# S&P 500 up more than 3%, what next for S&P ASX 200?



## asxiq (1 December 2011)

XJO has averaged 1.72% gain when S&P 500 gained by more than 3%, with 82% times being up next day.  The average intraday gain being  being 0.9%, with 66% times being closed above open.

more here - http://asxiq.com/blog/sp-500-up-more-than-3-what-next-for-sp-asx-200/


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## skyQuake (1 December 2011)

*Re: S&P 500 up more than 3% what next for S&P ASX 200?*



asxiq said:


> XJO has averaged 1.72% gain when S&P 500 gained by more than 3%, with 82% times being up next day.  The average intraday gain being  being 0.9%, with 66% times being closed above open.
> 
> more here - http://asxiq.com/blog/sp-500-up-more-than-3-what-next-for-sp-asx-200/




Mate you can't just use XJO data. Its a staggered open so you'll get incorrect results.

For example 28th Oct.

SPI @ 10:00am is 4404, SPI @ 4:10pm is 4348 which is a -1.3% (significant) move. Not a -0.3% move as posted on your blog.

Without going thru the SPI stats i'd say the bias is much more negative than what you've posted.


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## skc (1 December 2011)

*Re: S&P 500 up more than 3% what next for S&P ASX 200?*



asxiq said:


> XJO has averaged 1.72% gain when S&P 500 gained by more than 3%, with 82% times being up next day.  The average intraday gain being  being 0.9%, with 66% times being closed above open.
> 
> more here - http://asxiq.com/blog/sp-500-up-more-than-3-what-next-for-sp-asx-200/




Setting up to be a big fade day. The last globally coordinated central bank action lasted ~1.5 days.


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## nomore4s (1 December 2011)

*Re: S&P 500 up more than 3% what next for S&P ASX 200?*



skc said:


> Setting up to be a big fade day. The last globally coordinated central bank action lasted ~1.5 days.




Maybe, but I think we will see a small rise when HK opens, the first hour after HK opens could be telling whether we hold or fade for the rest of the day.


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## skc (1 December 2011)

*Re: S&P 500 up more than 3% what next for S&P ASX 200?*



nomore4s said:


> Maybe, but I think we will see a small rise when HK opens, the first hour after HK opens could be telling whether we hold or fade for the rest of the day.




My bookmaker is saying HK will be up ~4.5%. The Chinese easing is certainly a shot in the arm to them... but I am going to call a fade over there as well. For the record, HSI ~18774 (according to IG).


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## nomore4s (1 December 2011)

*Re: S&P 500 up more than 3% what next for S&P ASX 200?*



skc said:


> My bookmaker is saying HK will be up ~4.5%. The Chinese easing is certainly a shot in the arm to them... but I am going to call a fade over there as well. For the record, HSI ~18774 (according to IG).




Haven't even opened my platform yet.

When HK opens strongly we normally see some strength in the SPI even if it is only for a short time. I'm with you in that the odds are skewed towards some sort of fade today but it would not surprise me to see us close near the highs.

Disclaimer: As I haven't even opened my trading platform yet I haven't seen today's price action yet so just guessing atm


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## nomore4s (1 December 2011)

*Re: S&P 500 up more than 3% what next for S&P ASX 200?*



nomore4s said:


> Haven't even opened my platform yet.
> 
> When HK opens strongly we normally see some strength in the SPI even if it is only for a short time. I'm with you in that the odds are skewed towards some sort of fade today but it would not surprise me to see us close near the highs.
> 
> Disclaimer: As I haven't even opened my trading platform yet I haven't seen today's price action yet so just guessing atm




Have platform open now. Strength has come into SPI and AUD already, HSI looks like it is going to open about 850-1000 points up, can't see it holding all those gains if it does but stranger things have happened.

EDIT: HSI contract opened 939 points up, hahaha and now lost nearly 100 points already.


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## skc (1 December 2011)

*Re: S&P 500 up more than 3% what next for S&P ASX 200?*



skc said:


> My bookmaker is saying HK will be up ~4.5%. The Chinese easing is certainly a shot in the arm to them... but I am going to call a fade over there as well. For the record, HSI ~18774 (according to IG).




