Month of SPX High of the Year

September 2, 2013

I was curious what month the high of the year occurred, and if a year to date high occurred in a given month, how often did it get eclipsed in a later month? The second column is the count of the number of years the SPX index (based on Yahoo! data – 1951 – 2012) that had that month as achieving the high of the year. The third column is the number of years where there was a higher high in a subsequent month given that month had a year to date high.

Since August 2013 had a year to date high, then it is fairly likely there will be a higher high later this year.

highest high of year high later
January 11 51
february 1 32
march 2 28
april 1 29
may 2 25
june 0 24
july 3 25
august 3 20
september 4 20
october 6 15
november 7 18
december 22
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September Daily Performance – 2013 edition

September 2, 2013

Similar to last month, first 15 trading days and last 5.

SPY

Since 1993, the average September SPY has been down slightly, but the median is positive. 40% of the time the low has been in the first 5 trading days (only 10% in the second 5 trading days), while there doesn’t seem to be a pattern for the high of the month – each group of 5 days has around 25% chance of being the high of the month. In 5 of 20 years, the lowest close of the month was above the August month end close, and 5 years the highest close of the month was below the August month end. As far as daily changes, the 8th and 9th trading days had the highest percent of up days while the end of the month had weakness (particularly the last day of the month)

SPY September

For IWM, September the average and median is negative for the month, with the average only positive the first couple of days of the month.
IWM September

August Daily Performance 2013 edition

August 3, 2013

Similar to last month, first 15 trading days and last 5.
SPY – a bit mixed for the first trading days, some strength and then mixed again. Somewhat strange is that the average is a loss of .3%, but the median is a gain of .98%. 3 times out of 21 the low of the month is above the July close (and this has not happened since 2000). 2 out of 20 years has the high being lower than the July close. After the first couple of days of August being positive, half the time the end of month is higher and half its lower (than the close of the 2nd trading day). Overall, nearly half the time the low of the month is in the first 5 trading days (9/20), with 8/20 times the high is in the last 5 days of the month. Median low of the month is down 3%, median high for the month is 2.6%.
SPY August
For IWM, the August on average and median is positive, with median bottoming around day 8.
IWM August

July Daily Performance 2013 edition

June 28, 2013

Similar to last month, first 15 trading days and the last 5.
SPY:
The low of the month is doesn’t seem to have much of a pattern, but half of the SPY highs have been in the last 5 trading days of the month. About 1/4 of the time the low of the month is above June’s close.
July 2002 was a rough month.

SPY July
IWM:
IWM July

How often SPY open to high is greater than open to low by day of week, year

June 18, 2013

I’m not sure if it isn’t just statistical noise, but this year SPY open to high is quite often larger than open to low.  I decided to run two tests – one for the first six months of the year and the other for the last six months.  I looked by day of the week for each year.  For this year, about 70% of the time on Tuesdays and Thursday’s, the open to high is larger than open to low.  Back in 1995 was the last time when 2 days of the week were near 70% for the first half of the year and 2004 for the second half.  There seems to be some mean reverting as I don’t see any cases where the first half was greater than 60% and second half was also greater than 60% for the same year/day of the week.  Over the years, Friday’s seem to have  the fewest cases of open to high greater than open to low, particularly in the first half of the year.  Wednesdays for the first half of the year normally fall in the 40-60%, but the second half of the year about one third of the time the open to high is smaller than open to low.  I did not look at where the close fell.  Generally speaking the second half of year seems to have more cases of open to high being smaller than open to low.

First the first six months – percent of days where the open to high is greater than open to low:

MON TUE WED THU FRI
2013 43% 71% 50% 71% 52%
2012 55% 46% 50% 42% 44%
2011 57% 54% 46% 54% 42%
2010 39% 54% 54% 44% 33%
2009 57% 54% 40% 44% 44%
2008 48% 44% 50% 65% 24%
2007 45% 60% 65% 58% 44%
2006 50% 38% 77% 58% 36%
2005 57% 58% 42% 46% 25%
2004 52% 62% 54% 40% 42%
2003 39% 56% 52% 50% 56%
2002 45% 44% 58% 54% 44%
2001 45% 50% 42% 50% 28%
2000 43% 54% 46% 38% 40%
1999 39% 35% 46% 48% 29%
1998 43% 62% 52% 48% 36%
1997 50% 64% 40% 42% 52%
1996 65% 46% 46% 54% 48%
1995 70% 69% 46% 50% 44%
1994 58% 42% 44% 38% 50%

for the last six months:

