Friday, June 3, 2011

A Rare Setup That Has Been Followed By Returns of 6%-12% Over The Next 2-Week Period

Positive seasonality has been run over the past 2 days by strong selling. To see such a weak start to a month is rare. There have only been 5 other times since its inception where the SPY lost over 2% on the 1st day of the month and then closed lower again on the 2nd day of the month. That’s a very low sample size but over the next couple of weeks returns have been outstanding. Below I have listed all 5 instances.




The average return over the 2-week period has been close to 9%, and the worst trade gained 6%! I’d be surprised to see the market repeat returns this strong over the next couple of weeks, but the results and consistency are impressive enough that it seems worth considering the pattern of the last 2 days may suggest a bullish influence over the next 2 weeks.

4 comments:

jdbear said...

Interesting but the effects of economic data will be stronger than the calendar effects, IMHO. ISM has dropped 7 points. There were 5 cases of it dropping >=7 points since 1960. with a minor or major mkt drop after each.

gerard said...

I noticed however that any of those times it has never been a buy in the month of June. How skewed are these numbers considering the poor performance for the month of June?

irish investor said...

Great analysis.. Monday needs to hold up, a break of 1290 on futures would damage the bullish outlook considerably.

The Hook said...

Is this setup busted?