With Tuesday’s session the SPY now closed at least 2 standard deviations below it’s 20-day SMA (the well-known Bollinger Bands) on three consecutive sessions.

Table I below shows the SPY‘ historical performance (since 01/01/1990) over the course of the then following five sessions after the SPY had closed at least 2 standard deviations below it’s 20-day SMA on three (or more) consecutive sessions in the past.

Interesting to note that historically three or more consecutive closes at least 2 standard deviations below it’s 20-day SMA represented a favorable intermediate-term (one-week time frame) opportunity on the long side, especially in the event of some intraday weakness and/or a lower close on the following session (like today’s session) after the signal had been triggered.

The SPY was trading lower at least -1.0% below the trigger day’s close (in this event Tuesday’s close) four sessions later on only one out of 32 occurrences (limited downside potential), and posted at least one higher close (than the trigger day’s close) over the course of the then following four sessions on 31 out of those 32 occurrences (96.88%), significantly better than the at-any-time probability of at least one higher close over the course of the then following four sessions (76.64%). And the SPY already posted at least one higher close over the course of the then following three sessions on 29 out of those 32 occurrences.

In addition, with the Distribution of Returns (see stats above) above 70% four and five sessions later (and a Profit Factor of 6.64 four sessions later), the median trade ranks significantly better (means shows a significantly higher rate of return / positive magnitude of change) than the median trade (=50%) within the at-any-time distribution of returns four and five session later (low risk and high odds/reward).

Successful trading,
Frank

________________________________

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xx

Disclaimer: No position in the securities mentioned in this post at time of writing.

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.

Due to some business and family related matters, today a condensed version only.

___________

A trend day up was – based on historical probabilities and odds – the least expected outcome with respect to Thursday’s session. But due to the fact that the ES E-MINI S&P 500 already showed the expected weakness during the GLOBEX session (posting a low < -0.75%), it allowed for closing the overnight short position for another respectable profit.

Posting a pre-opening low (on GLOBEX) at least -0.75% below the previous session’s close, but leaving an unfilled opening gap up and closing higher at least +1.0% during the then following regular session is a rare occurrence (only happened 8 times since 01/06/2001).

_________________________

The following setups (among others) were triggered on Thursday’s close:

* ) : -

( * the setup doesn’t provide a statistically significant edge on any side of the market)

Table I below shows the ES E-MINI S&P 500’s intraday performance (since 01/06/2001) concerning the open, the intraday low, the start of the first hour of the session in comparison to the end of the first hour, the close, and the pre-opening low (on GLOBEX) on those sessions where setup S1 had been triggered on close of the previous session.

It is interesting to note that – since 01/06/2001 and with respect to the then following session (in this event on Friday, November 6) – the ES E-MINI S&P 500

• posted a pre-opening low on GLOBEX at least -1.0% below the previous session’s close on 5 out of 8 occurrences,
• never left an unfilled opening gap up,
• was trading lower between the end of the first hour and the start of the last hour on 6 out of 8 occurrences,
• closed lower on 7 out of those 8 occurrences.

But 8 occurrences only is too small a sample size to read any statistically significant into it, but nevertheless something to keep in mind.

________________________________

Bottom line:

At least based on historical probabilities and odds and the market’s regular recent performance on the session after those setups listed above had been triggered on close of the previous trading day, the outlook concerning the ES E-MINI S&P 500′ performance on close of Friday’s session is at least slightly negative.

A favorable short-term opportunity on the short side would be provided in the event of any pre-opening strength and/or a higher open targeting some weakness during the final part of Friday’s session.

Successful trading,
Frank

________________________________

Summary of potentially tradable edges for Monday – November 2, 2009

________________________________

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xx

Disclaimer: No positions in the securities mentioned in this post at time of writing.

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.

Wednesday’s FOMC announcement session again perfectly complied to historical probabilities and odds calling for some extensive strength between yesterday’s close and the start of Wednesday’s last hour of the session.

The ES E-MINI S&P 500 gaped up +0.89% on the open, was trading +1.32% above Tuesday’s close at the end of the first hour of the session and +1.34% above Tuesday’s close at the start of the last hour of the session.

_________________________

The following setups (among others) were triggered on Wednesday’s close:

* ) : -

( * the setup doesn’t provide a statistically significant edge on any side of the market)

Table I shows the ES E-MINI S&P 500 performance on the close (since 01/01/1990) on the next session (in this event Thursday, November 5) immediately following those sessions where setups S1 to S5 listed above had been triggered in the past.

All setups are agreeing concerning their negative outlook on the then following session, showing an above-average probability and significantly above-average profitability (average loss) for a lower close (over the course of) the next session(s). Not one of those setups shows an average (!) gain over the course of the then following five sessions. With setup S4 triggered on close of the previous session (unfortunately 7 occurrences only), the ES E-MINI S&P 500 closed lower the next session on 6 out of 7 occurrences.

