S&P a potential short term buy

The current price pattern in the S&P and spike in bond prices is bullish for the short term, if tomorrows open April 1st is below 782.3. This pattern has occurred 31 times since 1982 and 31 trades have been wins with the entry and exit criteria below. FYI our intermediate term S&P and NDX model are both long from yesterdays close and our VIX model also got short yesterday.
If open is less than 782.3 then Buy @ market
Exit 1st profitable open or 2% stop loss

Out of the 5 short term trades that have hit since we started this blog, we made 12pts on the Feb 24th long entry, 15pts on the Jan 15th long entry, lost 17.3 pts from Jan 13th long entry, lost 17 pts on November 18th, and made 52 pts on the win from October 28th Net, the short term system is up 44.7pts in 5 trades.

The performance results are based on 1 large contract trades since 1982
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No Ripe trades setups for tomorrow.


Breakout candidates

Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( ALTR,
AMZN,BIDU,BIIB,CEPH,GILD,HANS,ISRG,LLTC,NVDA,ORLY,QCOM,RIMM,SRCL,VRTX ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are hereOne thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.

Hammer and dragonfly doji candlestick pattern

Today we test the Hammer/ Dragonfly doji bullish candlestick pattern.

This is the description as per the Lit Wick website:
How to Identify it:
Small real body at the upper end of the trading range
Lower shadow at least twice as long as the real body
No (or almost no) upper shadow
What it Means:
“There is a sharp sell off after the market opens during a downtrend. However, by the end of the trading day, the market closes at or near its high for the day. This signifies a weakening of the previous bearish sentiment, especially if the real body is white (the close is higher than the open price). Since the certainty for a Hammer indicator is low, the trend reversal can be confirmed by a higher open and an even higher close on the next trading day. If the open and the close are identical, the indicator is considered a Dragonfly Doji. The Dragonfly Doji has a higher reliability associated with it than a Hammer. “

We tested this pattern on every one of the S&P 500 stocks since 1990 and compared the performance results to the average 5 day move in all the S&P 500 stocks. The entry was at the open on the day after the Hammer/ Dragonfly doji bullish pattern setup and the exit was at the open 5 trading days after entry.
This is what the Hammer/ Dragonfly doji bullish setup looks like.

The Lit wick description doesn’t mention if the hammer needs to be a white or black body, so we tested both scenarios as well as the Dragonfly Doji day which according to the website is the more reliable pattern.
Below are the results of the Hammer white bar, Hammer black bar, Dragonfly doji bullish, and as a comparison the average 5 day holding period of all the S&P 500 stocks and all the other candlestick patterns that we have tested to date.
The average 5 day return after all 3 variations of this pattern ( White hammer, Black hammer & Dragonfly doji) was equivalent to or less than all other 5 day periods. The Dragonfly doji which was supposed to perform the best actually performed the worst.
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Stock market toming update April 1st

Ripe Trade Makes the cut for top 50 mutual fund websites , here.



The S&P Model is long as of the close on March 31st. No open orders.

The NASDAQ model is long as of the close on March 31st. No open orders.


The VIX Model is short as of the close on March 31st. This model will sto pout of the short at 51.21

The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.

Doji star historical performance

Today we test the Doji star candlestick pattern.

This is the description as per the Lit Wick website:
How to Identify it:
First day is a long black day
Second day is a doji that gaps in the direction of the previous trend
The shadows of the doji should not be long
What it Means:
“In a downtrend, the market bolsters the bears with a long black day and gaps open on the second day. However, the second day trades within a small range and closes at or near its open. This scenario generally shows the potential for a rally, as many positions have been changed. Confirmation of the trend reversal would be a higher open on the next trading day.”

We tested this pattern on every one of the S&P 500 stocks since 1990 and compared the performance results to the average 5 day move in all the S&P 500 stocks. The entry was at the open on the day after the Doji star bullish pattern setup and the exit was at the open 5 trading days after entry. This is what the Doji Star bullish setup looks like.

Below are the results of the Doji Star, and as a comparison the average 5 day holding period of all the S&P 500 stocks and all the other candlestick patterns that we have tested to date.
The average 5 day return after a Doji star was -.18% which is significantly worse than the average 5 day return for all other days. The win percent was also worse than the win percent of all other 5 day periods. This doji star pattern is supposed to be a bullish reversal formation, yet after we tested the pattern we now know that the pattern typically loss’s more money than a typical 5 day period. Do you think we can get our money back from all the technical analysis books which suggest buying after the formation?

