Which Price? Open, High, Low, Close ... or some combination?

So there I was, downloading data and applying some neat scheme to the Closing prices and I thought ...

>You thought: "Why the Close". Am I right?
Yes ... why the Closing price? Why not the Open or the Average or some sexy combination like (2/3)Open+(1/3)Close or maybe ..

>So?
So I played with this spreadsheet to see the differences, if any, when you use one or t'other:

You type in two yahoo stocks symbols and download BOTH and you see, for example:

  • The Serial Correlation between returns, from one day to the next, for each stock (where the daily returns used are Open-to-Open or High-to-High etc. etc.).
  • A plot of a $1K portfolio invested in each stock ... where the daily returns used are Open-to-Open or High-to-High etc. etc.
  • A scatter plot of daily returns for one stock against those of the other ... where the daily returns used are Open-to-Open or High-to-High etc. etc.
>Combo? What's Combo?
You can also choose the weights for Open, High, Low and Open ... like 1, 2, 3 and 4.
That'd mean you'll be using daily returns calculated according to: Combo = (1/10)Open + (2/10)High + (3/10)Low + (4/10)Close.
In general, if you choose weights w, x, y and z the returns would be these numbers, each divided by (w+x+y+z).
>So?
So I find that, for some things (like long-term growth - or decay) it don't matter.
Aah, but for others it do. For example:

     
>You happy now?
Very.