Daily Commentary - Posted on Tuesday, January 10, 2012, 10:28 PM GMT +1


Jan Tuesday 10

SPX w/ Gap Up at 3 Month High

Word stock markets rose strongly Tuesday.

The S&P 500 closed at a 5 month high (highest level since July 29, 2011), whilst at the same time the SPY‘s (S&P 500 SPDR) posted a full gap up (today’s low above previous session’s high).

Historically, when a multi month high coincidences with a full gap up, this had positive implications looking two days ahead.

Table I below shows the SPY‘s performance over the course of the next four sessions and until the end of the respective week in the event the SPY closed at a 3 (or more) month high, whilst at the same time posting a full gap up (≥ 0.25%) .

Performance was mixed the next day (a coin toss, and regularly a tight trading range), but the the SPY closed at an even higher level two days later and at the end of the respective week on 12 out of 15 occurrences (or 80% of the time), and was up 1.0% at the end of the week on 5 occurrences, but down 1.0%+ only once.

(click on image to enlarge)

Table I
SPY w/ 3 month high and full gap up (≥ 0.25%)



Unfortunately this (positive) signal contrasts with the bearish setup being triggered on last Thursday’s close (see Implied Volatility at 5 Month Low).

Have a profitable week,


Disclosure: Long Market Vectors® Retail ETF (RTH) – Short SPDR® S&P 500® ETF (SPY)
(Pairs Trade)


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.

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


Comments (2)


  1. GT says:

    SPX 1433 (Dec3 close) NFP Fri day, (6mo hi),
    SPY ; Next session -0.74%, 2sessions later ; -1.54%,
    3 session(s) -2.17%, 4 sessions later (-1.69%), End of week -1.36%

  2. GT says:

    SPY : L. 40.57 +1.45%/ (SPX L. 478.64 ) Fri.Feb3-1995 NFP,
    Next sessions; SPX (1) +0.67%, Hi close of the week,
    L. 481.84, (2)Tue 479.72 (lntra-week low)(3) Wed (482.63 intra-week hi), (4) Thu
    480.19 (low close of week),

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