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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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Multi-Month High on FOMC Session

Compliant to historical probabilities and odds, major market indices advanced (again) in response to the FED's decision to leave rates unchanged for theforeseeable future.

S&P 500 and the SPY's (S&P 500 SPDR) closed at a 5-month high (and missed a 6-month high by a single day only; the last time the SPY closed this high was on July 26, 2011), while the Nasdaq 100 index closed at its highest level since February 6, 2001.

Historically, when the SPY had closed at a multi-month high on an FOMC announcement session in the past, this had regularly not been a top, leave alone the top.

Table I below shows the SPY's (S&P 500 SPDR) performance (cumulative returns) over the course of the then following week in the event the SPY had closed at an at least 5-month high on an FOMC announcement session in the past.

The SPY posted at least one higher close over the course of the then following week on all 24 previous occurrences, closed at an even higher level one week later on 4 out of every 5 occurrences (or almost 80% of the time), and 1.0%+ moves on the upside outnumbered -1.0%+ moves on the downside by a very wide margin (only one -1.0%+ loss 1, 3 and 4 days later).

SPY at 5-month high on FOMC announcement session
Table I - SPY at 5-month high on FOMC announcement session


For the time being, the trend most probably remains up ...

Have a profitable week,


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


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