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Breakout candidates for March 31st

No Ripe trades setups for tomorrow.

Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( ALTR,AMZN,BIDU,BIIB,FWLT,GILD,
HANS,NVDA,ORLY,QCOM,RIMM,VRTX ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are hereOne thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.

Stock market trading update March 31st

The S&P Model is short as of the close on March 27th. This model will cover the short and get long at the close tomorrow March 31st if the VIX stays below 46.28.

The NASDAQ model is flat and in cash. This model will get long the NDX at the close tomorrow March 31st if the VXN stays below 45.83 or if the VXN close below 44.87 or if the VXN close below the VXN open.

The VIX Model is long as of the close on March 27th. Tomorrow March 31st this model will sell the VIX on a stop at 45.87 and or sell the long and get short the VIX at the close if the VIX stays below 46.28 or if the VIX closes below 45.54 or if the VIX closes below the VIX open.

The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.

Ripe Trades and Breakouts for march 30th

Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008.These are the stocks that qualify for Friday with the entry price limits specified , good for the day only.

Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.

Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.

These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.

These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.

Breakout candidates

Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( CTXS,FWLT,GILD,HANS,NVDA,SRCL,
YHOO ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.

Stock market timing update March 30th

The S&P Model is short as of the close on March 27th. No open orders.

The NASDAQ model is flat and in cash. No open orders.

The VIX Model is long as of the close on March 27th. No open orders.

The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.

Concealing Baby Swallow candlestick pattern

For the next several months I am going to do a series of posts on testing the efficacy of various candlestick patterns on the S&P 500 stocks. I am going to test the list of patterns A-Z, listed on this website http://www.candlestickchart.com/glossary.html . Ill use this website because the pattern description seems to be thorough and the list robust.

Today we test the Concealing Baby Swallow candlestick pattern.

This is the description as per the Lit Wick website:
How to Identify it:
The first two days are Black Marubozu days
The third day is black day that gaps downward, but trades into the body of the second day
The fourth day is a Black Marubozu day that engulfs the third day
What it Means:
In a strong downtrend, highlighted by two consecutive Black Marubozu days, a gapping black day trades into the body of the previous day. The last day, another Black Marubozu, shows investors selling off, as it closes at a new low. This provides an opening for the shorts to cover their positions. A bullish reversal should ensue.
As per the Lit wick website the definition of a Marubozu day is “A marubozu candlestick is one that exhibits no (or very little) upper or lower shadow. For a white candlestick this means that its open is equal to its low, and its close is equal to its high. For a black candlestick it means that its open is equal to its high, and its close is equal to its low.”

This pattern didnt show up in any of the S&P 500 stocks since 1990. To increase the sample size of this pattern I will test the Marubozu days with the less restrictive definition, being a small or no wick in the upper and lower shadow. I quantified the term “small” as an upper and lower wick less than 30% of that days range. i.e. Marubozu day = high – open less than 30% of range and close – low less than 30% of range .If you are not familiar range equals high minus low .

This pattern is extremely rare and didn’t show up even one time when using the most restrictive definition of a marubozu day that doesn’t have an upper or lower wick. With a loosened definition of a mazrubozu day which includes days with an upper and lower wick less than 30% of that days range, the pattern only shows up 17 times. Below are the results of the Concealing Baby Swallow, and as a comparison the average 5 day holding period of all the S&P 500 stocks and all the other candlestick patterns that we have tested to date.

The average 5 day return after a Concealing Baby Swallow was the same as the average random 5 day return. The win percent was slightly better than random but the small sample size of only 17 trades provides little statistical significance.

Ripe Trade and Breakouts March 27th

Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008.These are the stocks that qualify for Friday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.
These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.

Breakout candidates
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( CTSH,CTXS,FWLT,GILD,HANS,NVDA,
YHOO ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here

One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.

Stock trading model update March 27th

The S&P Model is long as of the close on March 23rd. This model will sell the long and get short the S&P at the close tomorrow March 27th if the VIX stays greater than 40.17

The NASDAQ model is flat and in cash.

The VIX Model is short as of the close on March 23rd. This model will cover the short and get long the VIX tomorrow March 27th if the VIX stays above 40.17 or if the VIX closes above 40.36 or if the VIX closes above the VIX open.

The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.

Ripe Trade and Breakouts for March 26th

Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008.These are the stocks that qualify for Friday with the entry price limits specified , good for the day only.

Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.

Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.

These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.

These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.

Breakout candidates

Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( CHKP,NVDA,YHOO,FWLT,CTSH,CTXS,
HANS,GILD,BIIB ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.

Stock market timing model March 26th

The S&P Model is long as of the close on March 23rd. This model will sell the long and get short the S&P at the close tomorrow March 26th if the VIX stays greater than 40.81

The NASDAQ model is flat and in cash.

The VIX Model is short as of the close on March 23rd. This model will stop out of the short at 50.15.

The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.

Breakaway bullish candlestick pattern

For the next several months I am going to do a series of posts on testing the efficacy of various candlestick patterns on the S&P 500 stocks. I am going to test the list of patterns A-Z, listed on this website http://www.candlestickchart.com/glossary.html . Ill use this website because the pattern description seems to be thorough and the list robust.

Today we test the Breakaway Bullish candlestick pattern.

This is the description as per the Lit Wick website:
How to Identify it
The first day is a long black day
The second day is a black day that gaps below the first day
The third and fourth days continue to in the direction of the second with lower consecutive closes The fifth day is a long white day that closes into the gap between the first and second days

What it Means: A downtrend sees prices bottoming out and leveling off. The result is a long white day which does not close the gap into the body of the first day. This suggests a short term reversal.
We tested this pattern on every one of the S&P 500 stocks since 1990 and compared the performance results to the average 5 day move in all the S&P 500 stocks. The entry was at the open on the day after the breakaway bullish pattern setup and the exit was at the open 5 trading days after entry. This is what the breakaway bullish pattern setup looks

Below are the results of the Breakaway Bullish pattern, and as a comparison the average 5 day holding period of all the S&P 500 stocks and also performance statistics for all S&P 500 stocks while in a down trend. This pattern is extremely rare and after testing each of the S&P 500 stocks individually the pattern only occurred 80 times.
The average 5 day return after a Breakaway bullish pattern was slightly higher than the average random 5 day return. The win percent after a Breakaway bullish pattern was 43.8% which is below the 50.9% win rate from a random 5 day hold.
Let Ripe Trade back test your trading concepts , Click Here

Breakouts candidates for March 25th

No Ripe Trade setups for tomorrow, just the breakout candidates listed below.

Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( CHKP,CTXS,GILD,HANS,NVDA,YHOO ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.

Stock market timing update March 25th

The S&P Model is long as of the close on March 23rd. This model will sell the long and get short the S&P at the close tomorrow March 25th if the VIX stays greater than 41.63

The NASDAQ model is flat and in cash.

The VIX Model is short as of the close on March 23rd. This model will cover the short and get short the VIX at the close tomorrow March 25th if the VIX stays above 41.63 or if the VIX closes above 42.93 or if the VIX closes greater than the VIX open.

The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.

Belt hold bullish candlestick pattern

For the next several months I am going to do a series of posts on testing the efficacy of various candlestick patterns on the S&P 500 stocks. I am going to test the list of patterns A-Z, listed on this website http://www.candlestickchart.com/glossary.html . Ill use this website because the pattern description seems to be thorough and the list robust.

Today we test the Belt Hold Bullish candlestick pattern.

This is the description as per the candlestickchart website:
Belt Hold Bullish - How to Identify it - A white body occurs in a downtrend with no lower shadow
What it Means:
In a downtrend, a white body occurs with an open that is also the low for the day. This may signify a rally for the bulls.

This pattern mentions a downtrend but doesn’t define the term. We will quantify a down trend as a Close less than the 50 day moving average and the slope of the moving average is down and also 2 consecutive down closes. We will use this definition of down trend going forward for all other patterns that call for a downtrend.
We tested this pattern on every one of the S&P 500 stocks since 1990 and compared the performance results to the average 5 day move in all the S&P 500 stocks. The entry was at the open on the day after the belt hold bullish pattern setup and the exit was at the open 5 trading days after entry.
This is what the belt hold bullish pattern setup looks like.

Below are the results of the Belt Hold Bullish pattern, and as a comparison the average 5 day holding period of all the S&P 500 stocks and also all S&P 500 stocks while in a down trend. After testing each of the S&P 500 stocks individually, this pattern has occurred 3,733 times since 1990.

The definition of a Belt hold bullish candlestick pattern doesn’t mention any detail on the size of the white bar. I also tested the belt hold bullish pattern with the added criteria that the size of the white bar ( close – open ) be greater than 50% of that days range. The performance results improved somewhat and of course the sample size was smaller. This modified belt hold bullish pattern is labeled “ Belt hold bullish big white bar” in the table below.

