Friday Before Labor Day Seasonally Strong

The Friday before Labor Day has long been a strong seasonal day for the market.  Below is a stats table based on buying the Thursday before Labor Day and selling the close on Friday.

With 71% of the days finishing higher, a profit factor of over 2.5, and an average trade of 0.3% the stats are quite compelling.  Futures are up pretty strong right now, so this one has a head start.  But gold subscribers were alerted to this in yesterday afternoon's Quantifinder, and Overnight Traders were also made aware of the strong seasonality yesterday afternoon.

Revisiting Strong Breadth on Down Days

Despite the SPX closing lower yesterday, the NYSE saw 56% of its issues close higher.  This brought about a study that I last showed in the 6/29/12 blog.  Results are updated.

The numbers here suggest an upside edge.  While not extremely powerful, it does appear to be nicely consistent over the first few days.

Facebook Me!

So it is probably 3 or 4 years beyond when I should have done this, but Quantifiable Edges is finally on Facebook! I've set up the page so that all tweets and blogs appear in the timeline.

So for those of you that "like" Quantifiable Edges and would like the tweets and blogs delivered into your newsfeed, you can easily do so.

If you prefer to keep Quantifiable Edges out of your newsfeed, you can still "like" the page and then easily hop over there while in Facebook to check any new activity.

I'm fairly new to all this Facebook stuff, but it seems pretty slick to me, and a nice option for Facebook users to keep up with Quantifiable Edges. I suspect I'll need to have some kind of "like me" contest soon.

And yes, the new Overnight Edges website is also on Facebook.

You may check out the Quantifiable Edges Facebook page here.

The Overnight Edges Facebook page can be found here.

Mega-Outside Days

Friday was what I call a mega-outside day. It didn't just make a higher high and a lower low (a regular outside day). It actually opened below the low of Thursday and closed above the high of Thursday. This is unusual, and in the past it has led to a dip over the next few days.

Stats here look strongly negative over the first 1-2 days, with most of the downside occurring on day 1.

The June 12th FTD was a Success

When SPX hit a new high on Tuesday (Aug 21st), doing so deemed the 6/12/12 Follow-Through Day (FTD) “successful” according to the possible definitions of “success” I included in the FTD studies.

Based on a number of the FTD studies, this one bucked the odds.  For one, it came on moderate volume.  Secondly, breadth was unremarkable.  And lastly, it occurred in June.  It was only the 8th FTD to occur in June since 1971 and only the 2nd one to succeed.

Despite all this, the rally went on to new highs.  That's why I talk about odds and not certainties. This FTD will now be clustered in with the rest and the odds will be recalculated next time one occurs.

When QQQ Posts 2 Outside Days in a Row

Tuesday marked the 2nd day in a row where the QQQ made a lower low and a higher high.  Days that do this are often referred to as “outside days” because they trade outside the range of the previous day.  When QQQ has posted back to back outside days in the past, it has often been followed by a short-term rally.  I last showed this in the 11/10/10 blog.  I posted a link to that blog via Twitter yesterday afternoon.  I have updated the stats table below.

Results still appear strongly positive.

Consistent Closes Near the Top of the Daily Range - And What That Could Fortell

The market has seen a lot of finishes near the top of its daily range lately.  When the market consistently closes near the high of the day it suggests optimism on the part of traders. This end-of-day optimism is now at a level that suggests it is a bit overdone and there is a good chance of a pullback. The study below was last seen in the 7/5/12 blog and it exemplifies this concept. I have updated all of the statistics.

While the downside edge appears to remain in place for a full week, most of the edge has been realized over the 1st 2 days.

Note: To calculate the “8-day Average Closing % Range” I am simply measuring where in the daily range SPY closed each day. For instance if it traded at a low of $141.00 and a high of $142.00 and closed at $141.75, then it would have closed in the 75th percentile of the daily range. A close at $141.50 would have meant 50%.

I then take a simple moving average of the last 8 days. If that average goes from below 75% (where it usually is) to above 75%, the study is triggered.