Daily Commentary - Posted on Friday, November 4, 2011, 4:58 PM GMT +1

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Nov Friday 4

SPX Down on BLS Job Report

On Friday’s release of the BLS Job Report the SPY (S&P 500 SPDR) opened lower -0.81% and – until time of writing (11:20 AM ET) – had already posted an intraday low of -1.77% below Thursday’s close.

But wherever the SPY might close on Friday’s session, from a historical point of view the closing price will probably not provide a favorable short-term buying opportunity. Table I below shows all historical occurrences, the SPY‘s (S&P 500 SPDR) performance over the course of the then following 1 to 5 sessions and the number of sessions until the SPY posted a higher | lower close (above | below the trigger day’s close, in this event Friday, November 4) in the event the SPY opened lower -0.75%+ and posted an intraday low of -1.75%+ on a release day of the BLS Job Report.


When the SPY was trading significantly lower at the open and at least once during the regular session on a release day of the BLS Job Report in the past (even if it managed an intraday upside reversal and closed higher), the index closed at a (an even) lower level one or two days later on 16 out of 21 occurrences (or on 3 out of every 4 occurrences) – thereof on 11 out of the last 12 occurrences -, (significantly) worse than the at-any-time chances of 58% for a lower close one or two days later. In addition, and applicable for the then following 1 to 5 sessions, the number of occurrences where the index was trading lower -1.0%+ on the close outnumbers those occurrences where the index was trading higher 1.0%+ on the close (for a negative expectancy and negative median change).

For those looking for a favorable opportunity to get long the market (again), patience will probably be rewarded.

Successful trading,


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


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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(Data courtesy of MetaStock , and for data import, testing, surveys and statistics I use MATLAB from MathWorks)


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