Can pre-market tell you anything: a quantitative study

BE Trader

Junior member
Pre-market is an exiting time when you start looking at your screens to check what's going on. There is a lot of information to consume: news, reports, charts... you can continue the list. In this study I explore if price movement in pre-market can provide any indications of how the day is going to look like.

There are 3 setups I tested from 2015 to 2022
  • Up 1%+ in pre-market
  • Down 1%+ in pre-market
  • Flat in pre-market (open and close are within 0.1%)
PreMarketSetup.png

Algo Setup in BreakingEquity.com^

Trading Conditions
  • $10,000 to trade daily
  • Trading only $SPY
  • Buy at 9:30 if condition is met
  • Do not trade on early close days
The Results
PreMarketResults.png


PS: This post is for fun and educational purposes only with no attempt to beat buy and hold. Do not use this is a trading/investment advice.
 
 
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