The average 5 day return and win percent for the Belt hold bullish pattern was larger than the average 5 day return of all periods tested and all periods in a downtrend.
Let Ripe Trade back test your trading concepts , Click Here

Ripe Trades and Breakouts for march 24th

Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008.These are the stocks that qualify for Friday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.
These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.Let Ripe Trade back test your trading concepts , Click HereRipe Trade list
Breakout candidates
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( BIDU,CHKP,CTXS,GILD,HANS,ORLY,
RYAAY,YHOO ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here

One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.

Stock market timing for March 24th

The S&P Model is long as of the close on March 23rd. No open orders.

The NASDAQ model is long as of the close on March 23rd. This model will sell the NDX long and get flat tomorrow March 24th if the VXN stays above 41.5 or if the VXN closes greater than 42.01 or if the VXN closes greater than the VXN open.

The VIX Model is long as of the close on March 11th. No open orders.

The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.

Ripe Trades and Breakouts for March 23rd

Below you will find a list of short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008.These are the stocks that qualify for Friday with the entry price limits specified , good for the day only.

Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.

Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.

These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.

These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.Let Ripe Trade back test your trading concepts , Click HereRipe Trade list

Breakout candidates

Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( BIDU GILD, HANS, RYAAY ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here

One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.

Stock market trading update March 23rd

The S&P Model is flat and in cash. This model will get long the S&P at tomorrows close March 23rd if the VIX stays below 47.63

The NASDAQ model is flat and in cash. This model will get long at tomorrows close March 23rd if the VXN stays below 45.31 or if the VXN closes below 44.66 or if the VXN closes below the VXN open.

The VIX Model is long as of the close on March 11th. This model will sell the long and get short the VIX at the close tomorrow March 23rd if the VIX stays below 47.63 or if the VIX closes below the VIX open or if the VIX closes below 45.89 and close > 41.30.

The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.

Candlestick pattern efficacy

For the next several months I am going to do a series of posts on testing the efficacy of various candlestick patterns on the S&P 500 stocks. I am going to test the list of patterns A-Z, listed on this website http://www.candlestickchart.com/glossary.html . Ill use this website because the pattern description seems to be thorough and the list robust.

The first pattern that I test will be the Abandon Baby Bullish

This is the description as per the candlestickchart website:
Abandon Baby Bullish - How to Identify it
-First day is usually a long black day
-Second day is a doji that gaps in the direction of the previous trend
-The third day is a white day, gapping in the opposite direction, with no overlapping shadows
We tested this pattern on every one of the S&P 500 stocks since 1990 and compared the performance results to the average 5 day move in all the S&P 500 stocks. The entry was at the open on the day after the 3 day abandon baby bullish setup and the exit was at the open 5 trading days after entry.
This is what the abandon baby bullish pattern setup looks like.

I also tested the abandon baby bullish pattern with adding the criteria that the second doji day , have its entire range below the first long black day. The performance results of this pattern are labeled “Abandon Baby Bullish 2”

Below are the results of the Abandon Baby Bullish pattern, Abandon Baby Bullish 2 pattern and as a comparison the average 5 day holding period of all the S&P 500 stocks. This is a very rare pattern, when examining each of the S&P 500 stocks individually this pattern has only shown up 232 times since 1990. The pattern never showed up in about 2/3rds of the stocks tested and the most it showed up was only 3 times an a small handful of stocks.

The average 5 day return for the abandon baby pattern was 3.6 times greater than the average 5 day return of all periods tested. The abandon baby bullish pattern was positive 59.5% of all trades, as a comparison all 5 day holding periods were positive 50.9%. These back tests were conducted on everyone of the S&P 500 stocks since 1990.

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Ripe Trades and Breakouts March 20th

Its surprising to still see this many overbought stocks after a down day in the markets, probably a bearish sign for the market. Also Friday is a quadruple witch option expiration day which has historically been bearish.
Below you will find a big list of short candidates in the hyperlink. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008.These are the stocks that qualify for Friday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.Let Ripe Trade back test your trading concepts , Click Here

Ripe Trade list

Breakout candidates
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( GILD, HANS, RYAAY ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.

Stock market timing model March 20th

The S&P Model is flat and in cash. No open orders.

The NASDAQ model is flat and in cash. No open orders.

