Assessing Market Action With Indicators And History
Monday, May 30, 2011
A Potentially Bullish Memorial Week & June 1 Combination
One reader asked me this weekend whether the combination of Memorial week and the positive seasonality experienced on the 1st day of the month has provided any special results. I took a look, and it has. If the 1st trading day of the month is Tuesday then there was no edge apparent. But since 1977 any time you could actually buy the close of May 31st and sell the close of June 1st (meaning neither fell on a weekend or holiday), then June 1 would have been a winner. I have listed all 15 instances in the table below.
A couple of thoughts: 1) Between 1962 and 1976 the SPX was only 2-3 under the above conditions. 2) The Memorial week edge didn’t kick in until 1983 and the 1st of the month edge began in the late 80s. Therefore, the 5 instances between ’77 and ’84 may be due more to chance than to a seasonal influence. In any case, the combination has me giving Wednesday a bit more seasonal weight than I would if I considered either of these edges in isolation.
In this blog I will be examining market action and quantifying my findings. Using sentiment, breadth, price and volume indicators - both standard and customized - I will try and uncover short-term edges which could be taken advantage of by market participants. I will frequently add opinion to these studies and may sometimes post opinions without quantifiable research behind them.
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I have traded professionally since 2001. From January 2003 through February 2007 my bi-weekly column "Rob Hanna's Putting It All Together" appeared on TradingMarkets.com. I have been conducting quantitative research and designing trading systems - mostly focused on short-term edges since 2004.