The big up opening of the market tomorrow may present an opportunity for a short term buy. The SPX and NDX futures are each up over 2% this evening. When the SPY has opened up by at least 1.5%, buying the open has presented an opportunity for a short term trade.
The chart above summarizes the results for the close the day of purchase and one, two, and five days after purchase. Buying the open and holding to the close of same day returns an average of 0.65% and was a winner 66% of the time. The average return from holding until the close of the next day was 0.7% and was a winner 63% of the time. The trade is not statistically significant for a hold time of two or five days. Also note that the two trades in March 2008 each did very well the day of purchase.
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