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Open to Open & Close to Close for direction change
 Started: December 11th, 2012 (01:26 AM) by aquarian1 Views / Replies: 1,012 / 10 Last Reply: December 15th, 2012 (06:59 PM) Attachments: 11

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# Open to Open & Close to Close for direction change

December 11th, 2012, 01:26 AM   #1 (permalink)
The fun is in the numbers
Point Roberts, WA, USA

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Open to Open & Close to Close for direction change

I am wondering if anyone has done some work on (or read studies on) Open to Open and Close to Close differentials as indicators for either:
• Change in trend
• direction of the next day.
• other??

---My question is not on high to high and low to low differentials and the next is only an example to explain my question-----------

For example using differentials of high to high and low to low.

If a day has a higher high and higher low than yesterday we could consder it an "Up day."
If a day has a lower high and lower low than yesterday we could consder it an "Down day."
If a day has a higher high and lower low than yesterday we could consder it an "Outside day."
If a day has a lower high and higher low than yesterday we could consder it an "Inside day."

We do this irrespective of wheter the high or low comes first.

Then those using daily sequencing combine these together.
For example,
Up day, Up day, Up day, Up day, Outside day, Inside Day
could be setup up of a trend reversal.

----- So my question relates to open to open and close to close differentials --

Within the ES we have come up from 1340.25 low on 16-Nov-12
to 1422.75 on 03-Dec-12 and then boucing along the top with the question of pushing through or turning back down.

I noticed today (Monday 10 Dec 2012) that the
open to open differential was -3.25 and the
close to close differential was +2.75

- now of course we know the timing sequence with open and close that we do not know with highs and lows.
However, if we set them aside for a moment and consider them on the same time point when thought of as a day time point as we do with highs and lows, then today would be an "Inside Day".

Have some people worked with this idea?

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 December 11th, 2012, 01:26 AM #2 (permalink) Quick Summary Quick Summary Post I've posted a week of review on this and seen enough to believe this is an approach worth pursuing. If some come to this thread later and wish to contact me a PM is best. Last edited by aquarian1; December 25th, 2012 at 10:42 PM.

December 11th, 2012, 02:20 AM   #3 (permalink)

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Yes, I've done a lot of work in this area, and I generally believe that Close-to-Open is the most lucrative part of the market. Some of my strategies open positions right before the closing bell, and sell right after the opening bell.

Mike

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December 11th, 2012, 11:44 PM   #4 (permalink)
The fun is in the numbers
Point Roberts, WA, USA

Platform: IB and free NT
Broker/Data: IB
Favorite Futures: ES

Posts: 2,126 since Dec 2010

Day 2 following an "crossed swords" OOCC day

Yesterday Monday was:
OO -3.75
CC +2.75

which I will call "crossed swords".

This resulted in an explosive upmove with an o/n gap of +5.75 and the entire range today above yesterday.
As to the graph in post 1 it resulted in a resolution to the upside of the triangle shown.

Today Tuesday was:
OO +8.75
CC +14.00

which I will call "upwards megaphone"

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Looking to the RTH daily chart there seems no reistance until 1440.75 and so perhaps the "upwards megaphone" points to a strong start tomorrow? A gap was left by todays action 1421 to 1422.

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Last edited by aquarian1; December 12th, 2012 at 12:26 AM.

December 12th, 2012, 02:18 AM   #5 (permalink)
Market Wizard
Switzerland

Futures Experience: Intermediate
Platform: Investor/RT
Broker/Data: IB / DTN
Favorite Futures: Futures

Posts: 3,515 since Feb 2012

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Interesting topic indeed - category patterns to trade - thanks @aquarian1.
Made some intensive testing for the DAX but could not find consistent signals for OOCC.
Instead I found patterns intraday using the IB of the first 30 min. at the cash opening.
These patterns are fixed to the respective weekday. With that knowledge some repetitive
behaviour for intraday trading is handy and helps to get some points out of the market.

GFIs1

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December 13th, 2012, 01:28 AM   #6 (permalink)
The fun is in the numbers
Point Roberts, WA, USA

Platform: IB and free NT
Broker/Data: IB
Favorite Futures: ES

Posts: 2,126 since Dec 2010

GFIs1
 ........ Instead I found patterns intraday using the IB of the first 30 min. at the cash opening. These patterns are fixed to the respective weekday. With that knowledge some repetitive behaviour for intraday trading is handy and helps to get some points out of the market. GFIs1

@GFIs Thank-you very much for your post.

