Trading the Stats: Week 11
by
, 03-11-2016 at 11:50 PM (3528 Views)
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Despite the appearance of a poor week 10, it was actually above average, with a strong Friday finish saving the week. Thus far, March has maintained it's traditional historical strength, and when comparing our current MTD 9-day performance against historical prices, I'd estimate SPX & W4500 are on target for a 6-9% monthly gain.
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My expectations for the S&P 500 are to tag the overhead 2040 gap, then re-test the descending trendline, but before we do that, we may need to flag down along the descending trendline, before heading higher. If we do break above and pass a test of the descending trendline, then I'll expect we'll be well-poised to break above the 2015 Nov highs, where we'll make a run from 2121-2222, before hitting the summer slump.
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Here's a review of what's happened this March, last week, and last month.
___For both SPX & W4500, this was the 2nd best March 9-day performance over the past 41 & 28 years.
___For Week 10, SPX closed within the top 25%
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Week 11's stats
__SPX has an above baseline 63% winning ratio (ranks 1st of the 1st quarter)
__W4500 has a significant below baseline 43% winning ratio (worst of the quarter)
__AGG has an above baseline 75% winning ratio (ranks 4th of the 1st quarter)
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JTH-ESD (Evolving Statistical Data): ESD is currently in the C-Fund, is 5.46%% MTD and 1.20% YTD.
__4 Mar 2016: The rotation (or performance trend) continues with small caps are out-pacing large caps, and this is just the type of market conditions I generally like to see. At this time I plan to follow the path, which means the system will IFT for 1-day into the F-Fund on Thur 10-Mar, then move into the C-Fund. This will lead into the best combo for April which starts in the C-Fund. If you look at April's ESD, you can see all 4 combos end the month in the S-Fund over the last 5 days.
___12 Mar 2016: ESD has followed the statistical path, moving from the S-Fund into the F-Fund for 1 day, then moving into the C-Fund, and will reside there for the remainder of the month.
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JTH-ALPAFS (Advanced Point & Figure System): ALPAFS is currently in the C-Fund, is .15% MTD and -2.09% YTD.
___4 Mar 2016: Unable to IFT with the 25 Feb Buy signal, I waited a few days in March, before entering the S-Fund.
___12 Mar 2016: ALPAFS IFT'd from 100S to 100C, all indexes (SPX/W4500/TRAN/NDX) remain bullish.
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For myself, I’m currently in the C-Fund, up 1.28% MTD and down -3.79% YTD (still eating crow from the late March start)
It was an active week where all 3 systems IFT'd into the C-Fund, I'm banking on the large cap end of quarter rotation to outperform the small caps, we'll have to see how that decision plays out.
If doesn't have to make sense, it just has to make money...Jason