Archive for May, 2010
Seasonality Map for June, 2010
This is a new monthly feature at the MarketSci Blog. Below is a map of potentially strong/weak days for the U.S. stock market in June based on historical seasonality patterns. Read more after the image. Scorecard: since launching in April, the monthly seasonality map has called the closing direction of the S&P 500 correct 58.1% of [...]
Filed under: Monthly Seasonality Map | 8 Comments
The market will be closed on 05/31 for Memorial Day. This is a quick look at how the market has fared around this most important of days. Note: this study is included on our new Monthly Seasonality Map. Just the (Misleading) Numbers From 1950, the S&P 500 has risen the day before/after MD 71.7%/50.0% of [...]
Filed under: Time-based | Leave a Comment
Follow Up to Fed Days Analysis
I’m going to put my series on the market’s reaction to Fed days on hold. A fellow blogger who you all know and love will be issuing an exhaustive eBook about Fed days in the next week or so, and I don’t want to steal his thunder. I’ll provide a link to the eBook, so [...]
Filed under: Time-based, Treasuries & Interest Rates | 2 Comments
Market Reaction to Fed Days
This is the first in a series looking at the market’s reaction to scheduled Fed days. How the market reacts to FRB meets is of course a complicated dance involving the state of the economy and meeting investor expectations, but for the purpose of this post, I’m just looking at it as a seasonality event [...]
Filed under: Time-based, Treasuries & Interest Rates | 13 Comments
Not to Beat a Dead Horse…
Not to beat a dead horse, but below are updated stats for our test of the “best 2-day indicator”, revised to include the new Consistency Metric (right column). See previous post for test assumptions. Same (over-simplified) conclusion: Index RSI(2) has been the best short-term OB/OS indicator for the S&P 500, and DV(2) the best for the [...]
Filed under: Trading Strategies | 3 Comments
