Daily Commentary - Posted on Wednesday, November 3, 2010, 11:56 AM GMT +1

3 Comments


Nov Wednesday 3

FOMC Session and Intraday High(lights)

I’m currently on a short break, therefore a brief posting only.

On Tuesday and Wednesday, November 2-3, the FED holds a two-day policy meeting, and the rate decision is to be announced at 2:15 p.m. today. Although – accounting for Tuesday’s better than 0.75% gain on a pre-FOMC session – no significant edge is provided with respect to Wednesday’s close, there are a couple of notably pattern which might at least provide an (intraday) edge during Wednesday’s session.

Table I below shows those occurrences and the SPY‘s historical intraday performance (since 01/01/1990) on an FOMC announcement session (Effective Day) with respect to a potential higher high (high vs. previous high), a potential lower low (low vs. previous low), the close (close vs. prev. close), the time of high (time of the intraday high = minutes after the open) and the time of low (time of the intraday low) where the SPY had gained at least 0.75% on a pre-FOMC announcement session in the past (like on Tuesday, November 2, 2010).

Interesting to note that …

  • the SPY posted a higher high on 34, but a lower low on only 9 out of those 38 occurrences (a significantly bullish bias), and up to now the SPY has never left an unfilled gap on the downside (means the SPY always posted an intraday high above the previous session’s close),
  • the SPY posted its intraday high immediately before (within 30 minutes = 255 minutes after the open) or even after the policy announcement (2:15 p.m. = 285 minutes after the open) on 29 out of 34 occurrences (4 occurrences without intraday time of high / low), and only once during the first half of the FOMC announcement session (within the first 195 minutes of the session), but
  • the SPY posted its intraday low at or before the end of the first hour of the session on 12 out of 34 occurrences, and was regularly trading flat to slightly lower during the first hour of the session (not shown).

Conclusions:

From a statistical and historical point of view, a lower open or any weakness ( but don’t bet on much downside potential – if any – ) during the first hour of the session will probably provide a short-term (intraday) buying opportunity targeting a higher price immediately before 2:15 p.m. (bulls will probably be grinding their way higher).

Successful trading,

Frank

Disclosure: No position in the securities mentioned in this post at time of writing.

________________________________

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.

________________________________

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).

________________________________

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)

________________________________

Comments (3)

 

  1. […] This post was mentioned on Twitter by Frank Hogelucht and Greg Phatts, 50 Pips. 50 Pips said: RT @TradingTheOdds: New blog post: FOMC Session and Intraday High(lights) URL: http://bit.ly/dx5BG8 ($$ $SPX $ES_F $NDX $NQ_F) […]

  2. […] day trading stats FOMC Session and Intraday High(lights) | TRADING THE ODDS site has some other interesting […]

  3. […] Read the rest here: FOMC Session and Intraday High(lights) […]

Leave a Reply

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