Daily Commentary - Posted on Thursday, January 5, 2012, 10:48 PM GMT +1

2 Comments


Jan Thursday 5

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).

 


Table I
 
SPY w/ 3 consecutive higher closes preceding nonfarm payroll release day

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Conclusion(s)

 

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,

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 (2)

 

  1. William says:

    Frank
    With this data how long are you inclined to hold?
    Will you go for just the first 1% gain day?
    Or will you hold for 5 days?
    What influences your decision?
    What kind of brackets do you use to a trade ?
    Bill

    • TradingTheOdds says:

      William,

      if the most recent setup shows a positive bias over the course of the next x days, I’d appreciate if a fresh positive setup would be triggered day by day (confirmed) and would then maintain my long position. If a negative setup would be triggered on one of the following days, I’d either go into cash, or if the bullish setup has already played out accordingly (e.g. the underlying is up x% three days later), go short.

      I closed my long SPY position yesterday during the regular session because all bullish setups played out accordingly (3 consecutive higher closes), and I was looking for a lower price into the close due to the fact that the SPY already recouped an intraday 1.25% loss.

      I didn’t go long again simply due to the fact that I identified the setup subject to my posting not before the close. May be I’ll go long again during the GLOBEX session.

      Best,
      Frank

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