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There have only been two times since the mid-1990's that Intel popped up 3% or more during earnings season and the S&P 500 futures gapped up to a new one-year high the next morning (like we're on track to do today).
Those dates were 10/15/03 and 10/18/06. The futures sold off from the open both times, losing -0.9% and -0.4% respectively. In '03 the S&P kept dropping for about a week, then rebounded, while in '06 it recovered the next day and rose for about a week before giving those gains back. So a couple of weeks later, the S&P was pretty much where it started though it took different paths to get there.
Requiring that the S&P be at a new one-year high is pretty strict, though, so let's relax that and only require that it be within 3% of a new high. In that case, we get 13 precedents.
Out of those 13, from the opening gap (i.e. today's open) to the close two trading days later, the S&P was positive only 1 time (and that little bugger gave back all its gains the next day). The S&P's average return during that span was -1.4%, with a maximum gain that averaged only +0.4% and a maximum loss that averaged -2.3%. In only 1 case did the S&P gain more than +0.75% at any point from the open to the close two days later, but it lost more than -0.75% at its worst point all but 2 times.
In other words, the risk/reward was extremely - and consistently - skewed to the downside. Here's the table:
|
S&P 500 Performance When Intel
Gaps Up 3% Or More During Earnings |
|
Date |
1 Day
Later |
1 Week
Later |
1 Month
Later |
3 Months
Later |
| 01/11/99 |
-2.6% |
-2.1% |
-4.6% |
6.1% |
| 01/28/99 |
1.8% |
0.1% |
-1.6% |
7.1% |
| 01/10/00 |
-1.3% |
-0.3% |
-3.8% |
3.2% |
| 01/11/00 |
-1.7% |
0.4% |
-3.3% |
3.5% |
| 01/14/00 |
-0.6% |
-4.5% |
-4.6% |
-7.5% |
| 01/24/00 |
-3.2% |
-4.4% |
-6.9% |
-2.0% |
| 07/14/03 |
-0.7% |
-2.9% |
-1.7% |
3.3% |
| 07/16/03 |
-2.3% |
-1.6% |
-1.6% |
4.3% |
| 10/15/03 |
-0.4% |
-2.2% |
0.4% |
7.6% |
| 10/13/04 |
-2.1% |
-2.2% |
4.2% |
5.4% |
| 01/12/05 |
-0.7% |
-0.8% |
1.8% |
-2.1% |
| 10/18/06 |
-0.2% |
0.9% |
2.0% |
3.9% |
| 10/17/07 |
-0.8% |
-2.4% |
-6.5% |
-14.1% |
|
|
|
|
|
| Average |
-1.1% |
-1.7% |
-2.0% |
1.4% |
| % Positive |
8% |
23% |
31% |
69% |
When we look out further, say 3 months later, then things got a lot better. In fact, if one had held off buying the S&P until a week later, and then held for a few months, one would have enjoyed 77% winning trades, with an average of +3.2% and a maximum reward that just about doubled the maximum risk (although the last occurrence from October 2007 would have left a big bruise).
So similar to most of the other studies we've gone over that have had a negative bent, this new surge to yet another high looks like a bad entry for those short-term traders sitting on the sidelines, and there's also probably a better entry ahead for those with a longer time frame as well.
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狗仔卡
发表于 2009-10-14 08:02 AM
提升卡
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喧嚣卡
变色卡
发表于 2009-10-14 08:04 AM
发表于 2009-10-14 08:04 AM