I find your post on patterns fixed to weekdays very interesting. I too have been working in this area.
I track the turn points of each day (which are 6pts or more apart). As an example sometimes the turn points of Monday are almost the exactly those of a prior Monday - not always the immediately prior week.

I too work with a version of initial balance (IB) however I have been tracking the time window in the first hour before opening. This is because economic news is often released from 7:30 to 8:30 CT - before the opening bell.

I would be very interested in seeing you post more of your ideas -either here or in a new thread of your own.

------
I have not yet found consistent patterns in the OOCC, in fact I just had the idea and started the thread hoping to find others who may have traveled the path and had some observations to share.

I will continue on with the thread and if in reading it some ideas of areas to explore come to mind please share.

Last edited by aquarian1; December 13th, 2012 at 02:07 AM.
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December 13th, 2012, 01:58 AM   #7 (permalink)
The fun is in the numbers
Point Roberts, WA, USA

Platform: IB and free NT
Broker/Data: IB
Favorite Futures: ES

Posts: 2,126 since Dec 2010

Day 3 following an "upward megaphone" day

Yesterday we had an upward megaphone and speculated that it might give a strong upmove (and perhaps we could now add a "spikey" top).

We moved up with the FOMC and then fell back to close at the low end.
Today, Wednesday 12 Dec 2012 was a "red crossed swords" day with
OO = 9.50
CC = -2.50

(I am going to call Monday a green crossed swords as the CC sword was green.)

So today's red crossed swords followed an upday (Tuesday). We did not quite get to the resistance of 1440.75 shown on yesterday's chart but we got close with a high of 1438.75. So with the Monday's green crossed swords pushing us up through the wedge formation on the chart perhaps today was a topping day shown by todays "red crossed swords"?

If the o/n session doesn't take out the 1440.75 (or leave us close enough to that to take it out shortly after open),
then tomorrow might be lower?
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December 13th, 2012, 03:13 AM   #8 (permalink)
Market Wizard
Switzerland

Futures Experience: Intermediate
Platform: Investor/RT
Broker/Data: IB / DTN
Favorite Futures: Futures

Posts: 3,515 since Feb 2012

aquarian1
 .. I too work with a version of initial balance (IB) however I have been tracking the time window in the first hour before opening. This is because economic news is often released from 7:30 to 8:30 CT - before the opening bell.

For the Dax the news nearly never happen before the opening bell. This makes it easier to see the IB as a good signal
for the most intense trading time of the first 4 hours. As the US numbers happen in the "afternoon" of the Dax trading I omit these hours consequently in my trading as often the price overrreacts just to come back to the previous levels traded before the news.
Therefore the Dax may have different patterns than the US indizes.

GFIs1

December 13th, 2012, 01:37 PM   #9 (permalink)
The fun is in the numbers
Point Roberts, WA, USA

Platform: IB and free NT
Broker/Data: IB
Favorite Futures: ES

Posts: 2,126 since Dec 2010

GFIs1
 For the Dax the news nearly never happen before the opening bell. This makes it easier to see the IB as a good signal for the most intense trading time of the first 4 hours. As the US numbers happen in the "afternoon" of the Dax trading I omit these hours consequently in my trading as often the price overrreacts just to come back to the previous levels traded before the news. Therefore the Dax may have different patterns than the US indizes. GFIs1

Yes I understand.
thanks.

December 13th, 2012, 09:32 PM   #10 (permalink)
The fun is in the numbers
Point Roberts, WA, USA

Platform: IB and free NT
Broker/Data: IB
Favorite Futures: ES

Posts: 2,126 since Dec 2010

Day 4 - "downwards megaphone" following red crossed swords

Yesterday we had a "red crossed swords" and speculated that today would be lower.
It was and we close the gap mentioned on Tuesday and went below the support 1422.75 and closed below it.
We have touched the SAR and are looking like we will go down more tomorrow.

Today, Thursday 13 Dec 2012 was a "downwards megaphone"
OO -6.00
CC-11.50

This might lead us to a strong down day tomorrow?
(the prb might be its Friday Crooks Day)

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