Close to Close or Open to Open?

Much of my trading and system research is based on entering the trade at the close and exiting at the next day's close. 

There's one practical problem with this - Trading from the UK this means checking/ acting on trades in the evening. This is fine most of the time, but a) It can be hard to switch off for the evening if you know you've got to trigger a trade b) when you are out and about, its a pain to have to dash out and check a signal, especially if you're in the middle of a meal or an martial arts class! 

The more practical alternative for European traders is to trade based around the open, but will performance still hold up?

DVIM Performance (Intermediate term indicator)

I've been researching various indicators and have generally come to the same conclusion. The DVIM has performed well this year on a close to close basis (CtC) but has Open to Open (OtO) been much different?

This is based on the basic rules of going long below 0.5 and short above 0.5.

In turns out, there has been very little difference in 2011. I think this is primarily a function of the holding period being a lot longer for the DVIM than other shorter term indicators like the DVB. 

Speaking of which...

DVB Performance (short term indicator)

Speaking of which...

Trading the DVB OtO this year has actually been better than close to close. This is certainly against the long term trend for the CtC to out perform. 

I'm sure those pesky Europeans are playing their part in this year's performance differential. 

Comments

[Zack]

I gave up trying to look at Open-to-open years ago, because I could not find a consistent set of data. Which open do you use? NYSE (delayed), first price on any exchange after 9:30 AM EST, Yahoo's random guess? I mention the latter, because I've found those prices to be WAY off of reality just enough days to invalidate any study - I have gone back to check Time&Sales on every exchange to confirm several stocks for this. Anyway, I expect your conclusion about DVIM is correct, I just don't know how to reliably test it.

[Dave]

Hi Zack

It's based on Yahoo data on the SPY which is better than yahoo data for the SPX, but probably still imperfect. I know the best/ most reliable results come with close to close trading, but want to just check that things didn't completely go to pot when you looked at trading the open.