Program Trading & April Fools' Day
Do you know the
most predictable
trade
to make on April Fools Day? There are a lot of myths
about trading on April Fools' Day and the first trading day in
the month of April. You may be surprised to learn the following
facts.
Note: All
referenced times are Chicago Program Trading (Central) Time.
During the past 26 years (since the spoos began trading) the first trading day of April (whether or not they were literally the first calendar day in the month of April) has seen the spoos gap up 61.50% of the time. And the most predictable trade has been long 69.00% of the time. The spoos and the Dow have closed positive 61.50% of the time. The daily highs have been between 10:00 and 3:15, 69.00% of the time. And between 1:00 and 3:15, 50.00% of the time. The daily lows have been between the 8:30 and 10:00, 61.50% of the time. And between noon and 3:15, 31.50% of the time.
During the past 10 years the first trading day of April has seen the spoos gap up 72.7% of the time. And the most predictable trade have been long 72.70% of the time. The spoos have closed positive 63.6% of the time. And the Dow has closed positive 72.70% of the time. The daily highs have been between 10:00 and 3:15, 81.80% of the time. And between 11:00 and 3:15, 72.70% of the time. And between 1:00 and 3:15, 55.50% of the time. The daily lows have been between the 8:30 and 9:30, 72.70% of the time. And between noon and 3:15, 27.30% of the time.
Significant? In trading history, how have ANY first trading days of April fared whenever the last trading days of March have posted positive closes? The spoos have gapped up 62.5% of the time in the only eight such instances. The most predictable trades have been long 75% (6 of 8) of the time, with the joint market closes positive 87.5% (7 of 8) of the time! Daily highs: 3:15, 3:15, 3:15, 3:00, 2:55, 2:15, 1:10, 10:50. Respective lows: 9:10, 8:35, 8:45, 8:30, 9:00, 9:20, 8:40, 1:30.
During the past 26 years there have only been 15 April Fools' Days (April 1 was on Monday through Friday trading day and not a Good Friday Holiday) and have seen the spoos gap up 73.00% of the time. And the most predictable trade has been long 66.60% of the time. The spoos have closed positive 66.60% of the time and the Dow has closed positive 73.00% of the time. Of the daily highs: 53% have been between 1:00 and 3:15, 13.4% between 10:00 and noon and 33.6% between the 8:30 open and 9:30. Of the daily lows: 60.00% have been between the 8:30 and 9:30, with 13.4% between 10:00 and 12:15 and with 26.6% between 1:00 and 3:15.
During the past 10 years there have only been 7 April Fools' Days and have seen the spoos gap up 85.70% of the time. And the most predictable trade have been long 71.00% of the time. The spoos have closed positive 70.00% of the time. And the Dow has closed positive 71.00% of the time. Of the daily highs, 71% have been between 10:00 and 3:15, with 57% between 1:00 and 3:15. Of the daily lows, 85.7% have been between the 8:30 open and 9:30, with just one late low at 1:15.
During the past 26 years there have only been 3 instances on which April Fools' Day has been on Wednesday like this year. Two of these three gapped down on the open. The most predictable trades were long in all three instances, with the spoos and Dow closing positive in all three instances. The daily highs were at 3:15, 3:15, and 2:55. And the daily lows at 8:35, 8:45, and 9:00. These rare April Fools' Day Wednesdays were 4/01/1998, 4/01/1992, 4/01/1987.
This year April Fools' Day also happens to be on Wednesday of a Monthly Unemployment week (the report is released this coming Friday). During the past 26 years, these April Wednesdays (regardless of whether or not they were also April Fools' Day) have seen the spoos gap up 60.00% of the time. The most predictable trades were long 69.00% of the time. The spoos closed 50/50 and the Dow has closed positive 53.00% of the time.
During the past 10 years, these April Wednesdays of a Monthly Unemployment week have seen the spoos gap up 72.70% of the time. The most predictable trades were long 72.70% of the time. The spoos closed positive 63.60% of the time and the Dow has closed positive 54.00% of the time. Of the daily highs: 81.8% have been between 10:00 and 3:15, and 54.50% between 1:00 and 3:15. Of the daily lows: 63.6% were between the 8:30 and 9:30, and 36.4% were between 10:45 and 3:15.
Note: Just a reminder that this Program Trading Research report is based on historical statistical facts, and in no way is presented with any guarantee of what the markets performance will be on April 1, 2009.
All times given are Chicago Program Trading (Central) Time.
