Intraday Crossings, from Anton Johnson

2010-02-15 · Anton Johnson
Original source

This study takes an intraday approach to test for Index attraction to round numbers. Data is DJIA from 1-18-1966 through 2-12-2010.

First, daily high-low range crosses of x100 rounds at index levels between 1000 and 13900 inclusive are summed. Next, data undergo natural log transformation. Then, percent crosses for each x100 round (i.e. 1000, 1200, 1300…1900) for each 1000 point range between1000 and 13900 is computed. Last, the percent crosses just computed are summed for each x100 round (for a total of 13 summed per x100 round, that is one for each 1000 point range), then averaged.

14939 Total Crosses

Column 1- x100 point ranges
Column 2- Actual percent crosses per x100 round
Column 3- Adjusted crosses per x100 round
Column 4- Adjusted percent crosses of per x100 round
Column 5- %R next period

1000    10.49%    1047    10.59%    .04%
1100    8.50%    867    8.77%    .08%
1200    9.48%    967    9.78%    .04%
1300    9.90%    1007    10.19%    .06%
1400    9.54%    956    9.67%    .02%
1500    10.42%    974    9.85%    .01%
1600    10.80%    995    10.07%    .00%
1700    10.44%    1029    10.41%    -.10%
1800    9.76%    1027    10.39%    -.04%
1900    10.66%    1016    10.28%    -.01%

Next three tables are consecutive crossings after a cross.

Column 1- x100 point ranges
Column 2- Actual percent crosses per x100 round
Column 3- Adjusted number of crosses per x100 round
Column 4- %R next period

Consecutive crosses next 2 days

4863 Occurrences

1    2    3    4
1000    4.19%    1002    .07%
1100    3.15%    729    .15%
1200    3.67%    901    .06%
1300    3.95%    990    .00%
1400    3.38%    861    .28%
1500    4.08%    879    .16%
1600    4.44%    911    .02%
1700    4.13%    962    .05%
1800    3.71%    945    -.07%
1900    4.37%    945    -.07%

Consecutive crosses next 3 days

3156 Occurrences

1    2    3         4
1000    2.78%    797    .03%
1100    1.98%    544    .00%
1200    2.44%    685    .02%
1300    2.56%    816    .00%
1400    2.15%    651    .40%
1500    2.75%    681    .24%
1600    3.00%    675    .00%
1700    2.64%    755    .08%
1800    2.35%    707    .00%
1900    2.74%    743    -.15%

Consecutive crosses next 4 days

2326 Occurrences

1    2    3    4
1000    2.04%    709    .06%
1100    1.31%    452    .25%
1200    1.82%    605    -.10%
1300    1.90%    759    .23%
1400    1.51%    571    .37%
1500    2.09%    605    .03%
1600    2.27%    585    -.04%
1700    2.05%    653    -.10%
1800    1.65%    618    -.04%
1900    2.07%    672    -.01%