Archive
SPX: The Xmas rally? How far can it fall & still manage to close up?
Looks like whether or not we close above 1800 or up 30% for 2013 is all on the Fed from here on out.
If I were a betting man which as a trader I obviously am I would not bet the Fed fumbles the rally.
Considering a potential dip in December and how far we could close down here are the years when SPX was over 20% going into December.
As you can see it is very likely SPX closes green for December based on history with the only years registering a down December being 96, 80, 75 and 55 (flat).
I guess the big risk is a 1980 redux where we dropped 10% during the December month but still managed to close only 3% down.
SPX Model Projections for December and End of Year
*model still in alpha test stage
The SPX model performed perfectly in forecasting a positive November and target.
My SPX model predictions:
– November close: STRONG probability of positive month.
– SPX close above 1800 for December (chart below).
– End of 2013: STRONG probability of close above 1800 possibly above 1850.
– 2 likely scenarios: 1. Close over 1800 or 2. Close over 1850
Known Risks to the model projections:
– Taper/Interest Rates (Fed really is the only risk)
– Dissapointing Holiday Retail
SPX Model Projections for November and End of Year
*model still in alpha test stage
The SPX model for October performed poorly in forecasting a very strong October. The model actually predicted a negative October and was about 100 pts off. Oops.
My SPX model predictions:
– November close: STRONG probability of positive month.
– SPX close above 1800 for November (chart below).
– End of 2013: STRONG probability of close above 1800 possibly above 1850.
Known Risks to the model projections:
– Taper/Interest Rates
– Fed Chairman speculation/announcement
– US Earnings
– Weak Holiday Retail
SPX Model Projections for October and End of Year
*model still in alpha test stage
The SPX model for September performed well in forecasting a positive close for September despite August’s weakness. SPX did close above 1666 around 1682.
My SPX model predictions:
– October close: STRONG probability of negative month.
– SPX close around 1656 for September (chart below).
– End of 2013: STRONG probability of close above 1750 possible 1775.
Risks to the model projections:
– Taper/Interest Rates
– Government Shutdown/Debt Ceiling
– Fed Chairman speculation/announcement
– Continued weak US economic data
– US Earnings
SPX: What is the probability of Year Hi in Nov or Dec
| Nov Hi | 12% |
| Dec Hi | 45% |
| Nov or Dec Hi | 58% |
*Since 1980
Pretty powerful stat that greater than 50% probability the high of the year takes place in November or December.
Whats more incredible is that there is almost a 50% probability the high occurs in December. That’s 1 month out of the 12.
Time for a longer-term pullback developing
September 2013 Model Projected Returns
*model still in alpha test stage
My SPX model predictions for September are below:
– A STRONG (70%+ greater probability) projected positive month for September.
– SPX closing around 1666 for September (chart below).
Risks to the model projections:
1. Taper/Interest Rates
2. Middle East unrest (Syria, Egypt, WWIII)
3. Debt Ceiling
4. Fed Chairman speculation/announcement
5. Continued weak US economic data/September negative seasonality
6. Europe and Asia rebound slowing or worse faltering
SPX 2013 Returns through August v. Avg. Historical Returns
SPX Annual Returns, Earnings, Earnings Yield
July NFP Preview
What can we expect from Friday’s NFP?
Not good.
So for the past four years the Actuals have come in below the Consensus resulting in a negative beat 4 out of the 4 instances.
What have the returns looked like on the NFP event for the past 4 Julys?
Avg Return is -1.28
Not sure if the market will interpret a miss as a buy because Taper Off or a beat as Taper On and therefore Sell.
ES Daiy Plan 09112
Commentary
In Asia, Japan -0.7%. Hong Kong +0.1%. China -0.7%. India +0.5%.
In Europe, at midday, London -0.4%. Paris -0.5%. Frankfurt -0.1%.
Futures at 7:00: Dow +0.2%. S&P +0.2%. Nasdaq +0.1%. Crude +0.1% to $96.60. Gold +0.1% to $1732.90.
http://www.forexpros.com/indices/germany-30-advanced-chart
Econ Calendar
7:30 NFIB Small Business Optimism Index
7:45 ICSC Retail Store Sales
8:30 Trade Balance
8:55 Redbook Chain Store Sales
10:00 Consumer Confidence
1:00 PM Results of $32B, 3-Year Note Auction
http://www.bloomberg.com/markets/economic-calendar/
Earnings Watch
None
Open Type
IR
Trade Scenarios
–RTH PP: 30 (77% prob tag)
– YR: 12.25
– YIB:
– YHI: 38
– YLO: 25.75
– ONH: 32.5
– ONL: 21
– ON Mid: 27
Bull/Bear Line: 27-28
Longs:
Rotational: If 27-28 becomes support looking for 30 (PP), 32.5 (ONH), 34 (R1)
Rotational: If 30 (PP) becomes support looking for 32.5 (ONH), 34 (R1), 38 (YHI)
PP Failure/PP Confirmation:
Shorts:
Rotational: If 30 (PP) becomes resistance looking for 27.5 (PP), 26 (YCL, YLO), 21 (ONL)
Rotational: If 27-28 becomes resistance looking for 26 (YCL,YLO), 22 (S1), 21 (ONL)
PP Failure/PP Confirmation: LL, Close < PP, 60% prob of 25.75 tag
Stats
OIR, Op>PP<S1
| IR,Op>PP<R1 | 267 | |
| IR,Op>PP<R1 & PP hit | 222 | 83.15% |
| IR,Op>PP<R1 & R1 hit | 102 | 38.20% |
RULES
1. 2 strikes at a level & you’re out, once hit twice in row have to take a 10 minute break
2. 3-4 strikes overall all day & you’re out (depending on size of each trade)
3. NO trading other instruments that you’re unfamiliar with
4. 1.5-2 max loss in ES, 3-4 in NQ,
blackmarkt 
