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Rock228
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I trade volatility ETPs, occasionally S&P 500 through SPY or UPRO and invest long term in Dividend Growth stocks with high dividend CAGR values. Individual stock picking is a waste of time to me unless the company pays out large and high growth dividends.
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  • MINI-DRAW / CAPITULATION METHOD - Quick N Dirty

    This is quick and dirty. Wanted the data out so anyone willing to crunch some numbers to help optimize the strategy can go and do it. This has nothing to do with the VCO 2.1 data, it is just another tool to help guide us in buy timing during draws. It is a way to help us optimize our buying strategy until the VCO indicators can verify the all clear and allow us to go 100% in.

    Definitions: (Remember all data is end of day data and does not take into account the intra-day movement)

    SPY Draw Cycle: when the SPY falls at least 3% after reaching the most recent high/top (a few exceptions where we only got within 0.5% or closer to recent top before drawing down)

    Mini-Draw: small draws in the middle of the larger SPY draw cycle that are at least ~1.7% SPY draw either on a single day or cumulative days. Mini-draw ends when the SPY closes positive by at least 0.3%.

    1-1.5%, 1.5-1.9%, etc. -Those are SINGLE day draws. This data is used to look at true capitulation DAYS vice mini-draws which can be multiple days.

    Things to Know - A mini-draw continues until an up day (or cumulative up days) > ~0.3%. There is more than 1 example where there are down days followed by a tiny up day followed by more down days which I count as 1 continuous mini-draw. I do not use this caveat to create mini-draws (example - down 1.2% up .2% down 1% up .3% = Not mini-draw, did not meet 1.7%+ before an up day) only use them to extend a mini-draw once the 1.7% criteria is met.

    DATE% DRAW1-1.5%1.5-1.9%2%+3%+TOTMini Draws CyclesLast Nailed Bottom?HOW FAR OFF?AFTER LAST MINI DRAWEND OF 1st MINI-DRAW# Mini-Draws to get > 3% DrawDAYSLargest Mini-DrawLast Mini-Draw %Closest back to 0% once hit 3% draw
     3-5%               
    11/16/2010 *-3.7%11  21YES00.1%-3.7%17-3.3%-3.3%-3.7%
    8/27/2013-4.5%11  22YES00.4%-3.6%117-2.9%-2.0%-2.5%
    10/8/2013-4.4%2   22YES00.1%-2.3%214-2.3%-2.0%-2.4%
    4/11/2014*-3.9%2 1 32YES00.4%-2.4%27-3.0%-3.0%-3.9%
    8/7/2014-3.8%  1 11YES01.2%-3.1%110-2.3%-2.3%-2.4%
                     
    Averages-4.1%    22  0.4%-3.0% 11   
                     
     6-7%               
    3/16/2011-6.2%121 43YES01.3%-2.7%217-3.6%-3.6%-2.7%
    6/24/2011 ***-7.1%311 55YES00.9%-2.1%239-4.9%-2.1%-1.1%
    6/24/2013-6.1%401 53YES01.0%-3.5%123-5.3%-5.3%0.9%
    2/3/2014-5.7%  2 22YES00.7%-3.6%114-3.4%-2.8%-3.0%
                     
    Averages-6.3%    43  1.0%-3.0% 23   
                     
     8-10%               
    2/8/2010 **-8.0%311163YES00.2%-5.1%114-5.2%-3.6%-4.1%
    6/4/2012 *-9.7%521 83YES00.8%-4.2%118-8.1%-4.2%-0.8%
    11/15/2012 #-7.8%511 74YES00.5%-2.7%342-5.2%-5.2%-2.9%
    10/16/2014-7.7%211 43YES01.2%-1.9%320-5.4%-5.4%-2.6%
                     
    Averages-7.2%    63  0.7%-3.5% 24   
                     
     11-20%               
    7/2/2010-16.1%5624177YES00.7%-2.7%349-8.7%-8.3%-3.6%
    10/3/2011-19.4%3166169YES02.2%-8.0%150-11.3%-5.4%-1.4%
                     
