Intraday Stats - Posted on Monday, November 14, 2011, 11:03 AM GMT +1

1 Comment


Nov Monday 14

SPX Approaching a Multi-Month High

On October 27, 2011, the SPY (S&P 500 SPDR) had closed at a multi-month high (at least a 3-month high), and – after a 2-week consolidation phase – is currently approaching that high (128.63) again.

I thought it would be interesting to check for the markets (intraday) tendencies on those sessions where the SPY (S&P 500 SPDR) had closed at a multi-month high (at least a 3-month high) in the past, immediately followed by an at least 2-week consolidation phase (without closing at  a new high), but is then approaching that high again by trading (posting an intraday high) within a distance of max. 1.5% to that high for the first time after a 2-week period.

Table I below shows all historical occurrences and the SPY‘s intraday performance on the first session (in this event on Monday, November 14) immediately following a day where the setup defined above had been triggered in the past (the SPY posted an intraday high of 126.99 on Friday’s session, which is within a 1.5% distance to 128.63, the close on October 27, 2011).

 

Interesting to note that historically probabilities and odds are (heavily) tilt in favor of the upside. The SPY not only closed higher on 18 out of a total of 22 occurrences since 1990 (or almost 80% of the time), but it posted a higher high on 16 occurrences (or almost 75% of the time), closed above the open on 18 occurrences (or almost 80% of the time), closed above the previous session’s high on 13 occurrences (or 60% of the time), and closed in the upper half of its daily intraday range on 16 occurrences (or almost 75% of the time), always significantly exceeding the markets at-any-time chances for a higher high | close | … (the t-score is always – partly significantly – exceeding the +1.645 mark for statistical significance, means that there is a low chance that this occurred by pure chance only).

In addition: Historically intraday downside potential was regularly limited as well. Assumed one went long right at the open, the SPY never lost more than -0.37% on the close (‘close vs. open‘).

Conclusion(s): If the opportunity arises, the chance to penetrate or even take out previous multi-month highs seems to appeal a lot of traders. Therefore weakness before the open (GLOBEX), but especially during the first part of the session might provide a favorable intraday buying opportunity targeting some (significantly) higher prices during the remainder of Monday’s (November 14th) session and/or on the close.

Successful trading,

Frank

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

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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).

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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. Don says:

    Futures look to give early weakness. I too think such a set up offers a buying op, but I usually hold longer than a day and in this market that has been so choppy, I’m not quite ready to get long again until the market starts to buy the Euro news instead of sells it. :)

    Love your analysis here though.

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