Daily Commentary - Posted on Thursday, January 5, 2012, 10:48 PM GMT +1
Consecutive Up Days before Jobless Report
Just a short update today …
The S&P 500 closed higher the third day in a row (and recouped a -1.0% temporary intraday drawdown), and those bullish pattern triggered since Christmas Day are playing out nicely so far.
If history will be a guide again, this might not change over the next couple of days. Table I below shows the SPY‘s (S&P 500 SPDR) performance over the next five sessions in the event the SPY closed higher on three straight days immediately preceding a nonfarm payroll (Jobless Report) release day in the past, thereof closing +1.25%+ above the intraday low on the most recent one (as it was the fact today).
The SPY closed at a higher level one to five sessions later on 9 or 10 out of 12 occurrences, and posted at least one higher close above the trigger day’s close over the course of the then following five sessions on all 12 occurrences (in fact four days later at the latest).
For the time being the market refuses to close lower, and at least with respect to historical precedents major market indices will probably remain on firm path over the course of the next couple of sessions.
Have a profitable week,
Disclosure: No position in the securities mentioned in this post at time of writing.
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.
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.