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,

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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