    Averages-17.8%    175  1.4%-5.4% 31   
                     
                     
                     
                     
    PRE-RECESSION               
     3-5%               
    10/25/2004-4.7%2    2NO0.7%0.6%-2.4%213-2.1%-2.1%-3.1%
    1/24/2005-4.0%2    2YES00.3%-2.8%217-2.5%-2.5%-1.6%
    2/7/2006-3.0%11   2NO0.7%0.3%-2.6%NO18-1.8%-1.7%-3.0%
    6/26/2007-3.8%11   2YES01.4%-3.2%116-3.3%-2.5%-0.5%
                     
     6-7%               
    5/10/2004-5.6%22   3YES00.9%-2.9%2243.50%-3.5%-2.2%
    8/6/2004-7.3%22   3YES00.1%-2.7%241-3.1%-3.1%-3.0%
    4/20/2005-7.3%4    3NO0.3%0.3%-3.0%131-3.9%-3.9%-2.8%
    10/13/2005-5.9%2    3YES01.1%-3.1%124-3.2%-1.8%-1.4%
    3/5/2007-6.0%2  1 2YES01.7%-4.5%124-4.5%-2.6%-3.5%
                     
     8-10%               
    6/13/2006-7.6%52   5YES00.8%-2.6%224-5.1%-5.1%2.7%
    8/15/2007-9.0%1231 5YES00.8%-2.4%219-4.3%-2.9%-3.4%
    *Messy / More Digging Necessary
    **One 2%, One 3%  
    ***4th Mini Draw -6.9%, +0.22% next day
        

    One thing becomes abundantly clear when looking at SPY draws - buying on capitulation works. What that means is when we have a nice 1.7%+ move down (mini-draw) on the SPY and then an up day, that last down day could be the SPY draw bottom. Since the great recession not once has the end of a mini-draw (capitulation) not signaled a bottom. That is a bulls eye.

    Why is this important? Well it shows that definitive bottoms are not formed by little moves to the downside it is formed (within a small margin of error) by nice sized moves over multiple days.

    Now here comes the rub. You have to figure out WHICH mini-draw is the last one. Mini-draws range between 1 and 9 times per draw with the majority in the 2-4 mini-draw range. It is daunting but not impossible to try and figure out with mini-draw to buy. We need to use probability and find signals which help tell us the likely outcomes. So let's go over what we know for sure.

    1. 11-20% Draws:
    2. They have multiple 3% draw days and 4 or more 1.5-2%+ draws.
    3. 6 or more Mini-cycles. The last 2 had 7 and 9 mini-cycles.
    4. Draw lasts approximately 50 days
    5. 3% draw days = at least an 8% draw and sometimes to a 11-20% draw.
    6. 10% or less draws - They have 3 or less
    7. If you don't get a 3% draw day, you will not go beyond a 10% draw.
    8. The < 5% draws are very hard to time and figure out that it is the bottom.
    9. There has never been a 1 day mini-draw that indicated a bottom, 2 days is the least.

    This is incomplete, I just haven't had the time to do more digging yet.

    We know so far there is no indication this is a 10%+ draw and that as of Friday it was not the bottom (Friday is day 1 of a mini-draw, in the past needed at least 2 days for a bottom mini-draw).

    My thoughts so far are trying to do 3 stage buys either 20/40/40 or something like 15/35/50. Lots to discuss in here on which mini-draw to buy and why but we can go over that at a later time. This is a rough draft and I will build out from here. Here are a few quick rules I had.

    1. Don't start buying until a mini-draw that finishes over 3% minimum
    2. Any min-draw that finishes lower than or approximately the same as a previous mini-draw don't buy (duh)
    3. Unless you get certain signals to show you otherwise assume a draw won't exceed 10%
    4. Worst case, If you are not fully invested by the time we get back to about a 0.5%-0.7% draw you go all in (data shows the worst fake out got us to about -0.8% draw before screaming back down to a big draw) High probability of success buying then but little upside left.

