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A couple of days ago I posted about the market’s short- and intermediate-term performance in the event the S&P 500 closed lower the session immediately following the Labor Day (exchange) holiday ( see September’s and Labor Day’s Almanac ). Just as a reminder: the S&P 500 closed lower -1.15% on Tuesday, September 7, the session immediately following this year’s Labor Day.
(cit.) ‘A down-day on a session immediately following the Labor Day holiday historically had significant negative implications on the S&P 500′s short- and intermediate-term performance. Since 1940, out of 28 occurrences the S&P 500 was trading higher 5 sessions later on only 10 (36% of the time), 10 and 15 sessions later on only 8 (29% of the time), and 20 sessions later on only 7 (25% of the time or every one out of four) occurrences, significantly below the at-any-time probability for a higher close x sessions later.‘
Eleven sessions have passed, and I think we’re at peak time to check for the S&P 500′s performance since September 7.
Table I shows the S&P 500‘s historical performance (since 1/1/1930, data is NOT adjusted for dividend payments) 11 (in this event yesterday, Wednesday, September 22), 13 (in this event Friday, September 24) and 17 (in this event Thursday, September 30, the final session of the month) sessions later assumed one went long on close of a down-day immediately following the Labor Day exchange holiday.
( * no close below the trigger day’s close during the next 11 sessions)
Since 1930 (30 occurrences) the S&P 500 was never before trading at a higher level 11 (in this event yesterday, Wednesday, September 22) sessions later (+3.89%), and up to now there was only one other year (09/09/1992) when the S&P did not close below the trigger day’s close at least once over the course of the then following 11 sessions (marked with an asterisk). But even in 1992, the S&P 500 posted at least one lower close over the course of the then following (remaining) 6 sessions (‘max. loss‘ over the course of the then following 17 sessions is – up to now – always negative).
Therefore if history gives guidance and repeats itself, this wouldn’t bode well for the S&P 500′s performance over the ramainder of the month (6 sessions), and with ES E-mini futures currently (at time of writing) down -1.0% before today’s (Thursday’s, September 23) open, the S&P 500 could very well take a big step forward on today’s session towards at least one lower close below the close on September 7, 2010 (1091.84).
Successful trading,
Frank
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Remarks: Due to their conceptual scope – and if not explicitely stated otherwise – , all models/setups/strategies do not account for slippage, fees and transaction costs, do not account for return on cash and/or interest on margin, do not use position sizing (e.g. Kelly, optimal f) – they’re always ‘all in‘ – , do not use leverage (e.g. leveraged ETFs) – but a marginable account is mandatory – , do not utilize any kind of abnormal market filter (e.g. during market phases with extremely elevated volatility), do not use intraday buy/sell stops (end-of-day prices only), and models/setups/strategies are not ‘adaptive‘ (do not adjust to the ongoing changes in market conditions like bull and bear markets).
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Disclaimer
The information on this site is provided for statistical and informational purposes only. Nothing herein should be interpreted or regarded as personalized investment advice or to state or imply that past results are an indication of future performance. The author of this website is not a licensed financial advisor and will not accept liability for any loss or damage, including without limitation to, any loss of profit, which may arise directly or indirectly from use of or reliance on the content of this website(s). Under no circumstances does this information represent an advice or recommendation to buy, sell or hold any security.
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(Data courtesy of MetaStock , and for data import, testing, surveys and statistics I use MATLAB from MathWorks)
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