Daily Commentary - Posted on Tuesday, November 1, 2011, 9:10 PM GMT +1

1 Comment


Nov Tuesday 1

SPX up in OCT, but lower Year-to-Date

A second setup triggered on the close of October 31, 2011, caught my eye today.

The S&P 500 closed out the month of October with an impressive 10.77% gain, but was still down -0.35% year-to-date due to a weak final session of October. 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 1 to 5 in November) in the event the S&P 500 closed out the month of October with a gain (anything better than zero), but was still down year-to-date on that final session of October in the past.

The same (see SPX Down on 1st Session in NOV) bullish picture again. Since 1930, the S&P 500 closed at a higher level 3 and 5 sessions later (in this event on Thursday, November 3 and Monday, Novemer 7) on all 10 out of 10 occurrences, at the same time up 1.0%+ five sessions later on 7 out of those 10 occurrences. Although 10 occurrences only is again nothing to read anything statistically significant into it, the repeatedly positive weighting is quite impressive again, further supporting the bullish case over the course of the next couple of sessions …

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. LordV says:

    Hello Frank,

    Great to see you again.

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