Daily Commentary - Posted on Wednesday, December 28, 2011, 5:16 PM GMT +1

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Dec Wednesday 28

High Number of 52-week Highs in December

At time of writing (11:11 am ET), the S&P 500 is currently down -0.81%, which might provide a favorable intermediate-term buying opportunity.

On Tuesday, December 27, more than 4.5% of NYSE listed issues closed at a fresh 52-week high for the 4th day in a row, for the first time in December this year, which historically had positive implications for the then following day (in this event on Wednesday, December 28, currently underway), and regularly for the time frame until the midst of January as well.

Table I below shows all occurrences (since 1970) and the S&P 500′ performance on the then following two sessions, over the remainder of the year (in this event until Friday, December 30) and until the close of the 12th session of January in the event more than 4.50% of NYSE listed issues closed at a fresh 52-week high for the 4th day in a row for the first time during December of the respective year.

The S&P 500 never closed lower -0.61%+ the next day, and closed at a higher level at the end of the year and on the 12th business day of January on 13 (12) out of 16 occurrences – thereof 10 (11) with a better than 1.0% gain – , but never down more than -1.0% on both points in time.

 

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Conclusion(s)

A (sizable) down-day on Wednesday and/or Thursday this week might provide a favorable intermediate-term (2-3 week) buying opportunity.

Have a profitable week,

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). 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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