Wednesday, November 27, 2013

A Long Term Look At Thanksgiving Wednesday

Thanksgiving has shown some pretty consistent seasonality over the years.  On Monday I showed a table breaking returns down by day of the week.  Both the Wednesday before and the Friday after have exhibited bullish tendencies while the Monday after has been somewhat bearish.  Today I decided to show a profit curve that represents simply owning the SPX from Tuesday's close through Wednesday's close.

Appears to be an impressive looking upslope.  Happy Thanksgiving!

Monday, November 25, 2013

An Updated Look At Thanksgiving Week Tendencies

Historically Thanksgiving week has shown some very strong tendencies. The last time I showed the table below on the blog was in 2010.  I decided to update it this year.

Monday and Tuesday before Thanksgiving don’t seem to carry a sizable edge. Monday’s total return was actually negative until 2008 when it posted a gain of over 6%. Wednesday and Friday surrounding Thanksgiving have shown strong upside tendencies and the Monday after has shown a downside edge.

Thursday, November 14, 2013

Back to Back Outside Days for QQQ

QQQ made both a lower low and a higher high on Wednesday versus the day before.  That is often referred to as an “outside day”.  Outside days are not terribly unusual.  What is unusual is that it happened fort eh 2nd day in a row.  In the past the simple fact that range has expanded for the last 2 days has led to a short-term rally.  I last showed this in the 8/22/12 blog.  Below is an updated results table.

The numbers all appear impressive.  I also produced an equity curve that assumed a 1-day holding period.

The persistent upslope is impressive and it serves to confirm the upside edge.

Friday, November 8, 2013

The TICK TomOscillator & How It Is Suggesting A Bounce

This morning @PsychTrader was kind enough to mention Quantifiable Edges and the TICK TomOscillator on StockTwits.

The blog post he linked to was this one from May 13, 2011.

In light of this I thought I would share the study that was discussed in the subscriber letter last night that @PsychTrader referred to as the long signal.  It utilized the standard TICK TomOscillator (as Tom McClellan designed it).  The standard reading was -245.42 at the close yesterday.  This is extremely low.  In fact, there have only been 3 lower readings in the past year.  The study looked at readings below -200 that coincided with a 5-day low in in SPX and an SPX close above its 200-day moving average.  Here is the results table:

 There has been a strong propensity for the market to bounce over the next 2-3 days.  Despite the negative reaction to the jobs report, traders may want to keep this in mind.

Friday, November 1, 2013

SPY Registers 1st 5-day Low In A While - Now What?

Thursday the SPY managed to close at a 5-day low after 16 days without doing so.  This triggered the study below, which I last showed on the blog May 25th.

Results here suggest a moderate upside edge.  As I have said before, persistent uptrends normally wither before they die. They rarely just turn on a dime.  It appears unlikely that SPY will be faced with a lot more selling before it manages to bounce.