Daily Commentary - Posted on Thursday, September 23, 2010, 2:59 PM GMT +1


Sep Thursday 23

Down after Labor Day – Revisited

A couple of days ago I posted about the market’s short- and intermediate-term performance in the event the S&P 500 closed lower the session immediately following the Labor Day (exchange) holiday ( see September’s and Labor Day’s Almanac ). Just as a reminder: the S&P 500 closed lower -1.15% on Tuesday, September 7, the session immediately following this year’s Labor Day.

(cit.) ‘A down-day on a session immediately following the Labor Day holiday historically had significant negative implications on the S&P 500′s short- and intermediate-term performance. Since 1940, out of 28 occurrences the S&P 500 was trading higher 5 sessions later on only 10 (36% of the time), 10 and 15 sessions later on only 8 (29% of the time), and 20 sessions later on only 7 (25% of the time or every one out of four) occurrences, significantly below the at-any-time probability for a higher close x sessions later.

Eleven sessions have passed, and I think we’re at peak time to check for the S&P 500’s performance since September 7.

Table I shows the S&P 500‘s historical performance (since 1/1/1930, data is NOT adjusted for dividend payments) 11 (in this event yesterday, Wednesday, September 22), 13 (in this event Friday, September 24) and 17 (in this event Thursday, September 30, the final session of the month) sessions later assumed one went long on close of a down-day immediately following the Labor Day exchange holiday.

( * no close below the trigger day’s close during the next 11 sessions)

Since 1930 (30 occurrences) the S&P 500 was never before trading at a higher level 11 (in this event yesterday, Wednesday, September 22) sessions later (+3.89%), and up to now there was only one other year (09/09/1992) when the S&P did not close below the trigger day’s close at least once over the course of the then following 11 sessions (marked with an asterisk). But even in 1992, the S&P 500 posted at least one lower close over the course of the then following (remaining) 6 sessions (‘max. loss‘ over the course of the then following 17 sessions is – up to now – always negative).

Therefore if history gives guidance and repeats itself, this wouldn’t bode well for the S&P 500’s performance over the ramainder of the month (6 sessions), and with ES E-mini futures currently (at time of writing) down -1.0% before today’s (Thursday’s, September 23) open, the S&P 500 could very well take a big step forward on today’s session towards at least one lower close below the close on September 7, 2010 (1091.84).

Successful trading,



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Comments (3)


  1. BlackThought says:

    Do you happen to have data based on how the stock market performs during midterm election years?? I used the website below and realized that the market does not follow it at all.


    • TradingTheOdds says:


      up to now I never checked for midterm election ‘seasonalities’, but it’s a good idea to add it to the set of ‘seasonalities’ (I’ll put it on my list of open items, please allow for a couple of days).


  2. BlackThought says:

    The market is being artificially pumped by the FEDs during POMO days. They are injecting approximately $3 billion on POMO days to punish the shorts. Take a look at the index charts and you can clearly see how the POMO days are very bullish, whereas the NON-POMO days seems to be quite bearish.



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