Table II below shows the ES E-MINI S&P 500’s intraday performance (since 01/06/2001) concerning the open, the intraday low, the end of the first hour of the session in comparison to the previous session’s close, the start of the last hour in comparison to the previous session’s close, and the close on those sessions where setup S5 had been triggered on close of the previous session.

It is interesting to note that – since 01/06/2001 and with respect to the then following session (in this event on Thursday, November 5) – the ES E-MINI S&P 500

• opened lower on 26 out of 38 occurrences,
• left an unfilled opening gap up on only one out of 38 occurrences,
• was trading higher (in comparison to the previous session’s close) at least +0.50% at the end of the first hour on only three out of 38 occurrences,
• managed a gain on the close of +0.75% or more on only three out of 38 occurrences, while losing -1.0% or more on 9 occurrences.

________________________________

Bottom line:

At least based on historical probabilities and odds and the market’s regular recent performance on the session after those setups listed above had been triggered on close of the previous trading day, the outlook concerning the ES E-MINI S&P 500′ performance on the open and the first hour of Thursday’s session is at least slightly negative, which will probably apply to Thursday’s close as well .

A favorable short-term opportunity on the short side (if not already positioned likewise) would be provided in the event of any pre-opening strength and/or a higher open targeting some weakness during the first part of Thursday’s session.

Successful trading,
Frank

________________________________

Summary of potentially tradable edges for Monday – November 2, 2009

________________________________

If you might want to be instantly notified about what’s happening in the markets and at TRADING THE ODDS, I encourage you to subscribe to my RSS Feed or Email Feed, and (or) follow me on Twitter.

xx

Disclaimer: No positions in the securities mentioned in this post at time of writing.

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.

Unfortunately I’m still suffering from the touch of the flu, so posting will still be light (but that doesn’t matter with respect to Wednesday’s session).

Tuesday’s session perfectly complied to historical probabilities and odds calling for some extensive weakness before the open (the ES E-MINI S&P 500 posted a pre-opening low of -1.44% on Tuesday’s GLOBEX session) and for a lower open as well (providing another profitable trade), see my posting Trading the Odds on Tuesday – November 3, 2009.

The commanding (bullish) setup with respect to Wednesday’s session will be the FOMC announcement at 02:15 PM EST. The market regularly shows a statistically significant, way above-average probability (and profit factor) for trading higher between the close of the session immediately preceding an FOMC announcement session until at least the start of the last hour of the FOMC announcement session (FOMC Meeting calendars, statements and minutes can be found here).

_________________________

The following setups (among others) were triggered on Tuesday’s close:

* ) : -

( * the setup doesn’t provide a statistically significant edge on any side of the market)

Table I below shows the ES E-MINI S&P 500’s intraday performance (since 01/01/1990) concerning the intraday high, the end of the first hour of the session in comparison to the previous session’s close, the start of the last hour in comparison to the end of the first hour of the session, the start of the last hour of the session in comparison to the previous session’s close, and the close on all FOMC announcement sessions (Scheduled Meetings only) since 01/01/1990.

It is interesting to note that – since 01/01/1990 and with respect to the then following FOMC announcement session (in this event on Wednesday, November 4) – the ES E-MINI S&P 500

• was trading lower at least -0.75% at the end of the first hour on only one out of the last 53 occurrences (not all occurrences listed), but up +1.0% or more on 7 out of the last 13 occurrences,
• was trading higher between the end of the first and the start of the last hour on 20 out of the last 23 occurrences,
• was trading above the previous session’s close at the start of the last hour on 21 out of the last 22 occurrences (thereof on the last 14),
• and finally closed higher on 9 out of the last 11 occurrences.

________________________________

Bottom line:

At least based on historical probabilities and odds and the market’s regular recent performance on the session after those setups listed above had been triggered on close of the previous trading day, the outlook concerning the ES E-MINI S&P 500′ performance until the start of the last hour on Wednesday, November 4 is positive.

A (highly) favorable short-term opportunity on the long side (if not already positioned on the long side) would be provided in the event of any pre-opening weakness and/or a lower open targeting some extensive strength until at least the start of the last hour of Wednesday’s session.

Successful trading,
Frank

________________________________

Summary of potentially tradable edges for Monday – November 2, 2009

________________________________

If you might want to be instantly notified about what’s happening in the markets and at TRADING THE ODDS, I encourage you to subscribe to my RSS Feed or Email Feed, and (or) follow me on Twitter.

xx

Disclaimer: No positions in the securities mentioned in this post at time of writing (but long DAX German Aktien Index, short Volatility) .

