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Trading the Stats: Week 2

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When it's bad, it's bad...

This was the S&P 500’s single worst Week 1 performance over the previous 41 yearly starts, and the 24th worst over the past 2,139 weeks, putting it in the bottom 2%.
For the Wilshire 4500, this was the single worst Week 1 performance over the previous 28 yearly starts, and the 21st worst over the past 1,461 weeks, putting it in the bottom 2%. For AGG, it was the 2nd best Week 1 performance over the previous 12 yearly starts, and the 68th best over the past 627 weeks, putting it in the top 11%.
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Weekly:

SPX’s week 2 ranks as the 6th best week in the 13-week 1st quarter period (AVERAGE)
  • 3rd best winning ratio
  • 7th best positive average gains
  • 6th best average gains
  • 13th best negative average gains (worst of the quarter)

What to do?-2016-week-02-weekly-spx-png

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W4500’s week 2 ranks as the 9th best week in the 13-week 1st quarter period (BELOW AVERAGE)
  • 6th best winning ratio
  • 6th best positive average gains
  • 10th best average gains
  • 9th best negative average gains

What to do?-2016-week-02-weekly-w4500-png

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AGG’s week 2 ranks as the 2nd best week in the 13-week 1st quarter period (HOT)
  • 1st best winning ratio
  • 6th best positive average gains
  • 2nd best average gains
  • 1st best negative average gains

What to do?-2016-week-02-weekly-agg-png

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Taking a look at what has historically happened to week 2 when the previous week 1 has closed up or down. The data is mixed.
  • SPX shows both a weaker winning ratio and weaker average gains
  • W4500 shows a stronger winning ratio and stronger average gains (LIMITED DATA)
  • AGG shows a slightly weaker winning ratio and average gains (LIMITED DATA)

What to do?-2016-week-02-weekly-all-png

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DAILY - Trading day of the week: Monday starts January’s trading day 6.
  • SPX shows Mon-Wed is flat
  • W4500 shows Tue is weak
  • AGG shows Mon is weak (LIMITED DATA)

What to do?-2016-week-02-daily-trd-png

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JTH-ESD (Evolving Statistical Data): ESD is currently -5.90% MTD and -5.90% YTD.
Starting 2016 in the C-Fund, ESD was projected to enter the S-Fund on Friday the 8th of January, but I’ve delayed this signal due to the underperformance of the Wilshire 4500.

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JTH-ALPAFS (Advanced Point & Figure System): ESD is currently -5.90% MTD and -5.90% YTD.
Starting 2016 in the C-Fund, ALPAFS is currently BEARISH for all indexes with SPX/W4500/TRAN/NDX down a combined average of -17.06% off their 2015 highs. I have not yet found an opportunity to give this system the exit it so richly deserves. At this point in time the Transports have been in a bear market (more than -20%) and the Wilshire 4500 is only -1.75% from signaling a bear market. It’s getting ugly and I won’t be sticking around much longer if this bloodbath continues.

  • SPX – BEARISH Down -10% off the 2015 highs
  • W4500 – BEARISH Down -18.25% off the 2015 highs
  • TRAN – BEARISH Down -29.5% off the 2015 highs
  • NDX – BEARISH Down -10.5% off the 2015 highs


What to do?-2016-week-02-pnf-jpg
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Now for the good news, but I should point out this is very subjective and largely based on my observations of over the years. I’ve been watching these 3 charts since the time when I started blogging, so I am very familiar with their behavior and how it relates to the markets. Listed below are the percentage of S&P 500 stocks trading above their 50/150/200 day moving averages. When all three charts close both below 33% and outside the bottom of their 20 SMA Bollinger Bands, all at the same time, this usually marks a key bottom for the index. Such an event occurred on Thursday, but I should also point out, I do not recall how these charts behaved during the previous Bear market.
What to do?-2016-week-02-weekly-misc-1-png
What to do?-2016-week-02-weekly-misc-2-png


Trade safe, it’s scary out there…Jason

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