Home / Woodshedder (page 6)


5 $SPX Closes Above the Upper Bollinger Band: What Happens 50 Days Later?

Today, despite closing slightly lower, the S&P 500 closed for the 5th day above its upper Bollinger Band (50,2). I have written previously how closes above the the upper band are typically bullish and may signal an abnormal market. This evening we’ll examine what happens after 5 consecutive closes above upper Bollinger Band.

The Rules:

  • Buy $SPX at the close after it has made X consecutive closes above its upper Bollinger Band
  • Sell Y days later
  • $SPX history starts in 1928
  • No commissions or slippage included

The Results:

5 Closes Abv BB

The results are more bullish than I expected, and they improve as the number of closes above the upper band increases.

  • This setup was not nearly as rare as I had imagined.
  • There were 126 occurrences of 5 closes above the upper band with 110 trades held the full 50 days.
  • After 5 closes above the upper band, $SPX has closed higher 50 days later 67.27% of the time.
  • Buy-n-Hold results are calculated by cutting $SPX history into 50 day segments and then averaging the segments.

The number of samples should be sufficient to lend reliability to the results, but I am honestly a little disappointed because I suspected the results would be either extremely bullish or extremely bearish. I was looking for some drama and didn’t find it. Instead, this study just presents another reason to lean bullish.

Comments »

3 Higher Closes Above the Upper Bollinger Band: WTF?

$SPY has completed 3 higher closes above its upper Bollinger Band.

I have authored a fair amount of studies about what happens when the S&P 500 closes above its upper Bollinger Band (50, 2). One can read most of those articles under this category: Abnormal Markets.

I have not, however, completed a study where I examined what happens after 3 higher closes above the upper Bollinger Band. And, sorry for the tease, but I will not publish such a study tonight. I’m guessing that there are not very many instances of this happening and that the study will not be generalizable.

But the real reason is that I turn 40 very soon and the celebrations began (somewhat unexpectedly) tonight.

Likely tomorrow I will examine what happens after this probably rare occurrence of 3 higher closes above the upper Bollinger Bands. Until then, one thing I can say for sure is that an abnormal market is abnormal, even when it is making you money.


Comments »

Fidelity Sector Fund Rotational System April Results

In April the system returned 0.5% vs. a $SPY return of 1.9%. The system was 33% in cash for one day and missed part of the bounce from the 50 day average. Also, the defensive funds have been increasingly moving up in the ranks. These do not tend to move as much as the non-defensive funds.

Year-to-date the system is up 13% vs. a $SPY return of 12.1%.

The system is currently long FSUTX (Utilities), FBMPX (Multimedia), and FBIOX (Biotechnology).

Comments »