    We haven't seen a 2%+ day draw yet so we have no indication this will be a >5% draw. What we can guess is Monday will either be a down day to continue this mini-draw and possibly lead to the bottom or Monday could be an up day which would lead me to believe more downside risk is coming because single day bottoms just don't happen, period.

    How did I come up with this? Looked at patterns in massive amounts of data, thought about how sometimes capitulation day buys work ok, sometimes moving monkey (average) buys work, sometimes Elliot wave works and sometimes Fibonacci retracement numbers work. How can I take all of that and put it together. This along with VCO 2.1 is my attempt.

    Disclosure: The author is long UGAZ, UPRO.

    Additional disclosure: Small position in UGAZ and even smaller position in UPRO.

    Tags: Mini-Draws
    Dec 13 11:39 PM | Link | 22 Comments
  • VIX CYCLES (Calendar & Data)

    Just wanted to share some data I put together recently. It shows all the critical Tops and Bottoms I use when I look at VIX cycles and places it into a calendar format so you can visualize where most of the action lies. So when I say there have been 0 tops since 2004 in December and only 1 formed in November (after a massive relief rally from a 16% correction) you can see what I am talking about. My version is color but if it doesn't come out in color the 2010 and 2011 huge corrections I put in purple are the draw within those draws (that's the 10.6% to -6.9% and 17% to -9.5% data).

    **Reminder a VIX cycle goes from a bottom back up to near or above the old top and then back to a bottom of ~3%+ SPY draw. The top can't be identified until we get near the old Top and then draw ~3% or more. The data compiled is SPY values.

    Because End of Year stock market runs are usually so big and so hard to time the top I added in data showing the little 1-2% draws we get in Nov/Dec/Jan that are buying opportunities to ride the end of year gravy train. Those are the values you see in the Nov, Dec and some Jan slots. (BTW - in my excel everything is centered, looks better, etc. No idea why when I copy it to here it looks much worse. There is shading for the whole thing also. Strange)

      2004 2005 2006 2007 2009 2010 2011 2012 2013 2014
    1JANUARY  -3.1% 10.1% -1.80%   11.1% -1.1% & -1.75%   -1.12%  
        1/24/2005 1/11/2006 -1.32%   1/19/2010 27.8%   12.2% -5.7%
    2FEBRUARY    -3.0% 19.2%   -8.0% 2/18/2011   2/14/2013 2/3/2014
        5.4% 2/7/2006 2/20/2007   2/8/2010 -6.2% -2.16% -2.8%  
    3MARCH  3/7/2005   -6.0%     3/16/2011 -1.17% 2/25/2013  
      TOP -7.3%   3/5/2007   15.0% 8.1% 29.0% 6.8% 8.4%
    4APRIL4/5/2004 4/20/2005       4/23/2010 4/29/2011 4/2/2012 4/11/2013 4/2/2014
                      -3.2% -3.9%
      -5.6%   5.7%           4/18/2013 4/11/2014
    5MAY5/10/2004   5/9/2006           8.5%  
      5.4%   -7.6% 12.2% TOP   -7.1%   5/21/2013  
    6JUNE6/23/2004   6/13/2006 6/4/2007 6/12/2009   6/24/2011 -9.7% -6.1%  
            -3.8%       6/4/2012 6/24/2013  
            6/26/2007 -7.5% -16.1%       9.4%
    7JULY      4.6% 7/10/2009 7/2/2010 6.1%     7/24/2014
      -7.3% 9.6%   7/19/2007   10.6% 7/22/2011   8.8% -3.8%
    8AUGUST8/6/2004 8/3/2005   -9.0%   8/9/2010     8/2/2013 8/7/2014
            8/15/2007   -6.90%     -4.5%  
              22.0% 8/26/2010   14.9% 8/27/2013 5.6%
    9SEPTEMBER7.3%       9/16/2009     9/14/2012 6.0% 9/18/2014
      10/6/2004 -5.8%   10.9% -4.5%   -19.4%   9/18/2013 -7.7%
    10OCTOBER-4.7% 10/13/2005   10/6/2007 10/2/2009   10/3/2011   -4.4% 10/16/2014
      10/25/2004     MARKET TOP 7.1%   17.0%   10/8/2013  
              10/19/2009   10/28/2011      
              -5.7% 16.6% -9.5% -7.8% -1.26%  
    11NOVEMBER-1.2%   -1.61%   10/30/2009 11/5/2010 11/25/2011 11/15/2012 -1.20%  
      -1.0% -1.35% -1.77%   -1.02% -3.7%     -2.05%  
      -1.2%       -1.72% 11/16/2010     11.6%  
    12DECEMBER10.5% -2.58%     -1.63%       12/31/2013 ??
      12/29/2004       -1.59%          
              -1.51%          
              -1.14%          

