Daily Commentary - Posted on Wednesday, November 2, 2011, 10:54 PM GMT +1

3 Comments


Nov Wednesday 2

SPX Up > 1.50% on an FOMC Announcement Session

Up +1.61% on Wednesday, November 2, the S&P 500 (expectedly, see yesterday’s postings) recouped some of its recent losses on today’s FOMC announcement session.

But historically extraordinary gains on an FOMC announcement session are indicative for at least limited upside potential on the then following session. 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 in the event the S&P 500 posted a 1.50%+ gain on the close of an FOMC announcement session in the past.

The S&P 500 never gained more than +0.75% on the close of the then following session (in this event Thursday, November 3), but lost -1.0%+ on 5 out of a total of 31 occurrences (since 1970). Therefore any (significant) pre-opening strength in the futures market or intraday upside follow-through on Thursday’s regular session might provide a short-term (intraday only) shorting opportunity.

Successful trading,

Frank

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).

________________________________

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. Alex says:

    Thanks! I am very glad that you are back to posting, and please keep up your good work.

  2. predator says:

    welcome back frank

  3. Bernadette says:

    Thank you. Happy to see you back ..very much enjoy your posts.

Leave a Reply

Your email address will not be published.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