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Friday, July 2, 2010

07/02/2010 After Bell Quick Summary

One trick for the next Tuesday, when both VIX and SPX closed in red, 25 out of 34 times (74%) a green day the next day.

2

Wondering what happened when box VIX and SPX closed in red for 2 days in a row? Well, not much edge since year 2000 if you buy at today’s close and sell at close the next Tuesday.

1

SPX has been down 5 days in a row, so what happened if you buy at close today and sell at close the next Tuesday?

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Well, the results are impressive but there’s an issue (not bug) in the back test software. See chart below (red bars), it counts the 6/7/8 consecutive down days as 5 consecutive down days because they all fit for the condition I specified for the back test software. So basically the back test means you buy at today’s close and hold until the first green day, you always win since year 2000.

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Again and again, whatever I present here is merely what I found, it never represents my view of the market as you all know I should never tell you that maybe this time is different, because it’s up to you to decide. Enjoy your long weekend and happy Independence Day!

Posted by Cobra at 5:09 PM
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