Short-term Bullish Seasonal Signal Set to Trigger at Today’s Close

From a seasonal perspective, today’s close ushers in a short-term bullish time frame. Wayne Whaley recently jogged my memory regarding the positive seasonal time frame in the last sessions of October and first day of November, and the results were even better than I remember. Buying the S&P at the close prior to the final two sessions of the month in October has been a consistently winning trade over the last thirty years. The table below summarizes the results when holding for the first higher SPX close within the next three days…

Close Prior to Final Two Sessions of Month in October
10/27/10… ???
10/28/09… S&P500 +2.3% one session later
10/29/08… S&P500 +2.6% one session later
10/29/07… S&P500 +0.6% two sessions later
10/27/06… S&P500 +0.0% one session later
10/27/05… S&P500 +1.7% one session later
10/27/04… S&P500 +0.2% one session later
10/29/03… S&P500 +0.3% two sessions later
10/29/02… S&P500 +1.0% one session later
10/29/01… S&P500 +0.5% three sessions later
10/27/00… S&P500 +1.4% one session later
10/27/99… S&P500 +3.5% one session later
10/28/98… S&P500 +1.7% one session later
10/29/97… S&P500 +2.2% three sessions later
10/29/96… S&P500 +0.5% two sessions later
10/27/95… S&P500 +0.6% one session later
10/27/94… S&P500 +1.7% one session later
10/27/93… S&P500 +0.7% one session later
10/28/92… S&P500 +0.2% one session later
10/29/91… S&P500 +0.4% one session later
10/29/90… S&P500 +0.7% one session later
10/27/89… S&P500 +0.0% one session later
10/27/88… S&P500 +0.5% one session later
10/28/87… S&P500 +4.9% one session later
10/29/86… S&P500 +1.2% one session later
10/29/85… S&P500 +0.4% one session later
10/29/84… S&P500 +1.3% one session later
10/27/83… S&P500 -0.7% three sessions later
10/27/82… S&P500 +0.1% three sessions later
10/28/81… S&P500 +2.0% two sessions later
10/29/80… S&P500 +0.9% three sessions later

Note that in 29 out of the last 30 years, or 97% of the time, the S&P posted a higher close (above the setup day’s close), significantly above the 72% random chance for a close above today’s settlement within the next three sessions. Average gain was a healthy 1.2%.

You could also make it a three-day trade and hold on until next Monday’s close. Here’s the same track record utilizing a three-day hold time (exiting on the first session of November). In 26 out of 30 years, or 87% of the time, the S&P was higher three sessions later, again significantly above the 55% random chance for a higher S&P three days later in the same time frame. The S&P was down 1% or more three sessions later only once, while it was up 1%+ sixteen times…

Close Prior to Final Two Sessions of Month in October
10/27/10… S&P500 ??? three sessions later
10/28/09… S&P500 +0.0% three session later
10/29/08… S&P500 +3.9% three session later
10/29/07… S&P500 -2.1% three sessions later
10/27/06… S&P500 -0.7% three session later
10/27/05… S&P500 +2.0% three session later
10/27/04… S&P500 +0.5% three session later
10/29/03… S&P500 +1.0% three sessions later
10/29/02… S&P500 +2.1% three session later
10/29/01… S&P500 +0.5% three sessions later
10/27/00… S&P500 +3.0% three session later
10/27/99… S&P500 +4.4% three session later
10/28/98… S&P500 +4.1% three session later
10/29/97… S&P500 +2.2% three sessions later
10/29/96… S&P500 +0.3% three sessions later
10/27/95… S&P500 +0.8% three session later
10/27/94… S&P500 +0.6% three session later
10/27/93… S&P500 +1.0% three session later
10/28/92… S&P500 +0.6% three session later
10/29/91… S&P500 -0.0% three session later
10/29/90… S&P500 +1.7% three session later
10/27/89… S&P500 +1.8% three session later
10/27/88… S&P500 +0.6% three session later
10/28/87… S&P500 +9.6% three session later
10/29/86… S&P500 +2.0% three session later
10/29/85… S&P500 +1.2% three session later
10/29/84… S&P500 +1.6% three session later
10/27/83… S&P500 -0.7% three sessions later
10/27/82… S&P500 +0.1% three sessions later
10/28/81… S&P500 +4.0% three sessions later
10/29/80… S&P500 +0.9% three sessions later

Categories : Archived Intraday Commentary, Intraday Commentary

 Print This Post