From a seasonality standpoint, there isn’t a more reliable time of the year to have a selloff than this upcoming week. In the past I have referred to is as “The Weakest Week”. Since 1961 the week following the 3rd Friday in September has produced the most bearish results of any week. Below is a graphic to show how this upcoming week has played out over time.

As you can see the bearish tendency has been pretty consistent over the last 56 years. There was a stretch in the late 80’s where there was a series of mild up years. Since 1990 it has been pretty much all downhill. Below is a table showing results of buying Sept. op-ex Friday and then selling X days later from 1990 – 2016.

The consistency and net results appear quite strong. I note the only instance that didn’t post a lower close at some point during the following week was in 2001. And the 9/11 attacks certainly made for unusual circumstances that year.

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It is notable that Wednesday was the 2nd day in a row with an unfilled up gap. The study below appeared in the Quantifinder last night, and has been updated with current stats. It examined other times SPY left 2 unfilled up gaps and closed at a 50-day high.

The size of the follow-through isn’t terribly large, but it has been quite consistent that some follow through was achieved in the next few days. This suggests the current momentum may be followed by further short-term gains.

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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:

https://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.)

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.

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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