On the call I asked Nick about the predictive value of the futures markets immediately prior to the open.
The conclusion was that there is some predictive value in what the futures are doing but it’s difficult to back test and use this information in systematic framework. There’s complexity of intraday data, start and end date of sessions and real-time trading at or just prior to the open.
Nick mentioned a system where you look at the futures and anticipate a gap up at open and then fade the move.
Both SPX and NDX gapped up and faded as Nick anticipated.
