Evaluating a Short-Lived Opening Price Pattern in Historical Data

Summary

The document describes a proposed NYSE opening pattern observed in historical data from 2019 through October 2021. Under stated conditions, the author reports that the 9:30 close bid was at least 0.07% above the prior day’s 16:00 close bid in more than 75% of cases. The conditions reportedly occurred on more than half of days, and the author notes that the signal became apparent less than 60 seconds before the opening observation.

The author asks whether this pattern could support an algorithmic strategy, while raising concerns about low quoted volume and a low-priced, three-digit share. The document provides no independent validation, sample size, transaction-cost analysis, or tested execution method. It assumes the pattern will persist, so its reported historical frequency alone does not establish future profitability or a best strategy.

Key ideas

• The proposed signal compares an opening bid observation with the prior session’s closing bid.
• The author reports a historical positive difference in more than 75% of qualifying cases.
• The conditions reportedly occur on more than half of days and are identifiable shortly before the opening observation.
• The author flags low quoted volume as a potential practical constraint.
• The document does not test persistence, transaction costs, or execution feasibility.

Tags

# Could this pattern be used as the base for algorithmic trading?


# Could this pattern be used as the base for algorithmic trading?












There is the pattern in the historical NYSE data (2019 - 2021M10) that I found. If certain conditions are met then in more than 75% of cases the close bid price of the share XYZ at 9:30 is at least 0.07% higher than the close bid price at 16:00 the day before. There is a bit less than 60 seconds between the moment when it is clear if the conditions are met and the close bid price. These conditions are met on more than 50% of days. Let’s assume that the pattern will continue in the future. First of all I am not sure if this information is useful at all. The pattern is there, but the volume related to the close bid is between 100 and 5000 which seem to be low. The share price has three digits (lower end).

Could this historical pattern be used as the base for algorithmic trading?

- If this is the case then what would be the best trading strategy to achieve the highest expected profit (let say taking the next 6 months into account).

- If it is not the case then why.

I'm new to this topic, so forgive me if what I'm writing doesn't make sense. If it is the case please let me know at which point (or points).

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.