SPY Pivot Point Analysis
By
Rennie on Thursday, June 10th, 2010 at 3:09 am
SPY traded above R3 (per Brett Steenbarger’s calculation) on Wednesday before giving back all of the day’s gain in afternoon trading. Looking back at the last 30 instances in which SPY traded above R3 intraday but settled lower, we find a tendency for higher prices the following session…
SPY Trades Above R3 Intraday, Closes Lower
06/09/10… SPY ??? next session
05/26/10… SPY +3.4% next session
05/07/10… SPY +4.4% next session
03/25/10… SPY -0.1% next session
12/15/09… SPY +0.2% next session
07/16/09… SPY +1.1% next session
12/17/08… SPY -1.9% next session (*)
09/02/08… SPY -0.1% next session
04/30/08… SPY +2.1% next session
03/12/08… SPY +0.3% next session
01/30/08… SPY +1.8% next session
01/08/08… SPY +1.1% next session
12/11/07… SPY +1.0% next session
12/07/07… SPY +0.8% next session
10/19/07… SPY +0.6% next session
10/16/07… SPY +0.3% next session
10/11/07… SPY +0.6% next session
09/20/07… SPY -0.2% next session
07/31/07… SPY +0.5% next session
07/17/07… SPY -0.2% next session
06/28/07… SPY +0.0% next session
05/31/07… SPY +0.5% next session
05/01/07… SPY +0.9% next session
02/22/07… SPY -0.4% next session
01/03/07… SPY +0.2% next session
08/04/06… SPY -0.2% next session
06/09/06… SPY -1.1% next session (*)
05/23/06… SPY +0.8% next session
04/03/06… SPY +0.6% next session
03/30/06… SPY +0.0% next session
03/03/06… SPY -0.5% next session
Out of 30 occurrences, 21 led to a higher SPY close one session later. That 70% win rate is not significantly better than the 54% random chance for a higher SPY one day later. However, note that even when wrong, downside potential was typically limited to 0.5% or less. Only two times out of the last 30 occurrences did the SPY close down more than 0.5% the next day, while it rallied more than 0.5% thirteen times. Here’s a look at the equity curve for this signal going back to 1993.
SPY Pivot Point Analysis
By Rennie on Thursday, June 10th, 2010 at 3:09 amSPY traded above R3 (per Brett Steenbarger’s calculation) on Wednesday before giving back all of the day’s gain in afternoon trading. Looking back at the last 30 instances in which SPY traded above R3 intraday but settled lower, we find a tendency for higher prices the following session…
SPY Trades Above R3 Intraday, Closes Lower
06/09/10… SPY ??? next session
05/26/10… SPY +3.4% next session
05/07/10… SPY +4.4% next session
03/25/10… SPY -0.1% next session
12/15/09… SPY +0.2% next session
07/16/09… SPY +1.1% next session
12/17/08… SPY -1.9% next session (*)
09/02/08… SPY -0.1% next session
04/30/08… SPY +2.1% next session
03/12/08… SPY +0.3% next session
01/30/08… SPY +1.8% next session
01/08/08… SPY +1.1% next session
12/11/07… SPY +1.0% next session
12/07/07… SPY +0.8% next session
10/19/07… SPY +0.6% next session
10/16/07… SPY +0.3% next session
10/11/07… SPY +0.6% next session
09/20/07… SPY -0.2% next session
07/31/07… SPY +0.5% next session
07/17/07… SPY -0.2% next session
06/28/07… SPY +0.0% next session
05/31/07… SPY +0.5% next session
05/01/07… SPY +0.9% next session
02/22/07… SPY -0.4% next session
01/03/07… SPY +0.2% next session
08/04/06… SPY -0.2% next session
06/09/06… SPY -1.1% next session (*)
05/23/06… SPY +0.8% next session
04/03/06… SPY +0.6% next session
03/30/06… SPY +0.0% next session
03/03/06… SPY -0.5% next session
Out of 30 occurrences, 21 led to a higher SPY close one session later. That 70% win rate is not significantly better than the 54% random chance for a higher SPY one day later. However, note that even when wrong, downside potential was typically limited to 0.5% or less. Only two times out of the last 30 occurrences did the SPY close down more than 0.5% the next day, while it rallied more than 0.5% thirteen times. Here’s a look at the equity curve for this signal going back to 1993.