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,

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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