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.

Since 01/01/1990 there were only 6 occurrences (now seven out of 156 FOMC announcement sessions) where the ES E-MINI S&P 500 closed lower on an FOMC announcement session and posted a loss on the then following two sessions as well.

On Friday the ES E-MINI S&P 500 opened marginally lower -0.05%, posted an intraday low of -0.77% below and an intraday high of +0.45% above Thursday’s close, and finally closed lower -0.31% on the day, while the Nasdaq 100 closed lower -0.914% (S&P 500 -0.61%, DJ Ind. -0.44%, Russel 2000 -0.47%, SOX Philadelphia Semiconductor Index -0.62%, BKX Philadelphia Bank Index -0.88%).

Market breadth in S&P 500 stocks was lopsided on the downside again, with S&P 500 Advancing Issues/Declining Issues at 0.36 and Advancing Volume/Declining Volume at 0.33 (S&P 500 TRIN / Arms Index at 1.08). Block trades with a down tick exceeded block trades with an up tick, but volume on block trades with an up tick exceeded volume on block trades with a down tick (the second day in a row).

____________

Notably on Friday’s session were the facts that

• Setup S1: the ES E-MINI S&P 500 closed lower on three consecutive sessions,
• Setup S2: the ES E-MINI S&P 500 closed lower on an FOMC announcement day and on the then following two sessions as well,
• Setup S3: the ES E-MINI S&P 500 posted a lower high, a lower low (than the previous session’s high/low) and a lower close on two consecutive sessions,
• Setup S4: the ES E-MINI S&P 500 closed below the open on three consecutive sessions,
• Setup S5: the ES E-MINI S&P 500 closed lower and below the open on three consecutive sessions (setup S1 and S4 combined).
• * the ES E-MINI S&P 500 posted a lower high (than the previous session’s high) of at least -1.20% on two consecutive sessions,
• * the ES E-MINI S&P 500 showed a negative performance during the last hour of the session on seven consecutive sessions,
• * the S&P 500 out-performed the BKX Philadelphia Bank Index on three consecutive sessions,
• * the S&P 500 out-performed the $SPXEW S&P 500 Equal Weigth Index on three consecutive sessions,
• * the ES E-MINI S&P 50 closed lower on two consecutive sessions as volume on block trades with an up tick exceeded volume on block trades with a down tick (a seemingly positive divergence).

( * the setup doesn’t provide a statistically significant edge on any side of the market )

Table I shows the ES (E-MINI S&P 500) performance (since 01/01/1990) on the next session (in this event Monday, September 28) immediately following those sessions where setups S1 to S5 listed above had been triggered in the past.

All of those setups listed above are agreeing concerning their positive outlook on the then following session again (with respect to a higher close), and all of them show a statistically significant edge on the long side of the market (the associated t-score exceeds the +1.645 mark for statistical significance).

But despite the fact that overall probabilities and odds are (heavily) lopsided in favor of a higher close on the then following session, Monday’s openening quotation will probably be highly indicative for the market’s performance during the session and on the close as well.

Table II below shows the ES E-MINI S&P 500 intraday performance (since 01/01/1990) concerning the low, the first hour of the session, the last hour compared to the previous session’s close, the last hour of the session and the close (in chronological order) on those sessions (in this event Monday, September 28) where any of setups S1 to S5 listed above had been triggered on close of the previous trading day AND the ES E-MINI S&P 500 opened higher on the then following session (Monday), indicating the ‘overall‘ (including best case / worst case) bullish or bearish tendency on the then following session in case of a positive open.

Especially remarkable is the fact that in case of a higher open

• on approximately one out of three occurrences, the ES E-MINI S&P 500 left an unfilled opening gap on the upside (intraday low above the previous session’s close), means the opening gap up was not filled during the session, significantly above the at-any-time probability for an unfilled opening gap on the upside,
• on five out of seven occurrences, the ES E-MINI S&P 500 was trading above the previous session’s close at the start of the last hour of the session and on the close as well,
• but the ES E-MINI S&P 500 regularly showed some follow-through of the previous sessions weakness during the first hour of the session, so chasing a higher open will probably NOT be a wise move (a favorable buying opportunity will probably be provided if the ES E-MINI S&P 500 would give back some or all of it’s potential gains on a higher open sometime during the first hour of the session).

xx

Table III below shows the ES E-MINI S&P 500 intraday performance (since 01/01/1990) concerning the high, the first hour of the session, the last hour compared to the first hour (means the ES‘ performance between the end of the first hour and the start of the last hour of the session) , the last hour compared to the previous session’s close and the close (in chronological order) on those sessions (in this event Monday, September 28) where any of setups S1 to S5 listed above had been triggered on close of the previous trading day AND the ES E-MINI S&P 500 opened lower on the then following session (Monday), indicating the ‘overall‘ (including best case / worst case) bullish or bearish tendency on the then following session in case of a negative open.

