Posted by lae2 on December 10, 2008 at 20:32:58:
Calculate the net difference in after hours changes (gains/losses) summed across a diversified portfolio. A diversified portfolio is defined by high correlation with the DOW and much higher beta than the DOW. The holdings have to be liquid stocks that trade in the aftermarket and the premarket. A net zero sum indicates a neutral market in the AM. The net sum can then be compared to the futures trading. If the aftermarket, premarket, and the futures vectors are all in the same direction; act accordingly.