Featured - Posted on Thursday, November 17, 2011, 5:25 PM GMT +1

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Nov Thursday 17

Veterans Day and a 4-day (intraday) Low

Although at time of writing (Thursday, November 17, 11:00 PM ET) the S&P 500 has recouped most of its pre-opening losses on the GLOBEX session, the index was already trading at 1226.76 today, at the same time a 5-day intraday low.

Historically when the S&P 500 was trading at a 4-day (or worse) intraday low on the 4th session following Veterans Day * (like on Thursday, November 17),  probabilities and odds are tilt in favor of a down-day today. Table I below shows all historical occurrences (since 1930) and the S&P 500‘s day-by-day (!) performance over the course of the then following 5 sessions in the event the S&P 500 posted a 4-day (+) intraday low on the 4th session following Veterans Day (like on Thursday, November 17), assumed one went long on the close of Veterans Day (or the closest session before). The session representing today (Thursday, November 17) is marked by a yellow background.

Please bear in mind: The table below shows the day-by-day performance, means the percentage wise changes in comparison to the previous session’s close, not in comparison to the trigger day’s close (in this event Veterans Day) which otherwise is the default on any stats presented !

 

Conclusion(s): With the S&P 500 already trading at a 5-day intraday low, probabilities and odds are tilt in favor of a lower close today. But trading with the odds had been a rough business during the last couple of days, therefore cautiousness is warranted …

Successful trading,

Frank

 

* Veteran’s Day : November 11, closed (exchange holiday) all day 1918, 1921, 1934-1953, and celebrated on the fourth Monday of October between 1971 and 1977

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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