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发表于 2009-6-11 01:40 PM
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During the week of triple witch, since 1982 the S&P 500 futures have been higher 75% of the time (80 out of 107) with an average return of +1.0%. During bear markets (a down-sloping 200-day moving average on the S&P 500) the win rate was significantly worse at 48% with an average of -0.2%. It was much better during bull markets, with a win rate of 83% and an average return of +1.4%, so quite a difference there.
There is theory called a "mis-direction day" regarding expirations. Basically, it suggests that whichever way the Thursday during the week prior to expiration closes, expiration week itself will close the other way.
The Thursday before expiry was up 42% of the time, including 39% of the time during bear markets and 44% during bull markets.
So if that Thursday closed in negative territory, then during bear markets the next week (expiration week) was positive 57% of the time with an average return of -0.2%; during bull markets, it was up 89% of the time (40 out of 45 occurrences) by an average of +1.5%. That's a pretty good mis-direction record during bull markets.
If the Thursday before expiration bucked the trend and closed positive on the day, then expiration week during a bear market was also positive 33% of the time; during bull markets, it was up 75% of the time. That's a pretty good mis-direction record during bear markets. |
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狗仔卡
发表于 2009-6-11 01:39 PM
发表于 2009-6-11 01:48 PM