    Lastly here is a basic graph of the runs for pre recession and post recession along with most of the basic data I use to analyze the movements of the market. I have been keying into Top to Top movement to find an optimal point to go from 3x market to 1x market and then Cash/Start shorting the market. Lots of caveats with that as well because of End of year runs. Using a 3% SPY draw as a worst case trigger to go to cash what is an optimal timing strategy? I think I found it and will post as soon as possible but feel free to look for yourself.

    2004-2009

    DATE

    UPRO

    SPY

    DRAW

    VIX

    XIV

    BOTTOM to TOP

    TOP to TOP

    DAYS (to that signal)

      
     

    4/5/2004

    2.45

    115.27

    0.00%

         

    TOP

     

    1

    5/10/2004

    2.29

    108.83

    -5.59%

         

    BOTTOM

     
     

    6/23/2004

    3.07

    114.75

    -0.45%

      

    5.4%

    -0.45%

    30

    TOP

    Not Recent Top

    2

    8/6/2004

    3.05

    106.85

    -7.30%

         

    BOTTOM

     
     

    10/06/2004

    4.76

    114.68

    -0.51%

      

    7.3%

    -0.06%

    42

    TOP

    Not Recent Top

    3

    10/25/2004

    4.41

    109.86

    -4.69%

         

    BOTTOM

     

    End of 2004

    12/29/04

    5.63

    121.36

    0.00%

      

    10.5%

    5.82%

     

    TOP

    EOY RUN

    1

    1/24/05

    5.81

    116.55

    -3.12%

         

    BOTTOM

     
     

    03/07/2005

    6.88

    122.79

    0.00%

      

    5.4%

    1.18%

    90

    TOP

     

    2

    4/20/2005

    5.77

    113.8

    -7.32%

         

    BOTTOM

     
     

    08/03/2005

    7.76

    124.72

    0.00%

      

    9.6%

    1.57%

    73

    TOP

     

    3

    10/13/2005

    7.50

    117.43

    -5.85%

         

    BOTTOM

     

    End of 2005

    1/11/2006

    18.95

    129.31

    0.00%

      

    10.1%

    3.68%

    60

    TOP

    EOY RUN

    1

    2006-02-07

    18.47

    125.48

    -2.96%

         

    BOTTOM

     
     

    2006-05-09

    21.82

    132.62

    0.00%

      

    5.7%

    2.56%

    63

    TOP

     

    2

    2006-06-13

    13.07

    122.55

    -7.59%

         

    BOTTOM

     

    End of 2006

    2007-02-20

    33.71

    146.04

    0.00%

      

    19.2%

    10.12%

    98

    TOP

    EOY RUN

    1

    2007-03-05

    22.94

    137.35

    -5.95%

         

    BOTTOM

     
     

    2007-06-04

     

    154.10

     

    13.29

    26.29

    12.2%

    5.52%

    63

    TOP

     

    2

    2007-06-26

    21.85

    148.29

    -3.77%

         

    BOTTOM

     
     

    2007-07-19

    21.16

    155.07

    0.00%

      

    4.6%

    0.63%

    16

    TOP

     

    3

    2007-08-15

    12.79

    141.04

    -9.05%

         

    BOTTOM

     
     

    2007-10-09

    16.16

    156.48

    0.00%

      

    10.9%

    0.91%

    38

    TOP

    HIGHEST OF THIS CYCLE

                
                
