Why Today’s Fed Day Setup May Not Be As Bullish As Most

Wednesday is a Fed Day. Fed Days have historically shown an upside tendency. I have documented this tendency in great detail over the years, with the most complete documentation coming in The Quantifiable Edges Guide to Fed Days. Based on what the market did Tuesday, this does not seem to be the most favorable Fed Day setup. A big reason for this is that SPX closed at a 20-day high on Tuesday. Fed Day bullishness has often occurred when a Fed announcement has helped to alleviate market stress. When the market closes at a 20-day high, it typically means there isn’t a lot of worry present. Under these circumstances, the upside inclination has also not been present. Below are charts that compare Fed Days that close below 20-day highs to those that close at 20-day highs.

2017-07-26-1

 

2017-07-26-2

The new high on Tuesday appears to eliminate, or greatly reduce, the bullish Fed Day edge.

 

 

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Worldwide Generosity from Quantifiable Edges Readers

As many readers of this blog are aware, on Saturday I will be doing a 175 mile bike ride from Boston, MA around Cape Cod to its tip in Provincetown for the Multiple Sclerosis Society. I have offered anyone that donates any amount of money a copy of the QE Fed Day MS Ride package, which includes a pdf copy of the Quantifiable Edges Guide to Fed Days, along with Fed Day code to allow people to create their own studies.

 

To date, 30 Quantifiable Edges readers have donated a total of $1094, which I am very thankful for. Donations have ranged from $5 to $100. And what really struck me when I looked at the list was where the donations have come from. MS is worldwide issue, and so far we have seen donations come from 10 countries on 4 continents! They are USA, Canada, Australia, Germany, Ireland, United Kingdom, Israel, Netherlands, and South Korea!  Thanks to all!

 

The ride is on Saturday & Sunday, so there is a little more time to get your donations in an take advantage of the Bike MS Fed Day offer!

 

Here again is the process…

 

1) Go to my personal fund raising page:

http://main.nationalmssociety.org/goto/robridesreallyfast

 

2) Make a donation of any size (but feel free to be generous!). Note: The MS donation page makes it look like the min amount is $35. But you can click the “other amount” button on the right and enter whatever amount you feel appropriate. Even small gifts are greatly appreciated!

 

3) Send an email to support@quantifiableedges.com with your receipt from the MS Society, and within 24 hours we will send you the above Quantifiable Edge Fed Day MS Ride package. (If you don’t receive it in 24 hours, feel free to send us a 2nd email, because that means we likely missed the 1st one, or post a comment below letting us know we somehow missed it!)

 

And once again, here is what you will receive…

  1. The Quantifiable Edges Guide to Fed Days (pdf version)
  2. My Tradesation “Fed Day” code that show every Fed Day and the day before from 1982 – 2017.
  3. Text file versions of the code in case you do not use Tradesation, but still want the full list of dates, or to translate the code into another program for your own testing.

Note that the code has never before been offered with the book. So even if you already have the book – make a donation and get the code!

 

Thanks for all your support!

 

(I will be tweeting updates during the ride, so you can see how far I am getting throughout the day.)

Historical Performance of Fed Days Broken Down by Sector

Last night I ran a study that I have never published before with regards to Fed Days. It looked at the performance of each Sector ETF on Fed Days to see which ones performed the best and which ones disappointed. The study can be found below.

 

2017-06-13

First, I did find it interesting that every sector has shown positive Fed Day performance.  But since 2000 both Materials and Financials have posted outsized gains on Fed Days, and done so with strong consistency. Meanwhile, Consumer Staples and Utilities have lagged behind the rest of the pack.

For more Fed Day research, please check out QE’s very special that will provide our best collection of Fed Day studies and well as code to help you study Fed Days on your own, all for just donating to the Multiple Sclerosis Society. Details here.

 

 

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This Study Suggests Intermediate-Term Momentum Is Strong Enough To Persist A While Longer

One study from the Quantifinder that triggered last has some potential intermediate-term implications, and it is fairly interesting, so I figured I would share it. This study looked at the SPX closing price in relation to its 50-day Bollinger Bands, and the fact that we are now extended upwards. I used 2 standard deviations in the Bollinger Band calculation. I used %b to measure where we fell. For those unaware %b simply measures the distance between the 2 bands. So a reading of 0 means price is right at the lower band. A reading of 100 is right at the upper band. A reading of 50 would be right at the moving average being used – in this case the 50ma. So a move 2 standard deviations above the 50ma would be a %b reading of 100.

When I looked out over the next 5 – 50 days, results all appeared fairly bullish. They suggested that the kind of strong momentum that would lead SPX to close above its 50-day Bollinger Band favored more upside over a possible reversal. Below is a profit curve showing how the setup would have played out from 1961 – present.

 

2017-06-02

The positive slope over such a long period is encouraging. Generally, such extended conditions like we are currently seeing have exhibited enough strength that they were more likely to lead to more strength than to weakness. We could see the current momentum persist a bit longer.

