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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.


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.


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?


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.


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!

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