                

    2009-2014

    2009-06-12

     

    95.08

    0.00%

    28.15

    3.12

    Recent Top

      

    TOP

     

    1

    2009-07-10

    12.5

    87.96

    -7.49%

    29.02

    2.99

      

    19

    BOTTOM

     
     

    2009-09-16

    22.26

    107.32

    0.00%

    23.69

    4.18

    22.0%

    12.9%

    41

    TOP

     

    2

    2009-10-02

    19.64

    102.49

    -4.50%

    28.68

    3.92

      

    12

    BOTTOM

     
     

    2009-10-19

    23.99

    109.79

    0.00%

    21.49

    4.66

    7.1%

    2.3%

    5

    TOP

     

    3

    2009-10-30

    20

    103.56

    -5.67%

    30.69

    4.09

      

    9

    BOTTOM

     

    END OF 2009

    2010-01-19

    27.46

    115.06

    0.00%

    17.58

    6.64

    11.1%

    4.8%

    53

    TOP

    EOY RUN

    1

    2010-02-08

    21.22

    105.89

    -7.97%

    26.51

    5.35

      

    14

    BOTTOM

     
     

    2010-04-23

    32.37

    121.81

    0.00%

    16.62

    9.19

    15.0%

    5.9%

    52

    TOP

     

    2

    2010-07-02

    18.49

    102.20

    -16.10%

    30.12

    4.62

      

    49

    BOTTOM

     
     

    2010-08-09

    24.62

    112.99

    -7.24%

    22.14

    6.33

    10.6%

    -7.2%

    25

    TOP

     

    2.5

    2010-08-26

    19.76

    105.23

    -13.61%

    27.37

    5.72

      

    13

    BOTTOM

     
     

    2010-11-05

     

    122.72

    0.00%

    18.26

    10.91

    16.6%

    0.7%

     

    TOP

     

    3.5

    2010-11-16

     

    118.16

    -3.72%

    22.58

    9.76

       

    BOTTOM

     

    END OF 2010

    2011-02-18

    41.45

    134.53

    0.00%

    16.43

    15.09

    13.9%

    9.6%

    121

    TOP

    EOY RUN

    1

    2011-03-16

    33.92

    126.18

    -6.21%

    29.40

    11.04

      

    17

    BOTTOM

     
     

    2011-04-29

    43.24

    136.43

    0.00%

    14.75

    17.49

    8.1%

    1.4%

    31

    TOP

     

    2

    2011-06-24

    34.77

    126.81

    -7.05%

    21.10

    15.85

      

    39

    BOTTOM

     
     

    2011-07-22

    41.28

    134.58

    -1.36%

    17.52

    18.21

    6.1%

    -1.4%

    19

    TOP

     

    3

    2011-10-03

    20.87

    109.93

    -19.42%

    45.45

    5.12

      

    50

    BOTTOM

     
     

    2011-10-28

    32.91

    128.60

    -5.74%

    24.53

    7.33

    17.0%

    -4.4%

    19

    TOP

     

    3.5

    2011-11-25

    23.77

    116.34

    -14.73%

    34.47

    4.91

    21.9%

      

    BOTTOM

     

    END OF 2011

    2012-04-02

    43.38

    141.84

    0.00%

    15.64

    12.29

    29.0%

    10.3%

    86

    TOP

    EOY RUN

    1

    2012-06-04

    31.55

    128.10

    -9.69%

    26.12

    8.47

      

    43

    BOTTOM

     
     

    2012-09-14

    47.62

    147.24

    0.00%

    14.51

    17.02

    14.9%

    3.8%

    72

    TOP

     

    2

    2012-11-15

    37.49

    135.70

    -7.84%

    17.99

    15.93

      

    42

    BOTTOM

     

    END OF 2012

    2013-02-14

    53.5

    152.29

    0.00%

    12.66

    22.94

    12.2%

    3.4%

    60

    TOP

    EOY RUN

     

    2013-02-25

     

    149.00

    -2.77%

         

    BOTTOM

    Govt Sequester Spending

     

