Most Efficient Nasdaq 100 Market Since 2009

Based on Monday's close on 11/04/2024, prior to the election, the net gain on the Nasdaq 100 on the year was 3138 points while the gain for the sum of the Open to Closes was -533 for the Nasdaq 100 cash index. This means that buying the open of the Nasdaq 100 while selling the close would be a net loser in 2024 while the Nasdaq 100 is up 4000 points overall intra-day on 11/07/2024.

How rare and unusual is this?

Since 2009 and Quantitative Easing (QE), buying the open and selling the close has shown a positive point value gain in every year prior to this year except for 2022 and 2018, which were down years.

The total net gain in the Nasdaq 100 has been based on the overnight moves in 2024. There has been some "catch up" this week with many brokers removing day trade margins from 11/5/2024 - 11/7/2024.

Efficient markets can be challenging to trade. As short-term algorithmic quant traders, we work to find inefficiencies to trade the markets. Since the Nasdaq 100 $NDX.X closed 2023 out at 16,825.93, we have seen it rally about 4,000 points through today's trade on 11/07/2024.

In this video we highlight how the gains intra-day as of 11/07/2024, the net gain of the open to close in the Nasdaq 100, is approximately -50 on the year.

We don't try to predict the future but do notice the cycles. We conclude 1 of 3 things will occur in the next 12 months with mean reversion in two of the three cases:

1.) Major mean reversion against the real trend with a bear market ahead.

2.) Anticipation of continued higher prices where there is some mean reversion back to more inefficient markets and more opportunities so that intra-day moves line up with the longer-term trend. If mean reversion swings back to this case, this could be very favorable for many of our trend day trade strategies currently in the portfolio.

3.) Anticipation of continued higher prices that includes the current cycle which requires more strategies that trade the trend overnight (long) and countertrend intra-day (long-short).

As short-term traders it is difficult not to notice and question the enthusiasm of the bulls to push the market higher while observing that all the net gains so far in 2024 in the Nasdaq 100, occur during time periods when the markets are more thinly traded.

We like to trade multi-strategy, multi-market portfolios that take advantage of the different types of market environments. We cut losses on strategies that lose and add additional strategies for patterns that persist.

The algorithms and strategy we discuss in the video is not a recommended trading or investment strategy. It is simply used to measure the market moves intra-day versus overnight.

Past performance is not indicative of future results.