Especially remarkable is the fact that the market ES E-MINI S&P 500 shows a statistically significant probability and odds (the associated t-score significantly exceeds the -1.645 mark for statistical significance) for still trading below Friday’s close at the start of the last hour on Monday’s session and on the close as well (not so much with respect to the probability for a higher/lower close, but with respect to the fact that – with a profit factor of 0.55 on the close only – one would – in the long run – loose approximately two dollars for every dollar won even if the probability for a higher/lower close is about even).

________________________________

Bottom line:

At least based on historical probabilities and odds and the market’s regular performance on the session after any of setups S1 to S5 listed above had been triggered on close of the previous trading day, the overall outlook concerning the ES E-MINI S&P 500 performance on Monday, September 28 is (remains) positive.

But Monday’s open will probably be highly indicative for the market’s performance during the session and on the close as well, and it could in either case be the end of the first hour of the session which will probably provide a favorable intraday opportunity on the long side (in case of a higher open and some early weakness) or short side (in case of a lower open and a temporary run-up during the first hour of the session) of the market.

But keep in mind: Thursday’s intermediate long setup calling for an ES E-MINI S&P 500′ close above 1,044 on or before Thursday, October 1 is still on board (based on 35 out of 36 historical occurrences), so any weakness on Monday or early in the week might provide a favorable opportunity with respect to the remainder of the week.

And additionally the ES E-MINI S&P 500 closed higher on 16 out of the last 21 occurrences – including the bear market in 2008 – where the ES E-MINI S&P 50 had closed lower on two consecutive sessions as volume on block trades with an up tick exceeded volume on block trades with a down tick (although long-term no statistically relevant edge is provided).

Successful trading,
Frank

P.s.: I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well (Twitter updates are shown on the upper right section of the blog) or subscribe directly to Twitter (recommended).

xx

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. Under no circumstances does this information represent an advice or recommendation to buy, sell or hold any security. No position in the securities mentioned in this post at time of writing.

It seems that – at least temporarily – the tide has turned: Although historical probabilties and odds were (heavily) lopsided on the upside on Wednesday’s FOMC announcement session and additionally on the then following session (today) when the ES E-MINI S&P 500 had closed lower on an FOMC announcement day, the market defied all historical probabilities and odds and closed (significantly) lower again.

The last time that the ES E-MINI S&P 500 closed lower on an FOMC announcement session and posted a loss of at least -1.25% on the then following session was on 3/31/2001.

On Thursday the ES E-MINI S&P 500 opened higher +0.07%, posted an intraday low of -1.70% below and an intraday high of +0.28% above Wednesday’s close, and finally closed lower -1.42% on the day, while the Nasdaq 100 (out-performing the S&P 500 the second day in a row) closed lower -0.84% (S&P 500 -0.95%, DJ Ind. -0.42%, Russel 2000 -1.89%, SOX Philadelphia Semiconductor Index -2.42%, BKX Philadelphia Bank Index -2.08%).

Market breadth in S&P 500 stocks was heavily lopsided on the downside again, with S&P 500 Advancing Issues/Declining Issues at 0.17 and Advancing Volume/Declining Volume at 0.16 (S&P 500 TRIN / Arms Index at 1.09). Interestingly (for a positive divergence) block trades with an up tick exceeded block trades with a down tick, and volume on block trades with an up tick exceeded volume on block trades with a down tick.

____________

Notably on Thursday’s session were the facts that

• Setup S1: the ES E-MINI S&P 500 closed lower on an FOMC announcement day and on the then following session as well,
• Setup S2: the ES E-MINI S&P 500 posted a loss of at least -0.75% on two consecutive sessions,
• Setup S3: S&P 500 market internals were heavily lopsided on the downside (Advancing Issues/Declining Issues and Advancing Volume/Declining Volume below 0.275) on two consecutive sessions,
• Setup S4: the Nasdaq 100 out-performed the S&P 500 on two consecutive session, with the ES E-MINI S&P 500 posting a lower close on two consecutive sessions .

Table I shows the ES (E-MINI S&P 500) performance (since 01/01/1990) on the next session (in this event Friday, September 25) immediately following those sessions where setups S1 to S4 listed above had been triggered in the past.

All of those setups listed above are agreeing concerning their positive outlook on the then following session (with respect to a higher close), and all of them show a statistically relevant edge on the long side of the market (the associated t-score significantly exceeds the +1.645 mark for statistical significance).

