3rd Year of US Presidential Cycle Signals a Bullish January. In 1000 UK #1 Hits by Jon Kutner & Spencer Leigh, Pilot songwriter David Paton recalls the inspiration for his song January. My wife was reading a book & the main character was called January. She told me this &... Show More
All Ordinaries Index - 'Twas the days before Christmas - Bullish to New Year's Eve. We note that we have 8 trading days to New Year's Eve. Seasonally this is a Bullish period for the All Ordinaries Index. Since 1980, the last 8 trading days of December have provided an... Show More
S&P 500 - A record closing high in December is usually Bullish 20-days forward. We note that Wednesday's final print of 2,074.33 marked a new record closing high for the S&P 500 Index. This type of positive momentum in December has a tendency to assist the usual seasonal tailwinds. Since... Show More
S&P 500 Index - October close at record high suggests further gains. We note that the S&P 500 Index managed to close out October at a record level. Utilising the extended S&P 500 Index time series from Global Financial Data we find that record month end closing highs in October... Show More
Melbourne Cup provides a Bullish Setup for Australian Equities. In Australia the press dub the Melbourne Cup as the race that stops a nation. It is truly one of the social events of the year & the mood of the nation tends to be exceedingly upbeat. It is also a... Show More
S&P 500 Index - From record high to a close below 200-day moving average within 20-days - What happens next? We note that the S&P 500 Index has moved from a record closing high (18th September) to a close below its 200-day moving average (13th October) all within a 20... Show More
CBOE S&P 100 Volatility Index (VXO) consecutive gains of 10% plus provides a Bullish setup for the S&P 500. We note that at Friday's close the CBOE S&P 100 Volatility Index (VXO - Original VIX) had recorded consecutive daily gains of 10% plus. Consecutive moves of this magnitude have only occurred... Show More
All Ordinaries Index - After 7 consecutive down weeks it's time to listen to David Soul. We note that the All Ordinaries Index has been down for 7 consecutive weeks. Since 1980, the All Ordinaries Index has produced 7 consecutive down weeks (non-overlapping) on 6 previous occasions. Interestingly, 8-weeks following... Show More
AUDUSD - Large monthly falls offer no predictive quality. We note that the AUDUSD is down more than -5% for the month of September. For many casual observers a fall of this magnitude may offer some predictive quality. However, running a test of all monthly falls of more than -5% reveals... Show More
AUDUSD - Hypothetical Range Analysis Generated by Random Walk Process. In perfect markets, logical reasons exist for believing that daily price movements are random walks or martingales. For the most part serial correlations in daily price fluctuations are typically small. However, even random walks can have a series of runs &... Show More
All Ordinaries Index - close below 200-day moving average lacks predictive quality. We note that yesterday the All Ordinaries Index closed below its 200-day moving average. For many casual observers a close below such a revered technical level is inordinately negative for Australian equities. Well like most indicators (technical or... Show More
S&P 500 Index - 12-month closing high in August suggests a September pullback. We note that if the S&P 500 Index were to finish August above 1,960.2 (currently 2,000 points) that would mark a 12-month closing high. Interestingly, whenever the S&P 500 finished August at a 12-month closing high, September... Show More
NASDAQ 100 (NDX) - 3-day RSI above 95 for 6 consecutive days is Bullish. We note that the NASDAQ 100′s 3-day RSI has closed above the 95 level for 6 consecutive days. Intuitively, we thought that this type of lofty & persistent overbought condition would indicate a pullback over the... Show More
All Ords Index (XAO) - 7 consecutive up days in conjunction with a 250-day closing high points to higher ground. On Friday, the All Ordinaries Index closed up for the 7th consecutive day in conjunction with a 250-day closing high (approximately 1 year maximum closing level). This type of upward... Show More
All Ords Index - 7 consecutive up days in conjunction with a 250-day closing high is better than a Meat Loaf. Yesterday, the All Ordinaries Index closed up for the 7th consecutive day in conjunction with a 250-day closing high (approximately 1 year maximum closing level). This type of upward... Show More
S&P 500 Index - Persistence above the 20-day moving average suggests further Upside. We note that the S&P 500 Index has closed above its 20-day moving average for the 30th consecutive session. Historically, this type of upward trend persistence rarely encountered downward pressure over the next 10 to 40 trading... Show More
All Ords Index - 7-years & No Capital Growth has always been Bullish 3-years Forward. The All Ordinaries Index (XAO) ended the 2014 financial year at 5,382. We note this level is lower than 7-years ago with the index finishing financial year 2007 at 6,310. So over the past 7-years... Show More
Sell in May - An Australian Perspective. We note that from a statistical standpoint the Sell in May market anomaly does not pass muster with regard to Australian equities. Since 1950, the All Ordinaries Index has provided average gains of 2.17% for the 6-month interval starting in May & ending... Show More
All Ords Index - 7 consecutive up days in conjunction with a 250-day closing high suggests further gains. Yesterday, the All Ordinaries Index closed up for the 7th consecutive day in conjunction with a 250-day closing high (approximately 1 year maximum closing level). This type of upward momentum is usually... Show More
6 down days for the VIX & 6 up days for the S&P 500 provides a 5-day bullish bias for the S&P 500. We note that the VIX has just posted 6 consecutive down days while the S&P 500 has managed 6 consecutive up days. This is an unusual market... Show More
but even the US data has holes in it because you need to find a safe alternative that yields more while you're out of stocks. Last year in the US was a perfect example, the SP500 rose ~10% between May and October. Hard to find an alternative yielding ~20% pa to replace the time out of equities.
The original saying was Sell in May and go away, come back on St. Leger's Day dating back to the 1930s, when England still ruled India. St. Leger's Day is in September, however, the Stock Traders Almanac extended it to October, due to some large downward moves in the data
T-stat for both 20 and 40 day periods > 2. Data is signifcant at more than the 1 in 20 level.
On 20 day 75% of the time and 40 was 80% of the time.
We posit that mood is the major influence on these returns, not unlike the better than average returns that accompany stocks at Christmas & New Year. Other influences on these returns could be perceived investor relief that October is over, 1st week of the month positive bias, November through to the end of April marking the beginning of an historically positive period & thin markets around Melbourne Cup Day. Perhaps the Melbourne Cup also has a tendency to increase international investor focus on Australia.
The conditional return of 2.17% versus the unconditional return (random) of 0.45% is statistically significant at well north of the conventional 1 in 20 level (t-Test: Two-Sample Assuming Unequal Variances). In terms of financial market time series analysis the statistical significance of this study is high.