The VIX Model is long as of the close on March 11th. No open orders.

The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.

Mortgage related closed end funds

Today the Fed announced to purchase $300B of longer-term Treasuries, $750B of MBS and $100B of GSEs, bonds soared off of this news. The 30yr treasury bond futures were up over 4 points on the day which was a record +4% one day move.

The Fed's statement said the following regarding these decisions:
"The Federal Reserve will employ all available tools to promote economic recovery and to preserve price stability."
"To provide greater support to mortgage lending and housing markets, the Committee decided today to increase the size of the Federal Reserve’s balance sheet further by purchasing up to an additional $750B of agency mortgage-backed securities, bringing its total purchases of these securities to up to $1.25 trillion this year, and to increase its purchases of agency debt this year by up to $100B to a total of up to $200B."
"Moreover, to help improve conditions in private credit markets, the Committee decided to purchase up to $300B of longer-term Treasury securities over the next six months."
"The Federal Reserve has launched the Term Asset-Backed Securities Loan Facility to facilitate the extension of credit to households and small businesses and anticipates that the range of eligible collateral for this facility is likely to be expanded to include other financial assets."

Today’s announcements are a major positive for funds that invest in mortgage related debt. Below is a list of all the closed end funds that are involved in mortgage related products, I’ve also included the dividend yield and discount or Premium to NAV. For a further analysis of historical NAV history and fund composition you can use this site http://www.etfconnect.com/
Its just a guess but I have to believe that some and probably most of these funds will be higher 12 months out. The high dividend yield and big discounts to net asset value also make these funds appealing.

Click image to enlarge

Ripe Trades and Breakouts for March 19th

A huge list of short candidates is probably a bearish omen for the S&P.
Below you will find a list of short candidates in the hyperlink. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008.These are the stocks that qualify for Thursday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.
These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.Let Ripe Trade back test your trading concepts , Click Here

Ripe Short list

Breakout candidates
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( GILD, HANS, RYAAY ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.

Stock market trading update March 19th

The S&P Model is flat and in cash. This model will get short the S&P at the close tomorrow March 19th if the VIX stays greater than 38.98

The NASDAQ model is flat and in cash.

The VIX Model is long as of the close on March 11th. No open orders.

The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.

Ripe Trades and Breakouts for March 18th

A big list of short candidates is probably a bearish omen for the S&P.

Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008.These are the stocks that qualify for Wednesday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.

These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.

These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.Let Ripe Trade back test your trading concepts , Click Here
Breakout candidates
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( GILD, HANS ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here

One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.

Market timing update March 18th

The S&P Model is flat and in cash. This model will get short the S&P at the close tomorrow March 18th if the VIX stays greater than 40.74

The NASDAQ model is flat and in cash.

The VIX Model is long as of the close on March 11th. No open orders.

The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.

Happy St. Patrick’s day

Here’s to a long life and a merry one
A quick death and an easy one
A pretty girl and an honest one
A cold beer and another one!

Ripe Trades and Breakouts for March 17th

Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008.These are the stocks that qualify for Tuesday with the entry price limits specified , good for the day only.

Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.

Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.Let Ripe Trade back test your trading concepts , Click Here

Breakout candidates

Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( GILD, HANS ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are hereOne thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.

Stock market trading update March 17th

The S&P Model is flat and in cash.

The NASDAQ model is short as of the close on March 13th, This model will cover the short at the open tomorrow March 17th.
The VIX Model is long as of the close on March 11th. No open orders.

The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.

Ripe Trades and Breakout for March 16th

Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008.These are the stocks that qualify for Monday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.Let Ripe Trade back test your trading concepts , Click Here

Breakout candidates
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( ATVI,GILD, RYAAY ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.

Stock market trading update March 16th

The S&P Model is long as of the close of February 11th. This model will sell the long at the close tomorrow March 16th if the VIX stays above 40.03

The NASDAQ model is short as of the close on March 13th. No open orders.

The VIX Model is long as of the close on March 11th. No open orders.

The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.

Quadruple witch statistics

As a follow up to the options expiration study posted here, today we take a look at the quadruple witching option expiration days. If you aren’t familiar the quadruple witch it is when Stock index future options, stock market index options, stock options and single stock future options expire on the third Saturday of the month in March, June, September and December. Prior to the introduction of single stock futures in November 2002, this quarterly option expiration was referred to as the triple witch.