Additionally remarkable is the fact that since 01/01/1990

• with respect to setup S1 (the ES E-MINI S&P 500 closed lower on an FOMC announcement day and on the then following session as well), the ES E-MINI S&P 500 posted at least one higher close than the trigger day’s (Thursday’s) close over the course of the then following five sessions on 18 out of 19 occurrences (94.74%), and
• with respect to setup S3 (S&P 500 market internals were heavily lopsided on the downside (Advancing Issues/Declining Issues and Advancing Volume/Declining Volume below 0.275) on two consecutive sessions), the ES E-MINI S&P 500 posted at least one higher close than the trigger day’s (Thursday’s) close over the course of the then following five sessions on 35 out of 36 occurrences (97.14%).

So there is a good chance (to say the least) that – triggered by two only slightly correlated setups – the ES E-MINI S&P 500 will close above 1,044 at least once between Friday, September 25 and Thursday, October 1.

Table II now shows the ES E-MINI S&P 500 intraday performance (since 01/01/1990) concerning the open, the first hour of the session, the last hour compared to the first hour (means the ES‘ performance between the end of the first hour and the start of the last hour of the session), the last hour of the session and the close (in chronological order) on those sessions (in this event Friday, September 25) where any of setups S1 to S4 listed above had been triggered on close of the previous trading day, indicating the ‘overall‘ (including best case / worst case) bullish or bearish tendency on the then following session.

Altough probabilities and odds concerning the open, the last hour of the session and the close are (partly significantly) tilt in favor of a positive performance during those respective time frames, the ES E-MINI S&P 500 regularly shows some follow-through of the previous session’s weakness during the first hour of the session. So we could get a choppy start into Friday’s session (with probably a happy ending for the bulls).

Picture 1 shows distribution of the ES E-MINI S&P 500′ performance (gains and losses, close compared to the previous session’s close) on the then following session (in this event Friday, September 25) where any of setups S1 to S4 listed above had been triggered on close of the previous trading day (overall bias). The distribution is skewed to the left which means most data points (percentage performance numbers) fall to the right of the middle (positive performance, with the highest number of occurrences between +0.25% and +1.25%), and there are more exceptionally large than exceptionally small values (greater then +/-4.0%).

________________________________

Bottom line:

At least based on historical probabilities and odds and the market’s regular performance on the session after any of setups S1 to S4 listed above had been triggered on close of the previous trading day, the outlook concerning the ES E-MINI S&P 500 performance on Friday, September 25 is (remains) positive.

Successful trading,
Frank

P.s.: I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well (Twitter updates are shown on the upper right section of the blog) or subscribe directly to Twitter (recommended).

xx

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. Under no circumstances does this information represent an advice or recommendation to buy, sell or hold any security. No position in the securities mentioned in this post at time of writing (long EDC DIREXION EMERG MKT BULL 3x).

On Wednesday’s FOMC announcement session the ES E-MINI S&P 500 defied all probabilities and odds (which were heavily lopsided on the upside) and closed lower on the day (mainly due to a sell-off during the final hour of the session after the S&P 500 had surged to a 3-month high). It was the first lower close on an FOMC announcement session since 10/29/2008.

But the ES E-MINI S&P 500 went up (+0.47%) again between the end of the first and the start of the last hour of the session, the regularly most favorable time frame on an FOMC announcement day.

The ES E-MINI S&P 500 opened higher +0.12%, posted an intraday low of -1.12% (late in the session) below and an intraday high of +0.80% above Tuesday’s close, and finally closed lower -0.77% on the day, while the Nasdaq 100 closed lower -0.57% (S&P 500 -1.01%, DJ Ind. -0.83%, Russel 2000 -1.18%, SOX Philadelphia Semiconductor Index +0.52%, BKX Philadelphia Bank Index -2.12%).

Market breadth in S&P 500 stocks was heavily lopsided on the downside, with S&P 500 Advancing Issues/Declining Issues at 0.20 and Advancing Volume/Declining Volume at 0.25 (S&P 500 TRIN / Arms Index at 0.80). Block trades with a down tick exceeded block trades with an up tick, and volume on block trades with a down tick exceeded volume on block trades with an up tick.

____________

Notably on Wednesday’s session were the facts that

• Setup S1: the ES E-MINI S&P 500 closed lower on an FOMC announcement day,
• Setup S2: S&P 500 market internals were heavily lopsided on the downside (Advancing Issues/Declining Issues and Advancing Volume/Declining Volume below 0.275) although the ES E-MINI S&P 500 didn’t post a close below -1.0% (price hold up better than breadth),
• Setup S3: the SOX Philadelphia Semiconductor Index closed higher at least +0.50% despite a lower close for the Nasdaq 100 of at least -0.50%.