    2013-04-11

     

    159.19

    0.00%

      

    6.8%

    4.5%

     

    TOP

    Boston Bombing

     

    2013-04-18

     

    154.14

    -3.17%

         

    BOTTOM

     
     

    2013-05-21

    70.64

    167.17

    0.00%

    13.37

    23.37

    8.5%

    5.0%

    121

    TOP

     

    1

    2013-06-24

    58.91

    157.06

    -6.05%

    20.11

    18.17

      

    23

    BOTTOM

     
     

    2013-08-02

    75.64

    170.95

    0.00%

    11.98

    28.55

    8.8%

    2.3%

    28

    TOP

     

    2

    2013-08-27

    65.7

    163.33

    -4.46%

    16.77

    24.20

      

    17

    BOTTOM

     
     

    2013-09-18

    78.02

    173.05

    0.00%

    13.59

    28.95

    6.0%

    1.2%

    15

    TOP

     

    3

    2013-10-08

    69.04

    165.48

    -4.37%

    20.34

    22.85

      

    14

    BOTTOM

     
     

    2013-12-09

    90.06

    181.40

    0.00%

    13.49

    33.14

    9.6%

    4.8%

    43

    TOP

     
     

    2013-12-17

    85.89

    178.65

    -2.05%

    16.21

    31.27

      

    6

    BOTTOM

     

    END OF 2013

    2013-12-31

    96.31

    184.69

    0.00%

    13.72

    34.38

    11.6%

    1.8%

    9

    TOP

    EOY RUN

    1

    2014-02-03

    80.17

    174.17

    -5.70%

    21.44

    26.64

      

    22

    BOTTOM

     
     

    4/2/2014

     

    188.88

    0.00%

    13.09

    31.61

    8.4%

    2.3%

    42

    TOP

     

    2

    4/11/2014

     

    181.51

    -3.90%

    17.03

    29.51

      

    7

    BOTTOM

     
     

    7/24/2014

     

    198.65

    0.00%

    11.84

    45.16

    9.4%

    5.2%

    72

    TOP

     

    3

    8/7/2014

     

    191.03

    -3.84%

    16.66

    35.65

      

    10

    BOTTOM

     
     

    9/18/2014

     

    201.82

    0.00%

    12.03

    44.49

    5.6%

    1.6%

    30

    TOP

     

    4

    10/16/2014

     

    186.27

    -7.70%

    25.2

    27.19

      

    20

    BOTTOM

     

    Resource Links:

    http://www.vixcontangooscillator.com/

    VCO 2.1 Trade Account - https://trader.motifinvesting.com/motifs/volatility-trading-vco-v21-gy3Jnwnl#/overview

    VCO Idea Created - http://seekingalpha.com/article/1439801-vix-contango-comet-profitable-observations

    Basic Idea of VCO 2.1 - http://seekingalpha.com/instablog/7015781-rock228/3126215-vco-2_1-trading-system

    Disclosure: The author is long UPRO, SVXY, DUST, UGAZ.

    Tags: SPY, UPRO, XIV, SVXY, VCO 2.1
    Dec 06 10:10 PM | Link | 2 Comments
  • DRILLING DOWN ON DECEMBER PART I

    A strange thing seems to happens on the 1st day of December. You either make a nice 1%+ return on day 1 or you lose a little. 2012 had the Fiscal cliff hanging over people's heads so tough to take away much that year. Also notice the 1st "bottom" comes in the 4-6 trading day range most years. (Ex 2007 and 2008 recession data)

