Two Filtered Indicators by Daniel E. Downing
By filtering two indicators, my firm and I discovered the Friday tick indicator and the last hour/ first hour indicator. These new indicators have shown an interesting relationship to the equity markets over the intermediate term, which we define as a period of four to six weeks. The indicators are easy to derive and follow.
We came upon the idea of the filter when we were discussing whether any one day of the week is more significant than the others for the markets. We agreed that Friday was the most important day for trading, and so we decided to take a poll to confirm this. We surveyed our institutional clients' firms. Of 218 surveys that were returned (297 were sent out), 83% said Friday was the most important day of the week for the markets, 14% chose Monday, 2% felt no particular day was more important than the others and 1% chose Tuesday, Wednesday or Thursday.