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Frank Hogelucht

Frank Hogelucht

Individual investor, trading for a living since 2007, taking a statistical approach in combination with historical market data and addicted to developing market-neutral algorithmic trading…

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Bullish Setups and Seasonalities

Although it seemed that the the SPY (S&P 500 SPDR) would defy historical probabilities and odds today by finishing the day with a strong bull rally into the close, the index gave back almost all of it's intraday gains during the last hour of the session for a flat close (up +0.03%), compliant to past occurrences when the SPY did not open worse than -0.30% below (or above) the previous session's high on six consecutive sessions in the past (see my last posting: Short-term Extended to the Upside).

But another bullish end-of-the-year setup had already been triggered on Monday's close. Table I below shows all occurrences (since 1990) and the SPY's performance over the course of the then following four sessions, and for the remainder of the year as well in the event the SPY posted a higher low on six consecutive sessions, with the 6th one on a session in December of the respective year (but before the Christmas holiday in order to have at least a couple of remaining sessions for the year).

The SPY closed at a higher level three days later on 15 out of 20 occurrences (or 75% of the time), and closed out the year with a 1.0%+ gain on 9 instances, but was never down 1.0%+ (below the trigger date's close).

SPX Chart

Although strictly speaking not being triggered, the SPY missed a close below the open on a third consecutive session today by a hairbreadth only, but from my perspective close enough to be taken into consideration.

Table II below shows all occurrences (since 1990) and the SPY's performance over the course of the then following four sessions and until the end of the week, in this event until Friday, December 9, in the event the SPY closed below the open three days in a row, with the 3rd one on a session in December of the respective year.

The SPY shows a significantly positive bias and remained on firm path over the course of the next couple of sessions (posting a higher close over the remainder of the week on almost three out of every four occurrences, and up 1.0%+ three days later on 12, but down 1.0%+ on 2 occurrences only), and closed at a higher level at the end of the respective week on 26 out of 31 occurrences.

SPX Chart


Conclusion(s)

The trend remains up, and I expect the SPY (S&P 500 SPDR) to close higher at least at some time during the week, if not on Friday, December 9.

Have a profitable week,

 


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

 

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