Note that I also included a long-term trend filter. And even in an uptrend the numbers here suggest a short-term downside edge.
Monday, February 27, 2012
What Friday's VIX Action Hinted At
The study below looks at instances of SPX and VIX both closing positive on a Friday. The VIX has a tendency to move opposite the SPX, so when they move in the same direction, it can often suggest an edge over the next few days. Due to calendar effects the VIX has a natural tendency to sink on Friday afternoons as we approach the weekend. So seeing the SPX and VIX both rise is less common on Fridays than any other day of the week. This is why I use Friday as a filter in the below test.
Note that I also included a long-term trend filter. And even in an uptrend the numbers here suggest a short-term downside edge.
Note that I also included a long-term trend filter. And even in an uptrend the numbers here suggest a short-term downside edge.
Thursday, February 23, 2012
Looking Back on the October 18, 2011 Follow Through Day
When SPX hit a new 200-day high last Thursday (Feb 16), doing so deemed the 10/18/11 Follow-Through Day (FTD) “successful” according to the possible definitions of “success” I included in the FTD studies.
Based on the FTD studies, it is not a surprise to see this FTD turn into a successful rally. It had several strong positives going for it. For one, it occurred in conjunction with a 20-day high. Secondly, it was accompanied by strong breadth. And third, it occurred after the 10th day of the rally (which Investors Business Daily says is a negative but 8 of the 9 FTDs that have come after day 10 have now been successful). There were some mild negatives that this FTD had to overcome – namely the fact that it occurred under the 200ma, and that it occurred after a substantial market decline. For those interested in learning more about FTDs, there is a bevy of information available on the blog under the “IBD Follow Through Day” label.
And for anyone interested in purchasing the Tradestation code to study FTDs in more detail on their own may do so here.
Based on the FTD studies, it is not a surprise to see this FTD turn into a successful rally. It had several strong positives going for it. For one, it occurred in conjunction with a 20-day high. Secondly, it was accompanied by strong breadth. And third, it occurred after the 10th day of the rally (which Investors Business Daily says is a negative but 8 of the 9 FTDs that have come after day 10 have now been successful). There were some mild negatives that this FTD had to overcome – namely the fact that it occurred under the 200ma, and that it occurred after a substantial market decline. For those interested in learning more about FTDs, there is a bevy of information available on the blog under the “IBD Follow Through Day” label.
And for anyone interested in purchasing the Tradestation code to study FTDs in more detail on their own may do so here.
Friday, February 17, 2012
The Weak Tendency Before President's Day
Friday is the last trading day before the President’s Day holiday. The day prior to many holidays we see a bullish tendency. This is NOT the case with Presidents Day. Over the last 20 years the Friday before President’s Day has been a very poor performer. I showed this last year in the 2/18/11 Subscriber Letter. I have updated the results in the table below.
Inclinations appear squarely bearish.
Inclinations appear squarely bearish.
Tuesday, February 14, 2012
77% of the Time the SPY has Been Lower 6 Days After This Setup
Action in SPY the last couple of days has been interesting as it has left large unfilled gaps in both directions. The Quantifinder identified the study below. It looks at other instances where you had a 20-day closing high, then an unfilled gap down, and then an unfilled gap up. All results are updated.
These results seem to suggest a moderate downside edge over the next 6 days.
These results seem to suggest a moderate downside edge over the next 6 days.
Monday, February 13, 2012
3rd QE Buying Power Index Webinar Added for Wednesday
Due to popular demand and a very positive response I have decided to hold one more live webinar on Wednesday at 12:15pm EST for the QE Buying Power Index. After that I don't anticipate any more live webinars being held in February.
If you'd like to attend you may go here to register (and to find links with more information).
Below are a few brief clippings from emails I received from attendees last week.
"I thought it was a GREAT VALUE!!"
-Roger S
"Rob, I thought the webinar was fantastic: 1. It started on time. 2. It got the point across in an appropriate amount of time and 3. was professionally done… I quickly played with the indicator against one of my MR systems (long and short) and can see the indicator helps.
- Rob K
I loved your webinar…I also like your style as far as finding numbers and stats to back your decisions.
-Diane F
So if you want to attend the Wednesday webinar (or if you can't make it and would just like to view the recorded version), here's the link again.
If you'd like to attend you may go here to register (and to find links with more information).
Below are a few brief clippings from emails I received from attendees last week.
"I thought it was a GREAT VALUE!!"
-Roger S
"Rob, I thought the webinar was fantastic: 1. It started on time. 2. It got the point across in an appropriate amount of time and 3. was professionally done… I quickly played with the indicator against one of my MR systems (long and short) and can see the indicator helps.
- Rob K
I loved your webinar…I also like your style as far as finding numbers and stats to back your decisions.
-Diane F
So if you want to attend the Wednesday webinar (or if you can't make it and would just like to view the recorded version), here's the link again.
Friday, February 10, 2012
Large Gaps Down From 50-day Highs
Big gap down from yesterday's high. Below is one way to look at it.
These results were similar to a few scenarios I ran. The evidence suggests no edge in trying to buy the low open. In fact there may be a bit of a downside edge from open to close today. Historically, things have gotten worse throughout the day.
These results were similar to a few scenarios I ran. The evidence suggests no edge in trying to buy the low open. In fact there may be a bit of a downside edge from open to close today. Historically, things have gotten worse throughout the day.
Thursday, February 9, 2012
When VIX Rises and SPX Closes at a 50-day High
There were a few studies related to VIX action that appeared in the Quantifinder yesterday afternoon. This particular study looks at large mid-week rises in the VIX during times the SPX is closing at a 50-day high. All results are updated.
New readers may wonder why I use a day-of-week filter with this study. The VIX has a natural tendency to fall on Fridays and rise on Mondays. Because of this I typically separate out those days from the rest of the week when conducting VIX-based studies. Implications of the rising VIX and 50-day SPX high appear to be moderately bearish over the next few days, suggesting a pullback.
New readers may wonder why I use a day-of-week filter with this study. The VIX has a natural tendency to fall on Fridays and rise on Mondays. Because of this I typically separate out those days from the rest of the week when conducting VIX-based studies. Implications of the rising VIX and 50-day SPX high appear to be moderately bearish over the next few days, suggesting a pullback.
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