Daily Commentary - Posted on Tuesday, January 3, 2012, 8:06 PM GMT +1

4 Comments


Jan Tuesday 3

A Bullish Continuation Pattern

The S&P 500 is up 1.64% at time of writing (Tuesday, January 3, 2011, 02:00 pm ET), fully compliant to those bullish setups triggered on close of the last session(s) of 2001 (see Bullish End-of-the-Year Setups, Trailing Week and Week-to-Date at Year’s End).

In addition, volume associated with advancing stocks is accounting for more than 80% of NYSE total volume, and only a handful of NYSE listed issues will be posting a fresh 52-week low on today’s close, all short-term positive when triggered on the first session of a year in the past.

Table I below shows all occurrences (since 1930) and the S&P 500′ performance (cumulative returns) over the course of the then following three sessions in the event the S&P 500 had had closed up > 1.0%, Table II those occurrences where volume associated with advancing stocks accounted for more than 80% of NYSE total volume, and Table III those occurrences where less than 0.15% of NYSE listed issues closed at a fresh 52-week low, all on the first session of a year in the past.

The S&P 500 shows a statistically significant tendency for posting another higher close one or two days later (Table II: two days later on 8 out of 8 occurrences) with respect to all three setups, and the index gave back more than 0.50% of its first day gains on the then following session only once (see Table I).


Table I

(SPX.X up > 1.0% on the first session of a year)

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Table II

(NYSE 80%+ up volume on the first session of a year)

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Table III

(NYSE w/ 0.15% 52-week lows on the first session of a year)

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Conclusion(s)

Assumed everything unchanged into today’s close, the market historically showed a strong tendency to continue moving higher over the next one or two days in the event the S&P 500 started into a new year on a (very) strong note.

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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Comments (4)

 

  1. william says:

    FRank,
    It seems like three sessions later,Friday< still has good odds but Monday looks poor. Do you agree? How far out do you like to look /predict.

    Bill

  2. william says:

    Is each sessions % that of the triggered date? Not the previous date?
    For example table lll 1-3-11 the second session was higher but the third and fourth day the market declined.

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