 
Total points change btw 4-4:30pm = 105.5
No. of days XJO went up btw 4-4:30 = 14
Average points gain btw 4-4:30 = 7.5

Total up ratio for last 3 months = 46 / 65 days (~70%)

Again, feel free to discuss any plasible explanations.


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## awg (1 December 2008)

keep up the good work

if you are keeping data, what would be interesting in addition, would be downside volatility.

ie  R/R for the 7.5 up points

when i get time, i will have a look myself 

can u remember what the post title was for that dude who was trying to scalp 1 point with a 20 point stop?


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## skc (1 December 2008)

awg said:


> keep up the good work
> 
> if you are keeping data, what would be interesting in addition, would be downside volatility. ie  R/R for the 7.5 up points




Thanks mate. I can tell you that the max gain is 57.5 and max loss is -38 in Nov. I wouldn't apply a R/R to the 7.5pt average, because it actually include the average of the down days as well. The reward one targets is definitely not 7.5 points, and a stop of 4 points (targeting R/R of 2/1) will have you stop out more often than now. I would probably trade this with a stop of some 1.5-2 std deviation of the range across the data set. Alternatively, you can simply take the max loss as say 1% of trading capital and size your position size accordingly.

Anyway, my cunning plan is for everyone to follow this strategy and have it become a self-fulfilling prophecy 



awg said:


> can u remember what the post title was for that dude who was trying to scalp 1 point with a 20 point stop?




https://www.aussiestockforums.com/forums/showthread.php?t=12163


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## MRC & Co (1 December 2008)

skc said:


> Anyway, my cunning plan is for everyone to follow this strategy and have it become a self-fulfilling prophecy




ha ha, I doubt ASF will make a diff.

A 200+ lot gets clipped in a second in this cowboy session.

Today was down.  Everything works in phases, so if you are going to use it, prob should start soon.


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## skc (2 January 2009)

Update on December numbers.

Total trading days = 19 (Excluding the half days on 24th and 31st)
Total days which SPI went up btw 4-4:30 = 10
Total days which SPI went down btw 4-4:30 = 9
Up days ratio = 53%

Total XJO change in month = +20.2 points
Total change btw 4-4:30pm = +88 points (Excluding the mad minute on 23rd where the SPI rose ~200 points)

Average change btw 4-4:30pm = 4.6 points per day
Average rise in up days = 23.8 points
Average fall in down days = -16.6 points

Max rise = 47.5 points
Max fall = -43 points
Max range = 60 points


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## beachlife (9 January 2009)

I trade this move every day.  I have also written my own backtesting software and have back tested the 1 minute data for the last year based on going long at 4.01 every day - no indictaors or anything like that I just go long every day at 4.01.  I have found and my testing has confirmed that tight stops will flick you out but if you have your stop wide enough it is possible to have 48% winners with almost a 2:1 profit : loss ratio so it makes money but is nerve wracking.  Going long at 4.15 increases to 52% winners still with around 2:1 win loss.  Even though its slightly less reliable for some reason I prefer 4.01 over 4.15.  I havent tested 4.10 but will give it a go and post results.

So if you can handle a loss every second day you can make money from this move.

Just to clarify I set a target at 2x stop but exit regardless at 4.29.  So I dont get 2:1 every trade but my testing to date (still searching for better) says that 2:1 is the best initial target.  I have tried to optimise my stop placement and win loss ratio and this is the best I have found to date.

At the end of the day its all about position sizing and money management.

As for why it happens I dont care - all I care about is can it be traded.


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## skc (9 January 2009)

Thanks for the affirmation. Can I ask how you place your stop? I use around 1.5x standard deviation of the range between 4:00:01 and it's low, but I have never tested whether that is the optimal.

It is rare for the price not to go below the 4pm level before shooting up, so I have been playing around with increasing the position size even when it falls initially. I know it's against conventional trading to increase the size of a losing trade, but if the statistics is on your side then may be it's OK. Obviously the overall position size is still within my risk management strategy, and it also means that the returns on a net up day would not be as good.


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## beachlife (12 January 2009)

I dont use any indicators on this trade, especially atr as volatility changes too much.

I just use a 13 point stop, 26 point target or exit at open of 4.29 bar because that's what my backtesting showed was optimal.  Keeps it simple.

Today was a scary start but got the 26.

Been busy but will update data files and post some current test results later.


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## beachlife (16 January 2009)

I updated to yesterdays data and re ran the trade.  Looks like 15 : 30 is better now that there is more data in there.  4:10 entry looks ok.  Problem is though that because you exit at 4.29 if target not reached a lot of the trades dont reach full profit.  The profits are based on $25 per point.  So you cant live off this, its just a bit of fun at the end of the day.  Dates are 1-2-08 to 15-1-09

Time Profit 	Percent wins	stop points	target points
4:01				
	 $5,975 	     41%	                 10	                20
	 $9,025 	     45%	                 11	                22
	 $9,175 	     45%	                 12	                24
	 $10,450 	     47%	                 13	                26
	 $11,275 	     47%	                 14	                28
	 $12,225 	     48%	                 15	                30
	 $10,625 	     48%	                 16	                32
	 $9,175 	     48%	                 17	                34

4:10				
	 $3,425 	     43%	                 10	                20
	 $7,625 	     46%	                 11	                22
	 $8,700 	     48%	                 12	                24
	 $8,800 	     49%	                 13	                26
	 $10,325 	     51%	                 14	                28
	 $15,050 	     54%	                 15	                30
	 $14,000 	     54%	                 16	                32
	 $12,350 	     54%	                 17	                34

That doesn format too well in the preview but you shou be able to figure it out.


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