Friday, October 31, 2014

Did We Just Witness the Slickest Transfer Of Assets In History?

SPY is the ETF for the S&P 500 and, except for a moment of insanity when it was surpassed by the gold ETF, is the largest and most active, some 121 million shares per day at a three figure price.

Looking at this chart from PastStat you see one sweet little fakeout:

10 or higher lows on $SPY stock chart

Just think of all those shares shaken loose and dumped on the way down and at the bottom. It's almost enough to make one believe in conspiracy theories.

We did our best to stand against the storm, warning this decline was coming, catching the bottom and then calling the upmove. To no avail, the herd does what the herd always does.
This morning's premarket trade is up $2.05 at $201.47.

Today's link is from from PastStats, Oct. 30:

next what ? -> when $SPY posts 10 or more higher lows

ok we are not sure of the data feed that we received at the time of writing :) , but anyway looks like $SPY posted 11 consecutive higher lows’s which triggers below trading strategies
1) $SPY posts 10 or more consecutive higher low’s in row
below the trading odds , for $SPY longs , for the next 1/2/3/4/5 trading days , data since Feb 1993 , minus today’s instance
Date $SPY t+1 % t+2% t+3% t+4% t+5% 1st +’ve %
29-Oct-14 198.11 ?? ?? ?? ?? ?? ??
20-May-13 162.09 0.15 -0.6 -0.88 -0.97 -0.38 0.15
17-May-13 162.1 -0.01 0.14 -0.6 -0.89 -0.97 0.14
16-May-13 160.55 0.97 0.96 1.11 0.36 0.07 0.97
15-May-13 161.31 -0.47 0.49 0.48 0.63 -0.12 0.49
15-Mar-13 151.32 -0.56 -0.79 -0.09 -0.95 -0.15 -0.15
30-Jan-13 145.08 -0.25 0.78 -0.36 0.65 0.72 0.78
27-Jul-09 88.45 -0.46 -0.71 0.33 0.46 2.13 0.33
24-Jul-09 88.19 0.29 -0.17 -0.42 0.62 0.76 0.29
15-Nov-04 97.07 -0.72 -0.13 0.01 -1.1 -0.64 0.01
12-Nov-04 96.83 0.25 -0.48 0.11 0.26 -0.86 0.25
11-Nov-04 96.07 0.79 1.04 0.31 0.91 1.05 0.79
10-Nov-04 95.35 0.76 1.55 1.8 1.07 1.67 0.76
9-Nov-04 95.27 0.08 0.84 1.64 1.89 1.15 0.08
8-Nov-04 95.46 -0.2 -0.12 0.64 1.44 1.69 0.64
30-Dec-03 89.61 0.09 0.04 1.13 1.23 1.57 0.09
29-Dec-03 89.59 0.02 0.11 0.07 1.15 1.25 0.02
26-Dec-03 88.42 1.32 1.35 1.44 1.39 2.49 1.32
24-Dec-03 88.35 0.08 1.4 1.43 1.52 1.47 0.08
8-Mar-02 91.33 0.22 0.15 -0.81 -0.95 0 0.22
29-Nov-96 55.5 0.04 -1.68 -1.41 -1.68 -2.25 0.04
27-Nov-96 55.29 0.38 0.42 -1.3 -1.03 -1.3 0.38
23-Jun-95 39.12 -1.2 -1.38 -0.87 -1.05 -1.1 -1.1

avg 0.07 0.15 0.17 0.23 0.38 0.30

med 0.08 0.13 0.09 0.54 0.40 0.24

vs all days since 1993 0.04 0.08 0.12 0.16 0.2 0.16

%wins 64 59 59 64 55 91
ps: t+1 to t+5 are the percentage changes , and the 1st +’ve is when the entry is set to current close and exit at the first higher close than the entry , with-in the next five trading days , else with a loss at the end of the fifth trading day....MORE
"point is 13/13 times , $SPY posted a higher close than the current close over the next 5 trading days , at some point of time"