For the record this call is being toasted on both sides at the moment.


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## nomore4s (1 December 2011)

*Re: S&P 500 up more than 3% what next for S&P ASX 200?*



skc said:


> For the record this call is being toasted on both sides at the moment.




Currencies fading now, SPI to follow.


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## nomore4s (1 December 2011)

*Re: S&P 500 up more than 3% what next for S&P ASX 200?*



skc said:


> Setting up to be a big fade day. The last globally coordinated central bank action lasted ~1.5 days.




If we are going to see any sort of fade needs to start now imo, but judging by the current strength I doubt we will see any sort of major fade.


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## asxiq (1 December 2011)

*Re: S&P 500 up more than 3% what next for S&P ASX 200?*



skyQuake said:


> Mate you can't just use XJO data. Its a staggered open so you'll get incorrect results.
> 
> For example 28th Oct.
> 
> ...




you are right mate, the open tick on the indices are too volatile , but hence wait for 5-10 minutes for placing the trades realised from any trade setup that gets realised from a quant trading perspective. 

OTOH , 1) as the access to tick by tick past data is too expensive , the backtesting is done what ever the OHLCV vended by the data vendor
2) over long number trades ( say 100 or about ) some moves coming from slippage like you mentioned ( 1.3 % vs .3%) will even out , some going against and some going in favour 

happy trailing mate


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## skc (1 December 2011)

*Re: S&P 500 up more than 3% what next for S&P ASX 200?*



nomore4s said:


> If we are going to see any sort of fade needs to start now imo, but judging by the current strength I doubt we will see any sort of major fade.




You are quite right. Ended pretty close to the day's high. 

I did say the rally lasts 1.5 days 



asxiq said:


> 2) over long number trades ( say 100 or about ) some moves coming from slippage like you mentioned ( 1.3 % vs .3%) will even out , some going against and some going in favour




It is incorrect to say that over many days the "slippage"  (it has nothing to do with slippage) will even out. This will only be tue if the "slippage" is random... but in this case the error is systemic. XJO will always print a lower opening figure (compared to the real opening which SPI is an approximation) because that openning figure is calculated with only A-B shares trading at the higher price after a big rise overnight.

BTW... it is not a bad website at all.... just need to use the right data...


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## skyQuake (1 December 2011)

*Re: S&P 500 up more than 3% what next for S&P ASX 200?*



asxiq said:


> you are right mate, the open tick on the indices are too volatile , but hence wait for 5-10 minutes for placing the trades realised from any trade setup that gets realised from a quant trading perspective.
> 
> OTOH , 1) as the access to tick by tick past data is too expensive , the backtesting is done what ever the OHLCV vended by the data vendor
> 2) over long number trades ( say 100 or about ) some moves coming from slippage like you mentioned ( 1.3 % vs .3%) will even out , some going against and some going in favour
> ...




Waiting 5 or 10minutes is a different kettle of fish altogether, because you are then buying the fade. Without tick data testing it is just a guess.

1) Fair enough. In the attachment I'm using OHLCV for our day SPI.
2) 1% of the SPI is ~40pts. That is NOT slippage! And it doesn't even out. It gets worse. The staggered open makes the data rubbish for all but the Close.
See attached - I redid your tests with SPI data, 9:50am to 4:30pm. A little outside cash XJO hours but does not suffer from staggered issues.

That 0.66% gain is actually a 0.75% *loss*


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## asxiq (2 December 2011)

*Re: S&P 500 up more than 3% what next for S&P ASX 200?*



skyQuake said:


> Waiting 5 or 10minutes is a different kettle of fish altogether, because you are then buying the fade. Without tick data testing it is just a guess.
> 
> 1) Fair enough. In the attachment I'm using OHLCV for our day SPI.
> 2) 1% of the SPI is ~40pts. That is NOT slippage! And it doesn't even out. It gets worse. The staggered open makes the data rubbish for all but the Close.
> ...




thx mate , i was looking at the cash market index and not the futures ... thx again for your work/analysis on that pattern , have a nice weekend.


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