06/15/2009 白天灌水

Cobra

先来点数据：

 

With weakness in the pre-market, this would be the 7th time since 1982 that the S&P 500 futures hit a 3-month high then gapped open below the previous day's low for two days in a row.

 

This seems like it should be a negative for the market - a sure sign of increasing selling pressure and probably a market peak - but it hasn't panned out that way.  After the 6 other occurrences, the S&P closed the day higher 4 times.

 

More interestingly, however, is that by three days later all 6 showed a positive return, averaging +1.7%, and with an average maximum reward (+2.2%) that was nearly four times greater than the average maximum risk (-0.6%).  Even a month later, all 6 were still positive by an average of +3.1% (granted, we can't see how the market reacted in the 1930's or 70's under these conditions).

 

There have been 29 times the S&P gapped down (by any amount) on a Friday, then gapped down at least -1% on a Monday.  Monday didn't fare so well, closing below the open about 55% of the time by -0.5% on average.  But buying Monday's close and holding through Wednesday's close led to 79% winning trades averaging +1.4% and more than a 2-to-1 reward-to-risk ratio (+2.7% versus -1.2%).  This is a pattern we have gone over many, many times over the years - weakness early in the week tends to lead to bounces into the middle of the week.

 

Both of those argue for at least a bounce after some possible follow-through weakness during the day today.  We also need to be wary of the tendency to see a "false" initial break out of a very tight volatility coil.  There have been 6 times that the S&P 500 futures dropped 1% after it coiled into a range as tight as we've seen over the past 7 days, where the highest close minus lowest close was less than half the daily true range of the past three months.  Over the next two weeks, the S&P was positive all 6 times, averaging +2.8%.

 

Taken together, these suggest that it may be a mistake to assume that a break below the recent range is automatically a sign that the uptrend is kaput.  It seems most likely that the trend is becoming exhausted due to the numerous signs of excessive speculation we've discussed, but I don't want to become too bearish just yet.  For that to happen, I'd need to see a complete breakdown and then a failed rally, and that's going to take some time.

 

 

开在这个位置，可能不会补空了。老规矩，10:30以后有新低的话，今天熊熊就可以欧哈哈哈了。

 

ppteam

rosyrosy

bench

cartier

slp

javamood

palm

morning.

happyface

watchdog

zhishun

6# javamood
哈哈，抢位子

guelder_rose

顶！

nomattewhen

早～～ support 是哪里？

tonyshen

first page

reks

Morning. Laoda Zao.

bucks

first page. good morning

jackyking

first page!

sunnysunny

imegy

13# tonyshen

xfengyu

占个坑在第一页

Cobra

注意通道下沿，可能是target。