Table I shows the ES (E-MINI S&P 500) performance (since 01/01/1990) on the next session (in this event Thursday, September 24) immediately following those sessions where setups S1 to S4 listed above had been triggered in the past.

All of those setups listed above are agreeing concerning their at least slightly positive outlook on the then following session, and especially setup S1 (the ES E-mini S&P 500 closed lower on an FOMC announcement day) provides a statistically relevant edge on the long side of the market (the associated t-score exceeds the +1.645 mark for statistical significance).

Table II now shows the ES E-MINI S&P 500 intraday performance (since 01/01/1990) concerning the open, the first hour of the session compared to the previous session’s close, the last hour compared to the first hour (means the ES‘ performance between the end of the first hour and the start of the last hour of the session), the last hour of the session and the close (in chronological order) on those sessions (in this event Thursday, September 24) where S1 (the ES E-mini S&P 500 closed lower on an FOMC announcement day) had been triggered in the past.

Remarkable is the fact that the ES E-MINI S&P 500 immediately reversed course (and closed higher) on 20 out of the last 24 occurrences (after the ES E-mini S&P 500 had closed lower on an FOMC announcement day). In addition whenever S&P 500 market internals were heavily lopsided on the downside (setup S2) and the ES E-MINI S&P 500 hold up well (no lower close below -1.0%), the market reversed course on almost every 3 out of 4 occurrences the next day (33 higher and 13 lower closes).

________________________________

Bottom line:

At least based on historical probabilities and odds and the market’s regular performance on the session after it had posted a lower close on an FOMC announcement day, the outlook concerning the ES E-MINI S&P 500 performance on Thursday, September 24 is positive.

Successful trading,
Frank

P.s.: I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well (Twitter updates are shown on the upper right section of the blog) or subscribe directly to Twitter (recommended).

Disclaimer: No position in the securities mentioned in this post at time of writing.

On Tuesday’s session the ES E-MINI S&P 500 fully complied to the positive outlook based on those setups which were triggered on Monday’s close (three consecutive lower closes, pre-FOMC announcement day, among others, see my posting Trading the Odds on Tuesday – September 22, 2009).

The ES E-MINI S&P 500 opened higher +0.52%, posted an intraday low of +0.09% below and an intraday high of +0.83% above Monday’s close, and finally closed higher +0.64% on the day, while the Nasdaq 100 (under-performing) closed up +0.14% (S&P 500 +0.66%, DJ Ind. +0.52%, Russel 2000 +0.77%, SOX Philadelphia Semiconductor Index +0.90%, BKX Philadelphia Bank Index +2.30%).

Market breadth in S&P 500 stocks was positive (and inconspicuous), with S&P 500 Advancing Issues/Declining Issues at 1.58 and Advancing Volume/Declining Volume at 2.10 (S&P 500 TRIN / Arms Index at 0.75). Block trades with an up tick exceeded block trades with a down tick, and volume on block trades with an up tick matched volume on block trades with a down tick (the difference falls below +/- 2%).

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Notably on Tuesday’s session were (or will be) the facts that

• Setup S1: the ES E-MINI S&P 500 left an unfilled opening gap on the upside,
• Setup S2: the next session (September 23) will be an FOMC announcement day,
• Setup S3: the ES E-MINI S&P 500 closed up at least +0.50% on a pre-FOMC announcement day (and the next session will be an FOMC announcement day),
• Setup S4: the ES E-MINI S&P 500 left an unfilled opening gap on the upside on a pre-FOMC announcement day (and the next session will be an FOMC announcement day)

Table I shows the ES (E-MINI S&P 500) performance (since 01/01/1990) on the next session (in this event Wednesday, September 23) immediately following those sessions where setups S1 to S4 listed above had been triggered in the past.

Even when the ES E-MINI S&P 500 left an opening gap on the upside (setup S4) or posted a positive close greater than +0.50% on a pre-FOMC announcement day (setup S3) – on average the market doesn’t show that kind of a strong follow-through on any other day -, probabilities and odds are still tilt in favor of an at least slightly positive outlook on the FOMC announcement day (but to a lesser extent than on any FOMC announcement session), but especially setup S2 (the next session- in this event September 23 – will be an FOMC announcement day) provides a statistically relevant edge on the long side of the market (the associated t-score significantly exceeds the +1.645 mark for statistical significance).

With respect to setup S2 (the next session- in this event September 23 – will be an FOMC announcement day) and an associated t-score of 3.37 (vs. chance), p is 0.0005 which means the calculated t-score of 3.37 falls into the extreme 0.05% of the distribution (one tailed T-test), or in other words there is a less than 0.05% probability that the ES E-MINI S&P 500′ positive returns on an FOMC announcement session occurred by chance only, a really rare occurrence among the total amount of setups which are regularly triggered on close of any trading day (especially factoring in the above-average number of occurrences). And a t-score of 3.00 (vs. market) means there is better than 99.5% probability that the ES E-MINI S&P 500′ out-performance in comparison to at-any-time daily returns on an FOMC announcement session did NOT occur by chance.

