www.CartoonStock.com

After posting a fresh 3-month high closing almost at the (intraday) high on last Tuesday’s session, the market did what it was supposed to do: the SPY (S&P 500 SPDR) was trading flat to down over the course of the then following 1 to 3 session (2 up to now), at least short-term consolidating recent gains (see my posting SPY (S&P 500 SPDR) at fresh 3-Month High ).

But closing at a 3-month high 3, 2 or 1 day before the release of the BLS Employment Situation historically had positive implications for the SPY‘s performance on the respective release day, in this event on Friday, October 8, 2010.

Table I below shows all historical occurrences and the SPY‘s (S&P 500 SPDR) respective intraday performance (since 01/01/1990) on the open (open vs. previous close), at the end of first hour of the session in comparison to the previous session’s close (1st hr. vs. prev. close), during the middle part of the session (last hr. vs. 1st hour), during the last hour of the session (close. vs. last hour) and on the close (close vs. prev. close), in the event the SPY closed at a 3-month high 3, 2 or 1 sessions before the release of the BLS Employment Situation in the past.

Out of those 36 occurrences, the SPY closed higher on 22 occurrences, and never lost more than -0.87% on the close, while the SPDR gained +1.0% or more on 8 occurrences. In addition, the SPY was never trading lower than -0.73% below the previous session’s close (in this event the close on Thursday, October 7) at the end of the first hour of the (release day) session. Therefore any weakness before (after the jobs report release) the open or early in the session might provide an intraday buying opportunity, targeting higher prices into the close.

__________

The following applies in the event of a lower close on Thursday, October 7, 2010 only (there’re still 30 minutes left at time of writing):

In addition, the SPY closed lower on a back-to-back session immediately following Tuesday’s 3-month high (on Wednesday’s and Thursday’s session). Table II below shows the last 50 occurrences and the SPY‘s (S&P 500 SPDR) respective intraday performance (since 01/01/1990) on the open (open vs. previous close), at the end of first hour of the session in comparison to the previous session’s close (1st hr. vs. prev. close), during the middle part of the session (last hr. vs. 1st hour), during the last hour of the session (close. vs. last hour) and on the close (close vs. prev. close), in the event the SPY closed at a 3-month high, immediately followed by 2 lower closes in the past, assumed one went long on close of the 2nd lower close.

Out of the lats 50 occurrences, the SPY was never trading lower than -0.36% below the previous session’s close (in this event the close on Thursday, October 7) at the end of the first hour of the (release day) session. Therefore the same conclusion applies: any weakness before (after the jobs report release) the open or right after the open might provide an intraday buying opportunity, targeting a rebound and higher prices at least at the end of the first hour of the session.

Successful trading,

Frank

Disclosure: No positions in the securities mentioned in this post at time of writing.

________________________________

If you might want to be instantly notified about what’s happening in the markets and at TRADING THE ODDS, I encourage you to subscribe to my RSS Feed or Email Feed, and (or) follow me on Twitter.

________________________________

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), 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).

________________________________

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.

I may or may not hold positions for myself, my family and/or clients in the securities mentioned here. Actions may have been taken before or after information is presented, and any opinions expressed in this site are subject to change without notice.

(Data courtesy of MetaStock , and for data import, testing, surveys and statistics I use MATLAB from MathWorks)

________________________________