Can pre-market tell you anything: a quantitative study

Pre-market is an exciting time when you start looking at your screens to check what's going on. There is a lot of information to consume: news, reports, charts... you can continue the list. In this study, we explore if price movement in pre-market can provide any indications of what the day is going to look like.

There are 3 setups we tested from 2015 to 2022

• Up 1%+ in pre-market
  
• Down 1%+ in pre-market
  
• Flat in pre-market (open and close are within 0.1%)
  

Trading Conditions

• $10,000 to trade daily
  
• Trading only SPY
• Buy at 9:30 if the condition is met
  
• Do not trade on early close days
  

The Results:
Most of the time when it's down in pre-market it tends to rebound. It's well known that bulls run by night and seem like tend to buy the lows if the early hours didn't work out.

2015:
Down 1%: Gain 3.42%, Win/Loss 2/3
Up 1%: Gain -2.56%, Win/Loss 1/1
Flat: Gain -5.9%, Win/Loss 37/42

2016:
Down 1%: Gain 1.26%, Win/Loss 2/1
Up 1%: Gain 2.66%, Win/Loss 2/1
Flat: Gain -2.11%, Win/Loss 37/39

2017:
Down 1%: Gain 0%, Win/Loss 0/0
Up 1%: Gain 0%, Win/Loss 0/0
Flat: Gain 6.22%, Win/Loss 71/45

2018:
Down 1%: Gain 3.61%, Win/Loss 2/1
Up 1%: Gain -2.73%, Win/Loss 0/2
Flat: Gain -1.44%, Win/Loss 48/35

2019:
Down 1%: Gain 0.37%, Win/Loss 2/1
Up 1%: Gain 0.33%, Win/Loss 1/0
Flat: Gain 3.14%, Win/Loss 55/46

2020:
Down 1%: Gain 3.85%, Win/Loss 8/9
Up 1%: Gain -2.85%, Win/Loss 5/7
Flat: Gain -3.02%, Win/Loss 39/27

2021:
Down 1%: Gain 0%, Win/Loss 0/0
Up 1%: Gain 1.4%, Win/Loss 2/0
Flat: Gain 1.13%, Win/Loss 35/34

2022:
Down 1%: Gain 1.25%, Win/Loss 1/1
Up 1%: Gain -3.26%, Win/Loss 0/2
Flat:Gain -2.61%, Win/Loss 2/2

Disclaimer: This post is for fun and educational purposes only with no attempt to beat buy and hold. Do not use this as trading/investment advice.