The month of May opened with a flourish on Monday with buyers bidding up the S&P 500 Index futures (CME.SP) contract by 15.00 points for a 1.3% trend-day advance at the 1198.50 close. Assessing the strength of May's open we see a bit of potential weakness ahead.

Q: What is the historical performance for the S&P 500 Index futures contract after the month of May opens with a Big one-day gain?

A: According to the 7 previous occurrences of this event, EventEdge indicates that CME.SP has shown a strong bearish edge that peaks 4 trading days after the event. Thus, the projected date for the peak of the bearish edge relative to the current event date (Monday, 3 May 2010) is Friday, 7 May 2010. CME.SP declines in 100% of the cases (7 of 7) by an average of -1.6% relative to the close on the event date. The overall return of the 7 cases is -1.6%, which, based on the close of CME.SP on the event date (1,198.6), provides a target price of 1,179.42.

While today's target level resides within the current 3-week trading range, the contract is setting up a potential Diamond topping pattern over that same period with the potential to bring the contract in for a test of its 50-day moving average (1,163.05) if the pattern is violated to the down-side.

To view and modify the event parameters defining this study, click here³ to launch the EventEdge® tool.

Mr. Jay Pasch⁴ is a private futures and equities trader based in Minnesota. He may hold positions in the instruments mentioned in his trading ideas.

Let variable values:
@	=	SP
theEvent	=	IF
   Date is May
AND
  1 value percent_move of @  is more than
  (30 day average of 1 value percent_move of @   +
   (1 * 30 day std_dev of 1 value percent_move of @
   )
  )
AND
  Date is first day of the month
AND
  @ is DEFINED
THEN 1
ENDIF


      Date   Day            t+4            t+5            t+9           t+14           t+30

05/01/1991   Wed           -1.2           -0.4           -2.4           -1.2           -0.9
05/03/1993   Mon           -0.1            0.2           -0.6            0.8            1.0
05/01/1998   Fri           -2.8           -1.2           -0.9           -1.0           -4.9
05/03/1999   Mon           -0.6           -0.9           -1.5           -1.8           -4.0
05/01/2002   Wed           -3.8           -0.2            0.9           -0.5           -7.1
05/03/2004   Mon           -1.8           -2.9           -1.9           -2.1            1.5
05/01/2008   Thu           -1.2           -1.4           -0.3           -1.3           -3.8
05/03/2010   Mon            NaN            NaN            NaN            NaN            NaN

             Avg           -1.6           -1.0           -0.9           -1.0           -2.6
          AvgPos            NaN            0.2            0.9            0.8            1.3
          AvgNeg           -1.6           -1.2           -1.3           -1.3           -4.2
          PctPos            0.0           14.3           14.3           14.3           28.6
          PctNeg          100.0           85.7           85.7           85.7           71.4
         Maximum           -0.1            0.2            0.9            0.8            1.5
         Minimum           -3.8           -2.9           -2.4           -2.1           -7.1
          StdDev            1.3            1.0            1.1            0.9            3.2
           ZStat           -1.3           -0.9           -0.9           -1.1           -0.8
        Variance            1.6            1.1            1.2            0.9           10.4


8 Occurrences

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Web Address of this trading idea:

http://www.markethistory.com/subscribe/best_of/content.html/16858.html

Links:

¹ http://www.lim.com
² http://www.markethistory.com/content/analog/analog.html?ticker=CME.SP
³ http://www.markethistory.com/content/events/futures/chart.html?ticker=CME.SP&events=month,UpL0,MonthBegin0
⁴ http://www.markethistory.com/staff/detail.html?s=pasch

S&P 500 Index Futures - May Day

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