S&P500 Daily low

admin S&P 500, Statistics

Statistics for daily low and where its been located during intraday in the last 2 years. First graph is divided into hours and presents frequency and percentage. Big picture has three graphs on same row and it is in 5 min interval and begins with Frequency, Percentage and CDF. First row All weekdays, second row Monday and so on downwards, 2 year data history.


OMXS30 Turn of the Month March

admin OMXS30, Turn of the Month

Ahead of the upcoming Turn of the Month March/April, the statistics are always calculated after closing price and from year 1987 to 2014. This statistics applies only to Turn of the Month March/April. Last trading day of the month is -1 and the first trading day of the new month is 1. The trading day -8 is Friday 20/3 and trading day 8 is Wednesday 15/4.

Statistics are presented with graphs and matrices. The three graphs, first graph at top is all percentiles and quartiles and MAX and MIN, next is reduced to P90 and P10, the bottom graph is scaled to the upper and lower quartile.

Third graph from the top is the one that is most useful, noting the normal range for this month end with the mean and median in the middle of the field. In this post there are matrices that show different values for the calculated period and most importantly win rate, profit factor and avg. trade %, but also index points, sum %.

I would say that from trading day -1 (close) until trading day 4-5-6 (close) are recommended to go LONG. According to profit factor -1 to 4 has given high return over the years 3.6 in value and high win rate (75%).

Looking at the overall statistics for all, the end of the month so is strongest period between trading -3 to 4. BUY and SELL according to statistics is always done at closing price.

OMXS30 – Statistics – March

admin OMXS30

Monthly statistics for OMXS30 based on the closing price between year 1987 and 2014. Matrices, read from left and up for variation of ENTRY and EXIT. The matrices show different things such as index points, sum, win rate, win rate mean/median, avg. trade, profit factor, total net profit, avg. trade net profit, median and standard deviation.

Total net profit is calculated at 100 000 and no specific currency. Total net profit is profit minus loss and avg. trade profit is average profit per trade. Count matrix is how many trades there are in the data set, most are 28 but the last days of the month can vary because some months is longer or shorter than others.

Matrix graphs, sum %, win rate %, avg. trade %, profit factor, net profit graphs, median trade % and STDEV, with various ENTRY.

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