Table II shows the ES E-MINI S&P 500 intraday performance (since 01/01/1990) concerning the open, the first hour of the session, the last hour compared to the first hour (means the ES‘ performance between the end of the first hour and the start of the last hour of the session), the last hour of the session and the close (in chronological order) on those sessions (in this event Wednesday, September 23) where S2 (the next session will be an FOMC announcement day) had been triggered in the past.

Not only remarkable is the fact that the ES E-MINI S&P 500 closed higher on 9 out of the last 10 occurrences, especially with respect to the time frame between the end of the first hour and the beginning of the last hour of the session probabilities and odds are heavily lopsided in favor of the bullish side. Since 01/01/1990 the ES E-MINI S&P 500 moved up on every 2 out of 3 occurrences during the respective time frame, and up on 26 out of the last 30 occurrences. During the time frame between the end of the first hour and the beginning of the last hour of the session, the ES E-MINI S&P 500 lost more than -1.0% on only 4 while it gained more than +1.0% on 16 out of 156 FOMC announcement sessions since 01/01/1990.

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Bottom line:

At least based on historical probabilities and odds and the market’s regular performance on FOMC announcement sessions, the outlook concerning the ES E-MINI S&P 500 performance on Wednesday, September 23 is positive (again), and especially the the time frame between the end of the first hour and 2:15 pm CET (instead of the beginning of the last hour of the session to avoid the regular volatility at 2:15 pm CET either way) might provide a favorable opportunity on the long side of the market.

Successful trading,
Frank

P.s.: I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well (Twitter updates are shown on the upper right section of the blog) or subscribe directly to Twitter (recommended).

Disclaimer: No position in the securities mentioned in this post at time of writing.

Thursday’s session perfectly complied to the probabilities and odds based on those setups which were triggered on Wednesday’s close, especially to the bearish bias and sell setup triggered right on the open of a session (Thursday’s session) immediately following an FOMC announcement day where the ES (E-MINI S&P 500) opened up more than +0.50% (see my posting Follow up: Post-FOMC Sessions and Tradable Edges and several Twitter Updates before the open). Additionally with a higher open greater than +0.50%, probabilities and odds were significantly tilt in favor of a higher close (15 out of the last 18 occurrences), and finally the market did not loose (in fact it posted a gain of +0.51%) more than -0.54% during the final hour of the session into the close as historical probabilities and odds supposed.

The ES (E-MINI S&P 500) opened higher +0.57%, but immediately reversed course and went straight down for a loss of -1.06% during the first hour of the session (ES E-MINI S&P 500 at 10:30am CET compared to the open), posted an intraday low of -0.42% below Wednesday’s close, but reversed course again and closed higher (at the intraday high) +1.12% on the day, while the Nasdaq 100 – under-performing today – closed higher +0.56% (S&P 500 +0.69%, DJ Ind. +0.39%, Russel 2000 +0.53%, SOX Philadelphia Semiconductor Index +2.19% , BKX Philadelphia Bank Index +3.11%).

Market breadth on the NYSE and NASDAQ was strong, with NYSE Advancing Issues/Declining Issues at 1.91 and Advancing Volume/Declining Volume at 2.97 (NYSE TRIN / Arms Index at 0.64), and NASDAQ Advancing Issues/Declining Issues at 1.26 and NASDAQ Advancing Volume/Declining Volume at 2.77 (NASDAQ TRIN at 0.46). NYSE Advancing Volume accounted for 74.25% of NYSE volume.

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Thursday’s session again did not trigger many setups to lean on short term. Notably were the facts that

• Setup S1: the S&P 500 couldn’t manage a gain of more than +0.75% despite strong market breadth (NYSE Advancing Volume/Declining Volume > 2.75),
• Setup S2: the ES (E-MINI S&P 500) closed up > +0.75% on two consecutive sessions,
• Setup S3: the ES (E-MINI S&P 500) closed up > +0.75% on an FOMC announcement day and up > 0.75% on the then following session as well,
• Setup S4: the ES (E-MINI S&P 500) recouped at least +1.0% of it’s intraday losses into the close on two consecutive sessions.
• Setup S5: the ES (E-MINI S&P 500) closed up > +0.75% and recouped at least +1.0% of it’s intraday losses into the close on two consecutive sessions (setups S2 and S4 combined).

I therefore checked -as always from a historical and statistical perspective- for the market’s performance on the then following session(s) after those setups listed above had been triggered in the past. Table I shows the ES (E-MINI S&P 500) performance (since 01/01/1990) on the next session (in this event Friday, August 14) immediately following those sessions where setups S1 to S5 listed above had been triggered in the past.