 

Help me make the Quantifiable Edges Bike-MS Fund Raising Drive a success and take advantage of a very special offer on our Fed Day research! Click here for details!

 

 

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Bullish History of Thursday After Memorial Day (updated)

Thursday after Memorial Day has been a day that has exhibited a bullish bias for many years. I last showed this on the blog about 3 years ago. The chart below shows updated results.

 

2017-06-01

Single-day seasonality can certainly be overrun by other forces, but the Thursday after Memorial Day has been a good one for many years, and that may be something that traders want to consider today.

 

Help me make the Quantifiable Edges Bike-MS Fund Raising Drive a success and take advantage of a very special offer on our Fed Day research! Click here for details!

 

 

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SPX Dips After Persistent Move To A New High – What’s the Next Move?

One compelling study that triggered tonight suggested the recent persistent upmove is unlikely to abruptly end. (This is a theme we have seen many times over the years.) It considers what happens after SPX moves up at least 5 days in a row to a 50-day high, and then pulls back. (This is the current setup.)

 

2017-05-31

We see here a decent edge that becomes stronger and more consistent as you look out over the next several days. The 9-10 day time frame shows exceptional stats. The 2-day timeframe suggests a short-term boost is also likely.

 

Help me make the Quantifiable Edges Bike-MS Fund Raising Drive a success and take advantage of a very special offer on our Fed Day research!  Click here for details!

 

 

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Get Fed Day Research & Tools While Helping Fight Multiple Sclerosis (MS)!

Quantifiable Edges is now offering our Fed Day research and tools to anyone that makes any size donation to the MS Society! Keep reading for details.

 

One bit of research that Quantifiable Edges has become known for are the many studies I have published on Fed Days. In fact, you could say I wrote the book on Fed Days. And the pdf version of that book sells for $25. But between now and June 24th I will send you a zip file containing the following if you make any size donation to my MS fund raiser page.

  1. The Quantifiable Edges Guide to Fed Days (pdf version)
  2. My Tradesation “Fed Day” code that show every Fed Day and the day before from 1982 – 2017.
  3. Text file versions of the code in case you do not use Tradesation, but still want the full list of dates, or to translate the code into another program for your own testing.

Note that the code has never before been offered with the book. So even if you already have the book – make a donation and get the code!

 

Why?

About a year and a half ago, my college roommate, and one of my dearest friends, was diagnosed with MS. He decided to raise money this year by doing the Bike MS challenge – a 175 mile, 2-day bike race that goes from just south of Boston down to and all the way around Cape Cod. So I bought a bike and decided to do it with him. I’ll figure out how to pedal it for 175 miles, but I need your help in fundraising efforts!

 

The Process:

1) Go to my personal fund raising page:

http://main.nationalmssociety.org/goto/robridesreallyfast

 

2) Make a donation of any size (but feel free to be generous!).  Note: The MS donation page makes it look like the min amount is $35.  But you can click the “other amount” button on the right and enter whatever amount you feel appropriate.  Even small gifts are greatly appreciated!

 

3) Send an email to support@quantifiableedges.com with your receipt from the MS Society, and within 24 hours we will send you the above Quantifiable Edge Fed Day MS Ride package. (If you don’t receive it in 24 hours, feel free to send us a 2nd email, because that means we likely missed the 1st one, or post a comment below letting us know we somehow missed it!)

 

Thanks for your support and generosity! I hope the Quantifiable Edges Fed Day MS Ride package will pay you back your donation size and much more in your trading accounts!  And I hope together we can make a big positive difference in the fight against MS!

 

 

Why Tuesday’s 20-day High Mutes Today’s Fed Day Potential

Wednesday is a Fed Day. Fed Days have historically shown an upside tendency. I have documented this tendency in great detail over the years, with the most complete documentation coming in The Quantifiable Edges Guide to Fed Days. Based on what the market did Tuesday, this does not seem to be the most favorable Fed Day setup. A big reason for this is that SPX closed at a 20-day high on Tuesday. Fed Day bullishness has often occurred when a Fed announcement has helped to alleviate market stress. When the market closes at a 20-day high, it typically means there isn’t a lot of worry present. Under these circumstances, the upside inclination has also not been present. This can be seen in the study below.

 

2017-05-03

2017-05-03-2

Neither the stats table nor the profit curve suggest any consistency or tradable edge. As a comparison, here is a profit curve of all Fed Days when SPX did NOT close at a 20-day high the day before.

 

2017-05-03-3

 

 

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Holy Bullish Thursday!

Below is a quick look at how the SPX has performed in the past on Holy Thursday. Like the last day before many long weekends, it has shown a bullish propensity over the years.

2017-04-13

The numbers are compelling, and it is especially impressive to see how much the winners have outsized the losers.

 

 

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Early April’s Bullish Inclination

The study below is one I have shown here on the blog a few times over the years. It examines the bullish inclination the market has had in early April.

