Daily Commentary - Posted on Wednesday, December 14, 2011, 11:04 PM GMT +1

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Dec Wednesday 14

2-Day RSI for a 25 : 1 Chance

Another lower close today, and it seems that this year me might abandon the theories about positive seasonalities in December.

With respect to trading with the odds, Thursday’s session might be a make-or-break game (just kidding). By losing another -1.06% today, the SPY‘s (S&P 500 SPDR) 2-day RSI (Relative Strength Index) closed at 10.44 today, while closing at 19.50 on yesterday’s session.

Table I below shows all occurrences (since 1990) and the SPY‘s (S&P 500 SPDR) performance until the end of the week (in this event on Friday, December 16) in the event the 2-day RSI closed below the 12.50 mark from above the day before in December of any year (and at least one remaining session in December of the respective year, means the signal had not been triggered on the final session of the year).

The SPY closed at a higher level on the then following session (in this event on Thursday, December 15) on 25 out of 26 occurrences (thereof the last 25), and chances for a higher close over the remainder of the week were almost 3 : 1 on every single session. In addition, the SPY closed at a higher level at least once 3 sessions later (at the latest) on all 26 occurrences, and never looked back and did not post a single close below the trigger day’s close on 15 out of those 26 occurrences (always compared to the SPY‘s close on the respective trigger day).

 

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Conclusion(s)

I’am looking forward to Thursday’s session …

Have a profitable week,

Frank

Disclosure: No position in the securities mentioned in this post at time of writing (long DAX German Aktien Index).

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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). Index data (e.g. S&P 500 cash index) does not account for dividend and cash payments.

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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 Pinnacle Data Corp., and for data import, testing, surveys and statistics I use MATLAB from MathWorks)

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