Daily Commentary - Posted on Monday, October 4, 2010, 10:44 PM GMT +1

1 Comment


Oct Monday 4

Positive Bias for Tuesday, October 5, 2010

The SPY‘s (S&P 500 SPDR) closed modestly lower on Monday, October 4, 2010, at the same time the 2nd session of the month, and regularly – being part of the positive turn-of-the-month effect – , a positive day for the markets (but not this time).

But historically a modestly lower close on the 2nd session of a month has positive implications for the SPY‘s performance the next day.

Table I below shows all historical occurrences and the SPY‘s (S&P 500 SPDR) respective intraday performance (since 01/01/1990) on the open (open vs. previous close), the intraday high in comparison to the previous session’s close (high vs. prev. close), the intraday low in comparison to the previous session’s close (low vs. prev. close), at the end of first hour of the session in comparison to the previous session’s close (1st hr. vs. prev. close), and on the close (close vs. prev. close), in the event the SPY lost between -1.0% and -0.50% on the previous session’s close (like on Monday, October 4, 2010).

Out of 28 occurrences, the SPY opened higher the next day (in this event on Tuesday, October 5) on 21 occurrences (or 75% of the time), was always trading above the previous session’s close at least once during the next session (no unfilled gap on the downside), left an unfilled opening gap up on 8 occurrences (or 25% of the time), was never trading lower than -0.66% at the end of the first hour of the session, and finally closed higher on 19 occurrences (or 67.86% of the time), and downside potential on the close was regularly limited as well (max. loss -1.14%).

Successful trading,

Frank

Disclosure: Long UPRO (ProShares UltraPro S&P500) at time of writing.

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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), 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).

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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)

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Comments (1)

 

  1. […] This post was mentioned on Twitter by Frank Hogelucht, Frank Hogelucht. Frank Hogelucht said: New blog post: Positive Bias for Tuesday, October 5, 2010 URL: http://bit.ly/aNwSAm ($$ $SPX $ES_F $NDX $NQ_F) […]

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