Buying The Close

[JulianCohen]

I am just reading Larry Connors new book, trawling for ideas to test, and he has a number of systems that buy on the close.

As an example one of his conditions is:

The 4-period RSI of SPY closes under 30. Buy SPY on the close.

Surely the RSI for that day can’t be know until after the close? Am I missing something or is someone of his experience falling into that simple trap?

And why not buy on open the next day? I haven’t tested the theories yet but they can’t be so weak that the difference between close and open removes the edge….or can they? I’ll answer that question for myself in a bit, but I just wanted to check I wasn’t overthinking things.

Maybe he means Ref(RSI(4),-1) < 30 and you place n order to buy on close for the next day.

[Nick Radge]

Julian,
market on close entries in the US are quite common, although the point about knowing the RSi reading and then entering is an obvious error.
They may use real time data or I do know that Alveraz did make some type of model that provides the RSI reading at various close points. Even so you’d still need to be monitoring the close in real time.

A reason why the do it is because of the well known overnight move which is a very high contributor to returns. I think Bespoke did some extensive research on it.

[JulianCohen]

Thanks Nick,

Actually reading on in the book I figured out that he has reverse engineered the RSI calculations so he can set a limit entry price before the close. he know if the price goes to “x” then the RSI will be”y” and he can enter at x.

Not well suited to our style of trading though. I’ll start testing on market on Open and see how things go.

[SaidBitar]

Yes this is the way
You need to calculate the close value that will provide the rsi reading then you place limit on close

[Author]

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