A Two Day Up Volume Thrust Signal

Wayne Whaley

Jan 02, 2013

I define the two day Up Volume thrust rating, UDT2 as follows;

UDT2= 100.0* (UpVol ) / (UpVol + DnVol ) where Up Vol is sum of each of last 2 days S&P Up Volume

The Last Five Days of S&P Up & Down Volume

Date

Up Volume

20121226
20121227
20121228
20121231
20130102

0,702,848,805
0,508,805,335
0,149,272,100
2,356,263,065
2,854,588,372

Down Volume

UDT2

0,892,784,811
1,537,483,176
1,553,650,672
0,017,185,358
0,204,517,569

40.51
33.27
17.55
61.46
95.92

Todays S&P UDT2 registered 95.92. Disregarding 1 month repeats, UDT2 has been higher
six months after all post 1970 readings of +89.2.
S&P Performance after a S&P UDT2 of > 89.2
#
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28

DATE
19711129
19750102
19750919
19760105
19771111
19780414
19791112
19820823
19821007
19840802
19870105
19871030
19880601
19880729
19901112
19960802
19970505
20030218
20090318
20090821
20100708
20100902
20101202
20110829
20111005
20111103
20120727
20130102

UDT2

FORWARD S&P PERFORMANCE

1MT 3MT
6MT
12MT

90.69
90.70
92.13
90.49
90.39
91.30
90.38
94.07
90.40
92.23
96.63
91.97
95.54
92.69
89.42
89.89
89.37
90.18
92.94
91.56
89.38
95.30
91.70
94.48
90.96
90.22
90.16
95.92

9.42
9.61
3.47
8.44
-2.43
5.54
3.87
6.65
10.37
5.50
11.49
-8.53
1.91
-3.56
3.35
-1.58
1.58
1.80
10.11
3.75
4.80
5.15
2.96
-4.11
9.55
-1.34
1.77
?

14.09
17.37
3.40
11.81
-6.15
5.02
13.90
14.51
12.76
5.97
19.12
2.10
-3.13
2.39
14.40
6.23
14.70
10.94
15.61
6.36
8.87
12.06
7.11
-1.23
11.98
6.64
1.87
?

18.47
34.10
17.12
12.45
1.27
12.63
1.23
26.44
17.83
13.06
21.19
3.79
2.17
8.01
17.61
18.67
13.55
17.45
34.49
8.09
18.80
20.03
7.48
12.86
22.21
10.34
4.71
?

24.74
29.43
23.74
13.16
-1.26
9.77
30.03
40.21
32.61
21.20
2.55
10.62
20.73
25.78
24.18
42.97
34.37
35.32
46.77
4.44
25.56
7.69
1.86
16.56
27.70
12.14
4.71
?

#UP-DN = 21- 6
AVG%CHG= 3.69
MED%CHG= 3.75

24- 3
8.47
8.87

27- 0
14.67
13.55

26- 1
21.02
23.74

Note: the 28th signal has produced 3.47, 7.37 and 10.37%, 1/3/6 month forward performance.

