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小小低开，周末报告里，我说了，如果unfilled话，就是back to back gap，很少见，此外MAD以后的gap无论up or down都是会fill的。Let's see。除了这个以外，统计上，加上信号都说要回调了，信号我已经在周末的报告里说了，下面看看小统计：
* There have been 6 times that the S&P 500 futures have rallied at least +0.5% for three straight days into a holiday break. All 6 times, the futures were negative two days later (7/3/97, 7/2/99, 5/26/06, 12/24/07 and 11/26/08). There has been only one time each day was up at least +0.9% (7/3/97). Even going back to 1950 using the cash S&P index, that's the only occurrence.
* Forgetting about the holiday for a moment, there have been 39 times the futures were up 0.5% for three days heading into a Friday, and over the next 3 days they showed a positive return only 41% of the time. There were 7 times of +0.9% gains, and over the next 3 days they were up 2 times, down 5 times.
* This was only the 10th time in the history of the S&P 500 (dating back to 1928) that it started the month with three straight gains of +0.9%. Of the others, the index declined 6 times over the next three trading days (the rest of the month was mixed).
* This was also the 10th time the futures gapped up at least +0.9% on the morning of a Payroll report and managed to close above the open. After the others, the S&P showed a positive return during the next week only 1 time, and sported an overall average of -1.8%, with an average risk (-3.3%) that was three times greater than the average reward (+1.0%).
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狗仔卡
发表于 2010-9-7 07:04 AM
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发表于 2010-9-7 07:06 AM
