Trading trends and correlations

摘要

Most intraday time zone correlations in major stock indexes come up positive, but that may not be enough to trade. Here are results of a study that show similar patterns for intraday, weekday and monthly time frames in the DJIA. Most traders subscribe to the postulate that markets move in trends. But are these trends strong enough to be exploited by traders? A study of intraday correlations and trends designed to find if certain intraday patterns exist that can be capitalized on comes up with a short and disappointing answer: Although most intraday correlations are positive, they are too weak to assure profits. "Timely correlations in the DJIA" (below) shows the intraday correlations for the Dow Jones Industrial Average (DJIA) from the later time shown to the close of the day's trading at 4 p.m. (EST) for the period from March 1997 to October 2001. For example, the first percentage figure of 52.13% indicates that in 52.13% of observed cases, if the DJIA was up (down) from 9:30 a.m. to 10 a.m., the DJIA was up (down) from 10 a.m. to the close at 4 p.m. Although 22 of the 26 correlations in the table are positive ― that is, greater than 50% ― these positive correlations reach unsatisfactory values from 50.13% to 64.33%. Similar results are observed for the Nasdaq 100 Stock Index (see "Nasdaq correlations," right), where 21 of the 26 correlations are positive. However, the 21 positive correlations reach unsatisfactory levels from 50.45% to 62.03%.