2017-04-03

Numbers here appear impressive. Of further note, sixteen of the 1st eighteen years were higher on day 4, but the 2012-2014 instances saw mild declines. Meanwhile, the 2-day time period has been positive 10 of the last 11 years, with 2015 being the only loser and closing down less than 1 SPX point. So potentially bullish early April seasonality is something traders may want to keep in mind the next few days.

 

 

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When “Turnaround Tuesday” Failed…

A few times over the years I have shown studies related to “Turnaround Tuesday”. The bottom line is that when the market has pulled back for multiple days, going into a Tuesday, then Tuesday has seen a bounce begin on a more reliable basis than any other day of the week. That sure didn’t happen yesterday. Historically, when there hasn’t been a close higher on Tuesday after a 3-day pullback, what does that mean for Wednesday and beyond? The test below addresses that question.

2017-03-22

Results here have been very strong over a long period. In the past the “Turnaround Tuesday Failure” has just been a temporary setback.

 

 

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Updated Look At Opex Week Broken Down By Month

I’ve noted a number of times that Op-ex week in general is pretty bullish. March, April, October, and December it has been especially so. S&P 500 options began trading in mid-1983. The table below is one I have showed in March each of the last several years. It goes back to 1984 and shows op-ex week performance broken down by month. All statistics are updated. 2017-03-13 While December has been more reliable, March op-ex week has seen the most in total gains. Traders may want to keep this in mind this week, and refer back to the table in future months.     Want research like this delivered directly to your inbox on a timely basis? Sign up for the Quantifiable Edges Email List.

New President…New Optimism?

In the 1/20/09 blog eight years ago I looked at inauguration day returns. I examined whether a new president brought about new hope and optimism for the market.

I limited the instances to only those inaugurations where a new president was entering office. I don’t think re-elections carry a sense of “new hope” the way a new president does. I also eliminated inaugurations of Presidents that weren’t elected (Ford in ’74, Johnson in ’63, Truman in ’45, and Coolidge in ‘23). I just don’t believe the same sense of excitement is generated by a replacement as by a newly elected president.

That left me with the following 12 instances:
March 4, 1921 – Warren G. Harding
March 4, 1929 – Herbert Hoover
March 4, 1933 – Franklin Roosevelt
January 20, 1953 – Dwight Eisenhower
January 20, 1961 – John Kennedy
January 20, 1969 – Richard Nixon
January 20, 1977 – James Carter
January 20, 1981 – Ronald Reagan
January 20, 1989 – George H.W. Bush
January 20, 1993 – William Clinton
January 20, 2001 – George W. Bush
January 20, 2009 – Barack Obama

First I looked to see how the market performed on the day of the inauguration. Surely the wonderful speeches and overall positive vibes would have had a positive effect on the market:

2017-01-20-1

Then again, perhaps not. Eisenhower wins the award for most market-friendly speech by juicing the Dow for 0.35%. Obama was the biggest loser with a 4% drop on his inauguration day. George W. Bush and Franklin Roosevelt are not included on the list since their 1st inaugurations were on weekends.

What if we look out a little longer, though? Buying on the close of inauguration day (or 1st day after for W. Bush and Roosevelt) and holding for 10 days offered significantly more positive results:

2017-01-20-2

The 10-day timeframe has shown some very positive results. For an intermediate-term perspective below are the results for the 1st 75 trading days of the new presidency:

2017-01-20-3

Mostly positive here as well. Of course the main issue with this line of tests is that we are dealing with only 12 instances in 98 years. It would be quite dangerous to base any trades on just these results.

 

 

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January Opex Struggles

Opex week in January is one that the market has seen some struggles over the last 18 years. Below is the list of January op-ex weeks from 1999 – 2016 with their full week performance results. There have been 7 years in which January op-ex week occurred in conjunction with Martin Luther King Day. These were 4-day weeks and they are denoted with blue boxes around them.

2017-01-16

There has been a decided downside tendency during January opex week over the last 18 years. The run-up / drawdown stats are especially notable. Traders may want to keep this in mind this upcoming week.

 

 

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Why Today’s Fed Day Does Not Appear Bullish As Usual

Wednesday is a Fed Day. Fed Days have historically shown an upside tendency. I have documented this tendency in great detail over the years, with the most complete documentation coming in The Quantifiable Edges Guide to Fed Days. Based on what the market did Tuesday, this does not seem to be the most favorable Fed Day setup. A big reason for this is that SPX closed at a 20-day high on Tuesday. Fed Day bullishness has often occurred when a Fed announcement has helped to alleviate market stress. When the market closes at a 20-day high, it typically means there isn’t a lot of worry present. Under these circumstances, the upside inclination has also not been present. This can be seen in the study below.
2016-12-14-1

 

2016-12-14-2

Neither the stats table nor the profit curve suggest any consistency or tradable edge.

As a comparison, here is a profit curve of all Fed Days when SPX did NOT close at a 20-day high the day before.

2016-12-14-3

 

 

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