Dow yearly point movements

[senyorqueso]

I've been taking a look at how the DOW's moved over the last 10 years, and comparing the yearly ranges with the actual number of points moved. Certainly a lot of points there for the taking. I'm not suggesting there's any remote possibility of capturing all this movement as a trader, but you'd do pretty well with just a small percentage. Just got to work out how to do that next...

Year Open Close Change OC Range* HL Range**
---- ------ ------- --------- ------------- -------------
95 3834 5117 1282 4778 19695
96 5117 6448 1331 8175 27775
97 6448 7908 1459 15810 43691
98 7908 9181 1273 16068 56869
99 9212 11497 2284 18924 74152
00 11501 10787 -713 26711 96758
01 10790 10021 -769 23848 74260
02 10021 8341 -1680 27207 67936
03 8342 10453 2111 17514 45503
04 10452 10783 330 13527 41507
05*** 10783 10251 -532 5091 14045

* sum of magnitude of difference between daily opens and closes
** sum of magnitude of difference between daily highs and lows
***to date

 

[FetteredChinos]

im sure i can come up with something for you here...

give me a while to tinker with this lol..

 

[peterpr]

I've been taking a look at how the DOW's moved over the last 10 years, and comparing the yearly ranges with the actual number of points moved.

Yep

Current ADR @ 100 + points x 200 trading days, at say $10 per point. That's a cool $200,000 a year :!:

Just got to work out how to do that next...

Quite so - A doddle this trading business init?

Welcome to the club

 

[FetteredChinos]

ok, not quite for the Dow, as i dont trust the longer term data that i have for it, but here is something rather simple based on the SP500.

can probably be improved using stops, as we are trend following.

but here goes.

take the close of the previous year. find out what the range was..

take 0.25 x this range and set up orders to go long at the previous years close + this figure, and short at the close - this figure.

hold until the following year.

11,000 points since 1982. 76% win rate

this is just a basic knock-up, but might give you an idea of how to approach things, i wouldnt trade it myself, as the costs of carry would get a bit much.

FC

 

[senyorqueso]

Thanks FetteredChinos,

I was thinking also of how to take advantage of the incredible "noise" that gets generated - it seems quite amazing that based on the daily highs and lows of the Dow there was 40000 points of movement last year! If you can take advantage of a fraction of that (as I know you are doing, from reading the dow thread), it hardly seems worthwhile trading the index with more of a long term view.

SQ

 

[FetteredChinos]

ah, but senyor..

the longer the time frame, the easier the trading..

when trading on a timeframe shorter than weekly bars, then the noise becomes more of a factor..

you just have to look at yesterday's intraday Dow chart to see the fannying around that occured, for a net move of 5 points from the previous close.

the key is finding a timescale that suits yourself. whether you want to sacrifice overall net points for the sake of a smoother, and more leisurely ride, or vice versa.

i wish you well though.

in theory it should all be so simple. in reality, its a right bugger.

FC

 

[jimmy1jag]

A slightly adapted version of Sidinuk's strategy works well for me to capture some of the "noise".

(As an aside, I also have a special Greenspan's Gob strategy (timed for when he opens it!) that I dust off every now and again. I didn't trade it yesterday as I was working! Just as well really.)

Personally I'd find yearly trading as interesting as watching rock formations develop in real time!

As for the trading platform to use I guess the June mini future is out of the question. I do notice, however, that Capital Spreads rolling daily DOW expires in 2014, so there's some mileage in following that avenue if you must.