Analysis of Nifty

Data Tested from 2-Aug-2010 to 29 July 2016.

Is gap up a good buying opportunity?
Among the tested 1503 trading days, Nifty gapped up 761 times.
The total of close-open comes out -26454 points on those 761. It's not a good decision to buy on gap up, we should look for short opportunity.

HISTOGRAM

Bin Frequency
-180 15
-160 3
-140 7
-120 29
-100 24
-80 51
-60 65
-40 115
-20 134
0 891
20 83
40 46
60 19
80 12
100 4
120 2
140 1
160 0
180 0
More 0


Among the tested 1503 trading days, Nifty gapped down 742 times.
The total of open-close comes out -19798 points on those 742 days. It's a good decision to sell on gap down.

HISTOGRAM
Bin Frequency
-180 2
-160 2
-140 7
-120 12
-100 27
-80 47
-60 73
-40 93
-20 126
0 911
20 98
40 58
60 27
80 11
100 6
120 0
140 1
160 0
180 0
More 0

Analysis of nifty from 2-Aug-2010 to 29 July 2016.

(Close - open) and their frequency w.r.t bin.

Simple Histogram
Bin Frequency
-180 15
-160 3
-140 7
-120 30
-100 24
-80 57
-60 76
-40 142
-20 192
0 276
20 206
40 172
60 113
80 84
100 51
120 29
140 13
160 7
180 2
More 2

Fat Tails

High -low and their frequency.
20 0
40 124
60 349
80 340
100 262
120 165
140 84
160 65
180 33
200 15
220 8
240 9
260 5
280 1
300 1
More 2 

Tested Data from 18/9/2007 to 18/11/2016
2279 Trading days

PDH = previous day high
PDL = previous day low.

Nifty crossed the PDH.
1208 days it crossed the PDH. Among those 1208, 691 days it closed above the PDH.
But, in all 1208 days , the sum of close-PDH is 10921.
So, its good to trade the breakout of PDH.

Nifty crossed the PDL.
1083 days it crossed the PD low. Among those, 605 days it closed low.
Sum of PD low-close is 14113. But, we should look for failure too. One day it was -416 points.

It shows if nifty crosses the pdh/pdl it will close in that direction for 55% of the days.

Is it a good idea a buy on gap up days ?

Among 2279 days, nifty gapped up by more than 20 pts. for 472 days.
The sum of close-open for those days is -1445.

Is it a good idea to sell on gap down days ?
Gap down 227 days. Among those 227 days, 116 days open-close was positive.
Sum of open-close for those 227 days is -39.

Does market follow the previous day ?

1068 days market closed on positive side. 516 days followed.
1173 days market closed negative. 626 days followed.

I tried checking if nifty closed more than +40 and +60. Did the next day followed ? Same result only 50% days.

If we see all the figures so far, we came to see that markets are fairly balanced this way.

Simple Stats of Nifty (2007 - 2016)
If Nifty opens within PDR, it has 50% probability of closing within the range
If Nifty opens abv PDH, it has 60% probability of closing abv PDH
If Nifty opens blw PDL, it has 60% probability of closing blw PDL

If Nifty opens above PDC, 60% probability of closing above PDC
If Nifty opens below PDC, 60% probability of closing below PDC