Daily Commentary - Posted on Thursday, January 6, 2011, 11:17 PM GMT +1

3 Comments


Jan Thursday 6

BLS Employment Situation Report

On Friday, January 7, 2011, the first BLS Employment Situation Report in 2011 will be released. Historically, when the S&P 500 was up at least 1.0% week-to-date from Monday to Thursday (day by day) prior to the Employment Report release, but closed lower on the session immediately preceding the Employment Report release (like on Thursday, January 6), the S&P 500 shows a notably edge on the long side of the market on the release date and the then following session as well (in this event on Friday, January 7, and Monday, January 10, 2011).

Table I below shows all occurrences (since 1957) and the S&P 500‘s performance over the course of the then following 1 , 2 and 3 sessions, assumed one went long of the session immediately preceding the Employment Report release date (in this event on January 6, 2011) when the S&P 500 was up at least 1.0% week-to-date from Monday to Thursday (every single day) prior to the Employment Report release, but closed lower on the session immediately preceding the Employment Report release.


(* no close below trigger day’s close during period under review)

When the S&P 500 was up at least 1.0% week-to-date from Monday to Thursday (every single day) prior to the Employment Report release, but closed lower on the session immediately preceding the Employment Report release in the past, …

  • … the S&P 500 closed higher on the Employment Report release day and the then following session on 25 out of 34 occurrences (or 70.59% of the time) ; thereof up two days later on 10 out of the last 11 occurrences ;
  • … downside (in contrast to upside) potential was regularly limited over the course of the then following three sessions ; the S&P 500 closed higher at least +1.0% one, two and three sessions later on up to 8 occurrences, but lower at least -1.0% on only 3 occurrences (max. loss -1.52% three sessions later), and
  • … the S&P 500 never looked back and did not post a single close below the trigger day’s close over the course of the then following three sessions on 18 out of those 34 occurrences.

________________

Chances are even better with respect to those occurrences when the S&P 500 was up at least 1.0% week-to-date from Monday to Thursday (every single day) prior to January‘s Employment Report release, see Table II below.


(* no close below trigger day’s close during period under review)

The S&P 500 closed higher on the Employment Report release day on 8 out of 9 occurrences, and closed at a higher level two and three days later on 7 out of those 9 occurrences.

Conclusions:

When the S&P 500 was trading on a firm note (up >= +1.0% week-to-date from Monday to Thursday, every single day) the trailing week prior to an Employment Report release date in the past, chances are good that the market will not disappoint the bulls on the release data and the then following session as well.

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 explicitly 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. Denali92 says:

    COMPLETELY agree with you on this one!

    In the last 2 plus years, we tend to have major bottoms on or around employment (not possible right now) or rally continuation or minor / major tops the week after….

    I think June’s employment report was the only time there was such a fake out.

    We did closer lower in August, but then popped and topped on the Monday….

    Definitely best to be flat or long in to this number.

    THANKS!

    -D

  2. […] This post was mentioned on Twitter by Frank Hogelucht and Ben Oliver, Quant Blogs. Quant Blogs said: Trading the Odds: BLS Employment Situation Report http://bit.ly/fiN1VS […]

  3. 4x made easy says:

    Great information, I have found that there is a lot of miss-information on the internet about forex / stock trading. Can anyone else suggest other related topics that I can search for to find out more information?

Leave a Reply

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