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The table below shows the historical performance statistics of the Quadruple witch Fridays, Quadruple witch Fridays when the S&P is higher from the prior day ( close to close), Quadruple witch Fridays when the S&P is lower from the prior day (close to close) and as a comparison the performance statistics of all Fridays and all Fridays except option Fridays. Results are based on 1 contract trades since 1983, entries are at Fridays open and exits are at Fridays close.

The next table shows the historical performance of the S&P on an option quadruple witch Friday after the market has been down by x% in the preceding week from the Fridays close to Thursdays close before expiration Friday. Column l-1 represents the x% change in the preceding week.

The table below shows the historical performance of the S&P on an option quadruple witch Friday after the market has been UP by x% in the preceding week from the Fridays close to Thursdays close before expo Friday. Column l-1 represents the x% change in the preceding week.

I don’t see any huge difference in the performance data when comparing option expiration Fridays to quadruple witching Fridays. However, we know from the day of week study that Fridays are typically bearish and now we know that option expiration Fridays are even more bearish especially when the trend of the prior day or week has been down.

If you enjoyed this piece, write me a review on Investimonials

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Ripe Trades and Breakouts for March 13th

Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008.These are the stocks that qualify for Friday with the entry price limits specified , good for the day only.

Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.

Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.

These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.Let Ripe Trade back test your trading concepts , Click Here

Breakout candidates

Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( ATVI,GILD, SHLD ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here

One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.

Stock market trading update March 13th

The S&P Model is long as of the close of February 11th. This model will sell the long and get short at the close tomorrow March 13th if the VIX stays above 40.75

The NASDAQ model is long as of the close on March 11th, This model will sell the long on a stop at 1056 and or sell the long and get short at the close tomorrow March 13th if the VXN closes greater than the VXN open or if the VXN close greater than 40.77 or if the VXN stays above 40.66

The VIX Model is long as of the close on March 11th. No open orders. This model had a rough debut with 5 loss’s in a row but has now rallied back with 5 straight wins and now in the black.

The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.

Ripe Trades and Breakouts March 12th

Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008.These are the stocks that qualify for Thursday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.Let Ripe Trade back test your trading concepts , Click Here

Breakout candidates
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( ATVI,SHLD ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here

One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.

Stock market timing update March 12th

The S&P Model is long as of the close of February 11th. This model will sell the long and get short at the close tomorrow March 12th if the VIX stays above 42.36.

The NASDAQ model is long as of the close on March 11th, This model will sell the long if the VXN closes greater than the VXN open or if the VXN close greater than 42.81 or if the VXN stays above 42.26
The VIX Model is long as of the close on March 11th. No open orders. This model had a rough debut with 5 loss’s in a row but has now rallied back with 5 straight wins and now in the black.

The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.

Option expiration statistics

U.S. exchange listed equity option contracts expire on the Saturday that follows the third Friday of the month, unless that Friday is a market holiday, in which case the expiration is on the third Friday of the month. If you are new to options , Wikipedia has a decent explanation on option basics , here.
In this study we examine how the S&P 500 has historically performed on and around option expiration. We test the market bias from 1983 which is when the CBOE started trading index options on the OEX aka S&P 100 and SPX aka S&P 500. All entries are based on the opening price of the S&P 500 futures and exits are based on the closing price.
The table below shows the historical performance statistics of option expiration Fridays, option expiration Fridays when the S&P is higher from the prior day ( close to close), option expiration Fridays when the S&P is lower from the prior day (close to close) and as a comparison the performance statistics of all Fridays and all Fridays except option expiration Fridays. All results are based on 1 contract trades since 1983, entries are at Fridays open and exits are at Fridays close.

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Click image to enlarge
The average trade on an options expiration day lost -$307 as a comparison when buying at the open and selling at the close on any given Friday that is not an option expiration, the average trade lost -$28. This suggest that option expiration Fridays have a negative bias when compared to all other Fridays.

The next table shows the historical performance of the S&P on an option expiration Friday after the market has been down by x% in the preceding week from the Fridays close to Thursdays close before expiration Friday. Column l-1 represents the x% change in the preceding week.

The table below shows the historical performance of the S&P on an option expiration Friday after the market has been UP by x% in the preceding week from the Fridays close to Thursdays close before expo Friday. Column l-1 represents the x% change in the preceding week.

Based on the statistics in the tables presented above it appears that the S&P has a bias to close on option expiration Fridays in the same direction as the previous days close and or the previous weeks action.

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Click here, for further research on the quadruple witching expiration.

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