Daily Commentary - Posted on Monday, September 20, 2010, 11:07 PM GMT +1

No Comments


Sep Monday 20

SPY 2 up before FOMC session

With US major market indexes almost going vertical (up), historical occurrences (e.g. seasonalities like September’s triple witching) and respective probabilities and odds (which were heavily lopsided in favor of the downside on Monday, September 20) as well as mean-reversion tendencies currently (but hopefully temporarily only) doesn’t seem to matter.

With the SPY (S&P 500 SPDR.) up on Friday, September 17 and on today’s session as well, the SPY closed higher on a back-to-back session immediately preceding tomorrow’s FOMC (Federal Open Market Committee) announcement session which historically has been a bullish indication with respect to the SPY‘s performance over the course of the then following 3 sessions.

Table I below shows the SPY‘s performance (since 1990) on the FOMC announcement session (in this event on Tuesday, September 21, ‘next session‘) as well as 3 and 5 sessions later in the event the SPY closed higher on a back-to-back session immediately preceding an FOMC announcement session in the past.

( * = no close below the trigger day’s close during next 5 sessions )

With two higher closes on those sessions immediately preceding an FOMC announcement session, the SPY closed higher on an FOMC announcement session (in this event on Tuesday, September 21) on 23 out of the last 26 occurrences (max. loss -0.74%), and was trading at a higher lever 3 sessions later on 15 out of the last 16 occurrences. In addition, the SPY posted at least one higher close over the course of the then following 3 sessions (in this event until Thursday, September 23) on 47 out of those 50 occurrences (thereof on all of the last 30 occurrences), and did not post a single close below the trigger day’s close (the session immediately preceding the FOMC annoncement session) on 20 out of those 50 occurrences.

Successful trading,

Frank

________________________________

If you might want to be instantly notified about what’s happening in the markets and at TRADING THE ODDS, I encourage you to subscribe to my RSS Feed or Email Feed, and (or) follow me on Twitter.

xx

________________________________

Remarks: Due to their conceptual scope – and if not explicitely stated otherwise , all models/setups/strategies do not account for slippage, fees and transaction costs, do not account for return on cash and/or interest on margin, do not use position sizing (e.g. Kelly, optimal f) – they’re always ‘all in, do not use leverage (e.g. leveraged ETFs) but a marginable account is mandatory , do not utilize any kind of abnormal market filter (e.g. during market phases with extremely elevated volatility), do not use intraday buy/sell stops (end-of-day prices only), and models/setups/strategies are not ‘adaptive‘ (do not adjust to the ongoing changes in market conditions like bull and bear markets).

________________________________

Disclaimer

The information on this site is provided for statistical and informational purposes only. Nothing herein should be interpreted or regarded as personalized investment advice or to state or imply that past results are an indication of future performance. The author of this website is not a licensed financial advisor and will not accept liability for any loss or damage, including without limitation to, any loss of profit, which may arise directly or indirectly from use of or reliance on the content of this website(s). Under no circumstances does this information represent an advice or recommendation to buy, sell or hold any security.

I may or may not hold positions for myself, my family and/or clients in the securities mentioned here. Actions may have been taken before or after information is presented, and any opinions expressed in this site are subject to change without notice.

(Data courtesy of MetaStock , and for data import, testing, surveys and statistics I use MATLAB from MathWorks)

________________________________

Leave a Reply

Your email address will not be published. Required fields are marked *