Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for July 2024 (Final)

Momentum Investing Strategy (Strategy Overview)

Allocations for July 2024 (Final)
1st ETF 2nd ETF 3rd ETF

Are Strong or Weak Daily Closes Predictive?

March 20, 2020 • Posted in Technical Trading

When the stock market close is strong (weak) relative to its daily range, does it indicate pent-up buying (selling) demand? Should one trade with or against this relative close? To investigate, we relate position of the daily close for the S&P 500 Index relative to its same-day range to future return for the index. We calculate:

  • Daily range as High minus Low, divided by Open.
  • Daily relative close as Close minus Low, divided by High minus Low.

Using daily open, high, low and close levels of the S&P 500 Index during 1/2/62 (the earliest with a daily range) through 3/17/20, we find that:


Please or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more!  Learn more

Daily Email Updates