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!

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.

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.

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.

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.

Fed Days And Intermediate-Term Highs

Tomorrow is a Fed Day. As I have discussed many times, Fed Days generally carry an upside tendency. But this tendency is greatly impacted by certain variables. A large collection of these variables may be found here on the blog under the “Fed Day”label. And many more may be found in the “Quantifiable Edges Guide to Fed Days”.

One variable I showed about a year ago was whether the market was already at an intermediate-term high. There is a decent chance the market closes at a new high today so I've decided to update that study.

First, let’s take a look at SPX performance on Fed Days when the SPX has NOT closed at a 20-day high the day before.

That’s nearly 32  years of bullishness.

But now let’s see performance at times when the SPX did close at a 20-day high the day before.

No consistency and no pronounced edge in this sample of 41 instances.

Traders looking to play for a short-term Fed Day bump should perhaps be hoping the SPX does not close at a new high today.

Also, for related research with regards to the overnight,  be sure to check out this post at OvernightEdges.

SPY Extended To The Point That Often Leads To A Pullback

SPY has now gone 12 days without closing below its 5ma. The study below is one I’ve shown a few times over the years.  It looks at other instances in which SPY has traded above the 5ma for at least 2 weeks and is now closing at a 10-day high. All results are updated.
 

In the past this setup has commonly been followed by a short-term pullback. The downside edge doesn't last long, though. It seems to pretty much play itself out over the first 2 days.  It is not an overwhelming edge, but it is still worth noting that SPY has been short-term extended for a while and the normal course of action at this point is a little pullback.