    YEAR

    DRAW

    DATE OF BOTTOM

    TRADE DAYS IN

    1st day

    Last Day Nov

    NOV GAIN

    DEC GAIN

    2013

    -1.20%

    12/5/2013

    4

    -0.26%

    -0.07%

    3.0%

    2.0%

    2012

    -0.63%

    12/3/2012

    2

    -0.49%

    0.02%

    0.6%

    0.2%

    2011

    -2.19%

    12/8/2011

    6

    -0.02%

    4.11%

    -0.4%

    0.4%

    2010

    -0.11%

    12/6/2010

    4

    2.13%

    -0.56%

    0.0%

    6.1%

    2009

    -1.52%

    12/8/2009

    6

    1.24%

    0.34%

    6.2%

    1.4%

    2006

    -0.52%

    12/7/2006

    5

    -0.22%

    0.04%

    2.0%

    0.8%

    2005

    -0.64%

    12/8/2005

    6

    1.02%

    -0.54%

    4.4%

    -0.7%

    2004

    -1.03%

    12/7/2004

    5

    1.14%

    0.07%

    4.1%

    2.5%

            

    Averages

    -1.0%

     

    5

    0.6%

    0.4%

    2.5%

    1.6%

    Notice it doesn't pay to own SPY on the last trading day of Nov (ex 2011 the return is -0.1%). 2011 4.11% up is in the beginning of the next move higher after the 19% draw, 13% recovery and back into an 8% draw within a draw (net 14.7% draw on 2nd bottom). Nothing like this year. The next biggest gain is 0.34%. Not really worth it.

    Let's look at the 1st day down years and see if a buy in strategy at the close on the last trading day in November is worth it.

     

    1st Day

    TREND

      

    NOTE

      

    2013

    -0.26%

    3 trading days Net -1.20%

    Gained it all back 2 days later

    2012

    -0.49%

    6 trading days later +0.68%

    Net ~1%

      

    2011

    -0.02%

    2 trading days later +1.09%

    Net ~1%

      

    2006

    -0.22%

    2 trading days later +1.19%

    Net ~1%

      

    So as you can see even if you selloff on the 1st trading day of December you get it back every time and ~+1% higher except for 2013 where you broke even. Here is the return results if you bought the last trading day of Nov at the close.

     

    Min Return

    Trading Day

    2013

    0%

    6

    2012

    0.70%

    7

    2011

    1.10%

    5

    2010

    2.13%

    1

    2009

    1.24%

    1

    2006

    1.20%

    3

    2005

    1.02%

    1

    2004

    1.14%

    1

       

    Avg

    1.1%

    3

    I don't know if a lot can be made of this data but here are my two suggestions.

    Aggressive Trader
    Buy at the close on last trading day of November (Nov 28th this year around 12:30-1PM, market closes at 1PM that day). If Dec 1st is a ~1%+ up day, sell and wait for a -0.5%-1.5% cumulative draw on about the 4th-6th trading days of December and then buy again. If day 1 is down you can either sell (if day 1 down day was small) and wait for the ~1% draw by the 6th trading day or you can hold and hope you get the ~1% gain you normally get to start the month and then look to sell.

    The thing to remember is there isn't a single year in my data above that you did not make at least +1% in December (in 2013 you had to wait until after Christmas but that is because of the Fed announcing the start of QE taper paused us -2.1% mid-month, no major Fed announcements expected this year).

    Cautious Investor

    Wait until you see a 0.5%-1.5% draw on the SPY usually sometime around the 4th-6th trading day and then go long.

    I will drill into the mid December to end of year data more and show you the data in my next article. Again, I am just playing the odds. Almost every December is up so simply going long now is usually a great bet. But for those that want to see if they can maneuver a little more deftly to thread the needle this info might be of help. A 1% gain might not seem like much but if you can capture a 3x UPRO play (3% gain) and then buy back in ~1% lower and ride it back the rest of December for another 1-2% gain (3-6% with UPRO) you can capture 5-10% in one month on a net 1% SPY move. Throw in using SVXY instead and you could easily grab 10%+ if the numbers and stars align.

    I will be buying UPRO ~ 12:30 on 11/28/14 (market closes at 1PM). If we get the 1% rise and then a 1% draw I will be buying more SVXY then UPRO on the ramp up through the rest of December. Good luck and happy trading!

    Disclosure: The author is long UPRO, SVXY, DUST.

    Additional disclosure: I will be taking a large position in UPRO near the close on Nov 28th.

    Tags: UPRO, SVXY, EOY
    Nov 26 3:56 PM | Link | 49 Comments
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