Daily Commentary - Posted on Tuesday, November 1, 2011, 7:52 PM GMT +1

5 Comments


Nov Tuesday 1

SPX Down on 1st Session in NOV

Sorry for the posting hiatus during the last couple of month. More to come (but it may take some time to get into a – hopefully – daily routine again, please stay tuned …)

With the S&P 500 up 10.77% for the month of October and probably (at least at time of writing) down on the first session of November, probabilities and odds are tilt in favor of higher prices over the next couple of sessions.

The table below shows all historical occurrences and the S&P 500′s performance over the course of the then following 1 to 5 sessions (equals business days 2 to 6 in November) in the event the S&P 500 closed out the month of October with a better than +5.0% gain, but posted a lower close on the first session of November.

Since 1930, the S&P 500 closed at a higher level 2 to 5 sessions later (business day 3 to 6 in November) – but not necessarily on the 2nd session of November – on 6 out of 6 occurrences, at the same time always up 1.0%+ five sessions later. Although six occurrences only is nothing to read anything statistically significant into it, the positive weighting is quite impressive, and there seems to be a good chance that the index will resume its recent uptrend after having taken a short break during the current turn-of-the-month … (at least any negative intraday follow through on Wednesday’s session might provide a favorable buying opportunity).

 

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 (5)

 

  1. James says:

    Holy cow, welcome back!! We’ve missed you. Hope everything has been ok.

    • admin says:

      James,

      thanks.

      Everything is fine, but I needed a break from (the time-consuming) blogging in order to setting up a couple of other things. But I simply missed the blogging (too much), and so I’m back again …

      Best,
      Frank

  2. TopTick says:

    It’s great to have you back!

  3. marketfeel says:

    good to have you back – love your work

  4. deacon says:

    yeah great to have you back!

    VXO was up 14.49% yest… marketels says the S&P up three months later in 24 of the last 25 occasions VXO has been up 10% in a day.

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