Intraday Stats - Posted on Wednesday, November 16, 2011, 6:00 PM GMT +1

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Nov Wednesday 16

SPY Down Week-to-Date on 1st to 3rd Session in Q4

At time of writing (1:40 PM ET), the SPY – S&P 500 SPDR – is on the verge of not closing higher at least once week-to-date on the first three sessions of the running fourth-quarter week.

Table I below shows all historical occurrences and the SPY‘s performance over the course of the then following five sessions in the event the SPY closed lower at least -0.75% on the first session of a fourth-quarter week, and was (still) down week-to-date on the then following second and third session of the week as well.

The SPY closed at a higher level two days later on 22, three days later on 25 and four days later on 26 out of 28 occurrences, and closed higher ≥ +1.0% three days later on 20 occurrences, while closing lower ≤ -1.0% only once (for a 20 : 1 ratio on ± 1.0% changes).

Conclusion(s): Especially during the 4th quarter of a year, there is a strong mean-reversion tendency in the markets, and even with @SP.P (S&P 500 futures) down ≤ -1.0% on GLOBEX for the third consecutive session today, bears don’t seem to be able to extend their lead on the downside during the regular session while bulls are fighting back … (at least until time of writing)

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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