Trading the Stats: Week 11

For the S&P 500, the second week of March (week 10 of 52) closed down -.86% this is below the .50% average week 10 returns, is the 14th best week over the past 21 years, and the 51st best over the past 66 years. Once again, it was basically a bad week

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Contrasting upcoming week 11 against an up/down week 10 from 1950-2014

• We show the last 65 week 11s have an average 62% winning ratio with .54% average returns
  
• For the 37 years when week 10 closed up, week 11 shows a 62% winning ratio with .57% average returns
• For the 28 years when week 10 closed down, week 11 shows a 64% winning ratio with .52% average returns
• Under current conditions, week 11 has a positive bias with strong average returns
  

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Contrasting week 11 against the 52 weeks of the year, from 1995-2014

• We show a 60% winning ratio, which is above average, ranking in a 11-way tie for 13th
  
• We show .76% average returns, which is above average, ranking 8th
• We show 2.47% average positive returns, which is above average, ranking 5th
• We show -1.81% average negative returns, which is above average, ranking 23rd
  
• Correction: In the previous blog, I incorrectly stated week 11 was the 3rd best when it is actually the 7th best
• There is a nice historical positive bias for week 11, it ranks 7th best of 52 weeks of the year.

Note: Week 13 only has 9 years of data instead of 20

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For week 11, we have trading days 11-15

• The average 5-day winning ratio is 56%
  
• The cumulative 5-day average return is 1.30%

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For the last 11 Monday through Fridays

• Last 2 Mondays closed up (2nd best day)
  
• Last 2 Tuesdays closed down (3rd best day)
• Last 7 Wednesdays closed down (worst day, crap that's bad)
• Last 2 Thursdays closed up, last 8 of 11 closed up (best day to exit)
• Last 3 Fridays closed down (2nd worst day)

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TSP Fund Price Performance over the past 20 days (only discussing the F/C/S/I funds)

• S-Fund ranks 1st with a 60% winning ratio and .04% average returns
  
• I -Fund ranks 2nd with a 55% winning ratio and .00% average returns
• F-Fund ranks 3rd with a 55% winning ratio and -.01% average returns
• C-Fund ranks 3rd with a 40% winning ratio and -.07% average returns
  
• The S-Fund leads YTD
  

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Next week should give us some awesome price action, I'm looking forward to it.

Take care…Jason