HedgeFundLIVE.com — Reposting my blog (with updated stats) from Feb. 11, 2011, a very similar day to today in that we made a round trip (up) day on a Friday.
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The action in the Spooz so far today reminded me of a blog that I had written on Jan. 14, 2011. I had run an analysis on Round Trip days. A “Round Trip” is a HFL coined term that means a name has moved from below S4 to above R4 or vice versa (R4 down to S4). We saw this action on Jan. 14, which happened to be a Friday like today as well. Here are the updated stats for what occurs in the market on the day following a round trip up (S4 to R4):
All Days | Fridays Only | |
Next Day Pct Chg Input | 0.00% | |
Upside: Next Day Pct Chg Input | 1.00% | |
Downside: Next Day Pct Chg Input | -1.00% | |
Number of Instances | 121 | 17 |
Number of Up > 0% Next Days | 65 | 8 |
Number of Higher High Next Days | 87 | 11 |
Number of Lower Low Next Days | 16 | 4 |
Number of Up More Than 1% Next Days | 13 | 2 |
Number of Down More Than -1% Next Days | 20 | 0 |
Number of High Above R4 Next Days | 27 | 4 |
Number of Low Below S4 Next Days | 41 | 5 |
Probability of Up >0% Next Day | 53.72% | 47.06% |
Probability of Higher High Next Day | 71.90% | 64.71% |
Probability of Lower Low Next Day | 13.22% | 23.53% |
Probability of Up More Than 1% Next Day | 10.74% | 11.76% |
Probability of Down More Than -1% Next Day | 16.53% | 0.00% |
Probability of Ticking Above R4 Next Day | 22.31% | 23.53% |
Probability of Ticking Below S4 Next Day | 33.88% | 29.41% |
The blue font denotes input parameters for this model. The bold font denotes the output of the model.
Round trips where the Spooz have closed in the green have occurred 121 times since Jan. 2000, or roughly 4.2% of the time. Out of those 121 days, 17 of them were Fridays (like today). The probability of the market closing up on the following day is 53.7%. The probability of making a higher high though is 71.9% while the probability of making a lower low is 13.2%. The probability of the market ticking below the S4 pivot level on Monday is no more than 33.9%. So all in all I would not expect a huge sell off. Similarly, the odds of the Spooz closing down more than 1% are low, 10.7%. Actually, if the round trip up occurs on a Friday, we have never since the year 2000 seen a down more than 1% on Monday. With these lackluster data that neither point strongly to the up or down side, I am anticipating a flattish day to kick start next week.
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Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.