All setups are agreeing concerning their (at least slightly) negative bias on the then following session, showing an at least slightly below-average probability of a winning trade (being long) on the close, a profit factor which undercuts the at-any-time profit factor (sum of all winning trades divided by the sum of all losing trades) and an associated t-score close to or below the -1.645 mark for statistical significance (there is a low probability only that the  respective ES’ under-performance on a session after those setups had been triggered on close of the previous trading day in comparison to the at-any-time/average market’s performance and the negative performance at all occured by chance only).

Table II shows the ES (E-MINI S&P 500) intraday performance (since 01/01/2000) concerning the open, intraday low (compared to the previous session’s close), the first hour of the session, the last hour of the session and the first hour compared to the previous session’s close on those sessions (in this event Friday, August 14) where setup S5 (‘the ES (E-MINI S&P 500) closed up > +0.75% and recouped at least +1.0% of it’s intraday losses into the close on two consecutive sessions‘) had been triggered on close of the previous trading day.

With respect to intraday stats (open/lower low/first hour/last hour/first hour vs. prev. close/) on those sessions (in this event Friday, August 14) where setup S5 had been triggered on close of the previous trading day, it is especially remarkable that the ES (E-MINI S&P 500)

• shows a significantly above-average probability for a lower open (in every 2 out of 3 occurrences),
• shows a significantly above-average probability for trading lower than the previous session’s close after the first hour of the session (in every 2 out of 3 occurrences),
• and shows an above-average probability to post a significantly lower quote (intraday low) below the previous session’s close during the session,

all with a negative return (average trade) and a t-score which exceeds the -1.645 mark for statistical significance.

Therefore I made a respective Twitter Update shortly before the close that a sell signal would be triggered on the close with respect to a lower open and probably some weakness early in the session.

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Bottom line:

From my perspective the outlook concerning the ES’ (E-MINI S&P 500) performance on Friday, August 14 is (at least slightly) negative (especially with respect to the open and first hour of the session), and a tradable intraday edge might be provided on the short side of the market in the event of any significant strength before or on the open due to the fact that the market shows a historical tendency to reverse course at least temporarily during the first hour of the session whenever it had managed to recoup at least +1.0% of it’s intraday losses and close higher at least +0.75% on two consecutive sessions before in the past.

Successful trading,

Frank

P.s.: I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well or subscribe directly to Twitter (recommended).

Disclaimer: Short ES (E-MINI S&P 500) at time of writing.

This is a follow-up on my posting Trading the Odds on Thursday – August 13, 2009.

Due to the fact that ES (E-MINI S&P 500) futures are already up +1.0% at time of writing (05:50am CET), a favorable opportunity on the short side of the market may be provided on today’s open.

Table I shows the ES (E-MINI S&P 500) intraday performance (since 01/02/1990) concerning the open, close, close versus open, the first hour of the session and the last hour of the session on those sessions (in this event Thursday, August 13) where the ES (E-MINI S&P 500) opened up more than +0.75% on a session immediately following an FOMC announcement day (like yesterday).

With respect to intraday stats (open/close/close vs. open/first hour/last hour/) on those 10 out of 155 occurrences (regular FOMC meetings since 01/02/1990), it is especially remarkable that the ES (E-MINI S&P 500) never posted a gain of more than +0.11% at the end of the first hour of the session compared to the open (deduced from the Dow Jones Industrial’s performance during the first hour of the session), and posted a loss on the last 7 occurrences (at the end of the first hour of the session in comparison to the open). The t-score (-2.36 compared to the at-any-time performance during the first hour of a session) significantly exceeds the -1.645 mark in order to achieve statistical significance, despite the small sample size.

Odds are even better (concerning the probability of a winning trade if short on the open, the profit factor and t-score) and heavily lopsided in favor of a bearish bias concerning the ES’ (E-MINI S&P 500) performance after the 1st hour of the session in comparison to the opening quotation in the event the ES (E-MINI S&P 500) opens up more than +0.50% only instead of more than +0.75% on today’s session (1007+), stats below …

So in the event the ES (E-MINI S&P 500) opens up more than +0.50% on today’s session (1007+), from a historical and statistical perspective the open would provide a (highly) favorable shorting opportunity with respect to the first hour of today’s session (concerning today’s  close probabilities and odds would then be significantly tilt in favor of a higher close -on 9 out of 10 occurrences-, but not necessarily a close above the open).

Successful trading,

Frank

P.s.: I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well or subscribe directly to Twitter (recommended).

Disclaimer: Short ES (E-MINI S&P 500) at time of writing.