Follow up to ‘VIX, VXO Set to Trigger Bottoming Signal’

My thanks to a reader for the suggestion to do longer-term research on the recently posted study involving back-to-back 10%+ gains for VXO. Here’s a copy of my email…

“Looks like you can scratch what I said earlier about not having longer-term implications. Looking out three months (sixty trading days) from the date of each signal, the S&P was higher three months later in 25 out of 28 occurrences, averaging a gain of 8%. That 89% accuracy is significantly above the 67% random chance for a higher S&P three months later…

VXO Closes Up 10%+ Two Consecutive Sessions
05/07/10… OEX -5.9% one month later, +0.6% three months later
01/22/10… OEX +1.2% one month later, +9.7% three months later
11/06/08… OEX -2.0% one month later, -9.3% three months later
10/10/08… OEX +4.3% one month later, +0.6% three months later
07/27/07… OEX +1.5% one month later, +3.4% three months later
06/07/07… OEX +2.8% one month later, +0.3% three months later
11/27/06… OEX +2.7% one month later, +3.3% three months later
07/13/06… OEX +3.0% one month later, +10.1% three months later
06/13/06… OEX +2.9% one month later, +6.8% three months later
04/14/05… OEX -0.7% one month later, +2.6% three months later
08/06/04… OEX +3.7% one month later, +3.6% three months later
03/11/04… OEX +2.2% one month later, +2.1% three months later
01/27/03… OEX -1.1% one month later, +8.8% three months later
03/12/01… OEX -3.3% one month later, +8.9% three months later
10/12/00… OEX +5.1% one month later, -3.4% three months later
05/03/00… OEX +2.2% one month later, +2.0% three months later
10/13/99… OEX +7.4% one month later, +16.7% three months later
01/12/99… OEX -0.7% one month later, +10.5% three months later
10/01/98… OEX +11.1% one month later, +27.0% three months later
12/11/97… OEX -2.5% one month later, +11.2% three months later
03/31/97… OEX +2.5% one month later, +18.8% three months later
07/23/96… OEX +6.8% one month later, +13.3% three months later
01/10/96… OEX +9.4% one month later, +10.9% three months later
11/04/93… OEX +1.5% one month later, +5.8% three months later
02/07/91… OEX +5.4% one month later, +6.8% three months later
08/06/90… OEX -3.6% one month later, -8.9% three months later
10/19/87… OEX +11.8% one month later, +9.6% three months later
09/12/86… OEX +0.6% one month later, +8.4% three months later

Also interesting… given that we’re looking at it from a three-month time frame, it’s reasonable to not consider a signal that occurred within a month of a previous signal. If so that would eliminate the 11/06/08 signal, resulting in only two losing signals out of 27, with 23 out of the last 24 leading to a higher S&P three months later…

VXO Closes Up 10%+ Two Consecutive Sessions
05/07/10… OEX -5.9% one month later, +0.6% three months later
01/22/10… OEX +1.2% one month later, +9.7% three months later
10/10/08… OEX +4.3% one month later, +0.6% three months later
07/27/07… OEX +1.5% one month later, +3.4% three months later
06/07/07… OEX +2.8% one month later, +0.3% three months later
11/27/06… OEX +2.7% one month later, +3.3% three months later
07/13/06… OEX +3.0% one month later, +10.1% three months later
06/13/06… OEX +2.9% one month later, +6.8% three months later
04/14/05… OEX -0.7% one month later, +2.6% three months later
08/06/04… OEX +3.7% one month later, +3.6% three months later
03/11/04… OEX +2.2% one month later, +2.1% three months later
01/27/03… OEX -1.1% one month later, +8.8% three months later
03/12/01… OEX -3.3% one month later, +8.9% three months later
10/12/00… OEX +5.1% one month later, -3.4% three months later
05/03/00… OEX +2.2% one month later, +2.0% three months later
10/13/99… OEX +7.4% one month later, +16.7% three months later
01/12/99… OEX -0.7% one month later, +10.5% three months later
10/01/98… OEX +11.1% one month later, +27.0% three months later
12/11/97… OEX -2.5% one month later, +11.2% three months later
03/31/97… OEX +2.5% one month later, +18.8% three months later
07/23/96… OEX +6.8% one month later, +13.3% three months later
01/10/96… OEX +9.4% one month later, +10.9% three months later
11/04/93… OEX +1.5% one month later, +5.8% three months later
02/07/91… OEX +5.4% one month later, +6.8% three months later
08/06/90… OEX -3.6% one month later, -8.9% three months later
10/19/87… OEX +11.8% one month later, +9.6% three months later
09/12/86… OEX +0.6% one month later, +8.4% three months later”

Categories : Archived Intraday Commentary, Intraday Commentary

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