Explanation For Closing Spike on Friday

Discussion in 'Trading' started by circadian, May 30, 2009.

  1. Has to do with Russell 2000 entrance criteria...not conspiracies by aliens to run your stops. Do some homework, and you'll see that some of these "conspiracies" are just regular market events that you could cash in on.

    Last minutes of the last day in May have been seeing action like this for quite some time.

    72% of last trading days in May since 1984 (year zero for Russell Indices) have been positive days.

    That percentage grows higher if the final trading day in May is closer to the 31st.

    Range for these days averages around 1.75%. S&P was trading at around 905 (close to day's low) at 2:50p.m. yesterday.

    905 x 1.75%= 15.84

    15.84 + 905 = 920.84 -------S&P closed at 920 (pretty damn close).

    Hope all finds this helpful.
  2. Eight


    Yes, nice big run on the Dow Minis the last five minutes and apparently unexpected by many: my mechanical system gave repeated short signals going into it...

    Speaking of conspiracy theories my mechanical system of the day had me short a few days going into 9/11...
  3. Yeah, the deep-pocketed gamers push certain stocks into the Russell criteria zone going into end of May. This accelerates in the final May days. The Russell/S&P spread has been in a down trend since March bottom, and arbs have been selling all Russell premium out of that trade every chance they get. Friday saw premium build all day by the Russell, then the spread collapsed by about 16 pts. Interesting stuff.
  4. I think it was a few big shorts that wanted to get out when the end of month selloff they were expecting didn' materialize.
  5. It's not helpful without 1M charts. I have a hard time believing the market has moved 1.3% in the final 25 minutes of the last trading day in May 72% of the time since 1984. I'm not trying to be too harsh here, but I'm going to go out on a limb and say it's utter bullshit.
  6. if you look at the daily bar than it was a usual day like you said. but if you zero on the spike itself than it was a very unusual spike (>1% in 5 min).
  7. No, those we're daily stats. I don't have 1 minute data going back 25 years. Looking at the consistently wide daily ranges, and 72% upside bias lets you know that there's been some wild closes going into the end of May.

    Maybe this article will help validate.

    And don't worry Jones, I will totally disregard you're opinions from here on out. Submit some facts, not "utter bullshit" posts, and I might change my mind about you.
  8. Well the fuss is all about the surge at the end. And maybe you're on to something with the 72% up day theory, but I'm not even sure if it's statistically significant. If I flip heads 20 out of 29 times, it doesn't necessarily mean I'm really good at flipping heads. The sample size is too small.

    And sometimes it's hard not to come across as harsh on a bulletin board where everyone has their own, and usually conflicting, opinions. There's a big difference in knowing me in person and me saying something like "...Ah come on, man. That's gotta be bullshit..." and reading "utter bullshit" in black and white. Nothing personal. :)
  9. looking at 15 min data since apr-2004, the lastest surge is in top 1% moves. most of those happened in oct-nov 2008.

    by just eyeballing i don't see any obvious pattern the following day. if somebody sees something i would not mind hearing it.

  10. :confused:
    #10     May 30, 2009