MON TUE WED THU FRI
2013
2012 48% 42% 24% 60% 38%
2011 35% 65% 35% 44% 52%
2010 42% 50% 62% 42% 58%
2009 64% 38% 56% 50% 50%
2008 32% 44% 44% 38% 64%
2007 38% 52% 44% 32% 46%
2006 71% 60% 58% 40% 31%
2005 35% 46% 50% 52% 41%
2004 42% 58% 73% 42% 62%
2003 60% 52% 33% 58% 52%
2002 42% 48% 52% 50% 62%
2001 50% 42% 38% 50% 48%
2000 67% 44% 31% 52% 42%
1999 46% 23% 50% 38% 50%
1998 44% 50% 33% 46% 42%
1997 44% 52% 56% 38% 36%
1996 42% 33% 48% 54% 54%
1995 54% 40% 46% 48% 46%
1994 48% 46% 46% 36% 52%

June Daily Performance (2013 edition)

May 31, 2013

Similar to last month, first 15 trading days and the last 5.

Looking at when the high and low occur for the month for SPY, there is a tendency for the high to be at the start of the month, and lows toward the end, although looking at the average line in the graph, it is W shaped (double bottom?). SPY:
SPY June
IWM:
IWM June

May Daily Performance (2013 version)

April 25, 2013

Similar to last month, first 15 trading days and the last 5.

SPY – a bit bipolar – high / low of the month at the ends of the month.  Overall,  it does favor a high at the end of the month, although the last 3 years it was in the first 5 days of the month.  Trading days 3 – 5 seem to have a particular downward tilt.

SPY May

IWM – a bit of a  drift lower until a last week recovery.
IWM May

April Daily Performance (2013 version)

April 14, 2013

SPY
Slightly different graph this month, this is trading days 1-15, and the last 5 trading days (noted as 16-20) This picks up the option expiration week.
SPY April
Other statistics about SPY over the years for April

  • low of the month occurs in the first 5 trading days 40%, last 5 20%.
  • 35% of the Aprils never have a daily close below March’s close.
  • the high of the month occurs in the last 5 trading days 60% of the time, 35% in the first five days, and practically never in the middle of the month.
  • it seems that after a flat start, around mid month the trend is up.

IWM (similar trading days)
IWM April

Parabolic SAR

March 10, 2013

I was interested in trying to calculate Wilder’s Parabolic SAR.  The description in Stock Charts Chart School is a bit abbreviated, and I don’t have a copy of his book.  I have created a spreadsheet that seems to calculate correctly for S&P 500 index for the last year or so.  The spreadsheet  is: PSAR SPX .  Columns A-G are from a download that includes the SAR value.  Column H is whether the trend is up or down [cell H3 is =IF(I3<E3,1,-1) ].  Column I is the calculated SAR [cell I3 is =IF(H4=1,IF(MIN(D4:D5,L3+I4)>D3,MAX(OFFSET(C4,0,0,MATCH(-1,H4:H104,0),1)),MIN(D4:D5,L3+I4)),IF(MAX(C4:C5,L3+I4)<C3,MIN(OFFSET(D4,0,0,MATCH(1,H4:H104,0),1)),MAX(C4:C5,L3+I4))) ], Column J is the extended point value [ J3 is =IF(H4=1,MAX(C4,J4),MIN(D4,J4)) ], Column K is the acceleration factor [K3 is =MIN(IF(H4+H5=0,$K$2,IF(OR(AND(H4=1,J3=C4,J3<>J4),AND(H4 = -1, J3=D4,J3<>J4)),$K$2,0)+K4),$L$2) ], with K2 being the starting factor and L2 being the max factor value.  Column L is the adjustment to the previous SAR to get the current SAR [ L3 is =(J3-I4)*K3 ].  Column M is just the difference between the downloaded value and calculated value.

Beware, I don’t have Wilder’s book to verify the formula, so the calculations might not be correct in all cases – use at your own risk!

 

March daily performance (2013 version)

March 2, 2013

SPY
SPY March
Other statistics about SPY over the years for March –

  • 10% of the years never have a daily close below  February’s close.
  • 40% of the time the low of the month is in the first 5 days, 30% in trading days 6-10, the low is in the last 5 days 15% of the time.
  • the closing high is in the first 5 days 20% of the years, last 5 days 20%. trading days 11-15 had the high 45% of the time.
  • It appears that first 10 trading days are flattish, positive option expiration week, with dip following.

IWM
IWM March