Daily Commentary - Posted on Monday, November 23, 2009, 3:00 PM GMT +1
Thanksgiving and Stock Market's Performance
This is a follow-up to my post TRADING THE ODDS on Monday – November 23, 2009 .
Thanksgiving (exchange holiday, with a shortened session on Friday, November 27) is celebrated on the fourth Thursday in November, this year on November 26.
I thought it would be interesting to check if – and to what extend – the market historically shows a positive or negative bias during the respective trading week (compassing Thanksgiving) until the end of the then following week (assumed one would have went long on close of the last business day the week immediately preceding Thanksgiving, in this event on Friday, November 20).
Table I shows the ES E-MINI S&P 500 performance over the course of the then following 10 sessions (since 01/01/1990) assumed one would’ve went long the ES E-MINI S&P 500 on close of the last business day the week immediately preceding Thanksgiving, in this event on Friday, November 20 (so ‘next session‘ equals the session on Monday, November 23).
It is interesting to note that – since 1990 – the ES E-MINI S&P 500
- was trading higher 10 sessions later (regularly the Friday of the week immediately following Thanksgiving) on 3 out of every 4 occurrences, while the at-any-time probability for a higher close 10 sessions later is only slightly better than even,
- the median close 10 sessions later was +1.04% (means the market closed higher than +1.04% on 9 sessions, and lower than +1.04% on 9 sessions as well, separating the higher half of a sample from the lower half), while the at-any-time median trade 10 sessions later is +0.28% only (and the profit factor significantly exceeds the at-any-time profit factor),
- was never trading lower than -5.36% below the trigger day’s close (even intraday) during the entire 10-day period,
- and there were only 2 (out of 19) occurrences (marked with an asterisk) where the ES E-MINI S&P 500 did not manage a close above the trigger day’s close on even a single session during the entire 10-day period.
At least based on historical probabilities and odds, the market shows a positive performance over the course of the then following 10 sessions (during the week compassing Thanksgiving and the then following week), and there is a significantly above-average probability that the ES E-MINI S&P 500 will be trading above last Friday’s close (1090.00) on Friday, December 11.
Disclaimer: Long ES E-MINI S&P 500 at time of writing (and short volatility).
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