overnight equity data for US markets

[davelansing2004]

Hello all, first time post. Been lurking for awhile, must say that this site is much more conducive to "better one's trading" than several of the larger US-based trading forums.

Couple of questions:

1) is there a website that has historical overnight equity data for the US markets?

2) I'm interested in studying the effects of extreme high/low overnight moves on subsequent daily moves for any given stock. The most obvious would be whether an extreme down move o/n leads to a tradable short position off the open on the following day- and vice versa (extreme upmove o/n leads to a tradable long position on the following day. Can anyone point to data/studies/books that describes this research. I'd be happy to submit any of my research for the perusal of the T2W members.

thanks.

Dave

 

[garethb]

Hi Dave,

Where you get your data depends a bit on what type of trades you are looking for after big overnight moves. Are you looking for day trading opportunities following big overnight gaps or are you looking for swing trades of a few days following a gap? Your post suggests a day trading approach.

The classic day trade at the open following a gap is to trade the gap closing; i.e. buy on a down gap rather than short a down gap and vice versa. Whether that represents an edge in itself I rather doubt. Another approach is to trade the breakout of an opening range, e.g. the 15 minute high/low. I think you need to study the behaviour of gaps very closely in the context of what news drives the gap and detailed intraday price movements following gaps. I think this is very difficult to study historically because it is hard to get a feel for the news context as it was at 9:30 eastern when looking back with hindsight.

If you have a brokerage account with data I would start studying behaviour of gapping stocks going forward. Choose a very small number of gapping stocks before the open each day. Record the news causing the gaps, watch and take notes on the detailed behaviour of those stocks and try to observe patterns. One book on this classic style of gap trading is "Momentum Trading" by Ken Wolf. I'm sure there are others, most of the numerous stock day trading books probably provide a gap trading strategy, whether you can make money from them is another question.

Best of Luck

Gareth

 

[davelansing2004]

Where you get your data depends a bit on what type of trades you are looking for after big overnight moves. Are you looking for day trading opportunities following big overnight gaps or are you looking for swing trades of a few days following a gap? Your post suggests a day trading approach.
/QUOTE]

Hi garethb,

Thanks for the response. I'm looking more at swing trades rather than day trading... due to work constraints; I can follow stocks using hourly data (Telechart2005/TCnet) but am not able to follow shoter time frames. I'll definitly take your advice to follow forward a handful of stocks that are gapping .. specifically stocks that are gapping against their prior trend (daily trend) and see what price does following the gap - i'll note any after-hours and pre-market company specific news events and general economic events... I think I'll also break down the stocks into "strong" & "weak" fundamental stocks.. the biggest question is the importance of volume in determining the "persistancy" of after-hours and pre-market gaps... anyway, if anyone is interested I'll post my studies on this board as well as the ET board from the States.

must-do list:
1. "quantify" trend strength - most likely use +DI and -DI from ADX
2. "quantify" stocks with strong fundamentals from weak fundamentals - easy to do with Telechart
3. Determine the minimum gap size that will flag a stock into a daily watch list e.g. 5%-9% gaps, 10%+ gaps
4. note the after-hours and premarket volume as a percentage of the average daily volume (5-day); especially note if 5-day volume is rising or contracting
5. note whether the stock in question had an after-hours/premarket news event

thanks for the ideas! Any input from other members would be greatly appreciated.

Dave

 

[garethb]

In that case you might find one of Alan Farley's 7 bells setups which he calls the "Hole in the Wall" interesting. It's descibed in his master swing trader book and briefly on his website

http://www.hardrightedge.com/tour/gap.htm

Regards,


Gareth