The 2013 Toy Story

Wayne Whaley

January 19, 2013

Owing largely to previous students of seasonal tendencies such as Yale Hirsch and Arthur
Merrill, astute traders have for several decades been cognizant of the intermediate
implications arising from the markets observed disposition at the Turn of the Year. For the
last half century, indicators such as the January Barometer, the First Five Days of January,
and various End of the Year holiday studies have served to document these tendencies.
In March of 2012, in an effort to finally resolve, for my own satisfaction, which time period
was the King Pin of seasonal barometers, I implored my computer to take a few seconds to
exhaustively study S&P performance over every time period of the year and determine
which time frames behavior was proprietor of the highest correlation coefficient relative to
the following years performance. My machine was kind enough to inform me there are
many time periods which merit observance, and I am now the beneficiary of his daily
capsulation of statistically significant time frames which are in play on any day of inquiry.
Of current interest, the time period which this endeavor found to have the highest
correlation to the following year, was the 2 month period from November 19 to January 19.
Since this two month time period (Nov19-Jan19) extends across the Turn of the Year (TOY)
and encompasses the gift giving season, I have coined it the TOY Barometer. The TOY
Barometers predictive ability benefits from the fact its setup period includes several subset
time frames which have, in their own right, shown predictive capability; such as the
Thanksgiving Holiday Week, the Christmas Holiday Week, the Last Week of the Year and the
First Week of the Year. The markets response to fourth quarter earnings announcements
beginning in the second week of January could contribute as well. Also, many an investment
methodology involves turn of the year contributions which may tip the markets hand as to
levels of money flow which may follow throughout the course of the year.
We booked a 2013 TOY of 7.14% today. Since 1950, the S&P has finished positive in the
following year (Jan19-Jan19) in 31 of those 32 years in which TOY performance exceeded
3%. In the 1987 exception, the S&P was up 24% from January 19 through August 13, before
succumbing to an assault on double digit interest rates during the fall of that, the year of our
Black Monday. The 32 previous +3% TOY cases are listed below for your viewing pleasure.
ONE YEAR (JAN19-JAN19) S&P PERFORMANCE AFTER A 3% TOY
# YEAR TOY% NEXTYR%
1 1950 4.26 26.62
2 1951 7.55 13.53
3 1952 6.69
7.30
4 1954 5.25 36.14
5 1955 4.51 25.06
6 1958 3.24 35.79
7 1959 4.66
2.86
8 1961 7.08 15.02
9 1963 8.96 17.46
10 1964 6.48 12.60
11 1967 5.61 10.98
NEXT YEAR #UP-DN= 31-1

# YEAR
12 1971
13 1972
14 1975
15 1976
16 1979
17 1980
18 1983
19 1985
20 1986
21 1987
22 1988

TOY% NEXTYR%
13.09 10.79
13.39 14.34
4.05 36.70
9.27
5.62
5.64 11.35
6.56 21.34
6.02 14.99
5.05 21.66
4.91 27.76
13.33 -7.43
3.86 15.08

AVG%CHG=16.53

# YEAR TOY% NEXTYR%

23 1989 7.67 18.21
24 1991 4.04 26.08
25 1992 10.39
4.37
26 1997 4.58 23.88
27 1999 8.53 16.39
28 2004 9.34
3.92
29 2009 5.40 33.63
30 2010 5.05 11.45
31 2011 6.85
2.54
32 2012 8.13 13.05
33 2013 7.14
?
MED%CHG=15.01

Note: As of August 2nd, the S&P is up 15.05% since the Jan 19, 2013 Bullish Tape Signal

The Implications of a Four Percent January

Wayne Whaley

wayne@witterlester.com

January 31, 2013

Given the culmination of a 5.04% first month of 2013, I thought it appropriate to take a more
detailed look at the historical precedent set by similar starts to the calendar year.

The First Seven Months After a Four Percent January, 18-0

The last 18 cases of Four Percent Januarys, dating back to 1950, all extended their gains
through August, by an average/median level of 9.70/8.82%. Of those 18 cases, there was
only one double digit drawdown over those following seven months which occurred during a
period in 1980 in which the markets were unnerved by the developments in the Iran
Hostage Crisis of that year.

Feb-Aug SP Performance - After a +4% January

#

YEAR

JAN%

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19

1951
1954
1958
1961
1963
1967
1971
1975
1976
1980
1985
1987
1988
1989
1991
1997
1999
2012
2013

6.02
5.12
4.28
6.32
4.91
7.82
4.05
12.28
11.83
5.76
7.41
13.18
4.04
7.11
4.15
6.13
4.10
4.36
5.04

#UP-DN =
AVG%CHG=
MED%CHG=

FEBMAXIMUM %
AUGUST% DRAWDOWN DRAWUP

7.48
14.38
14.51
10.18
9.52
8.12
3.29
12.86
2.03
7.20
5.01
20.33
1.73
18.15
14.97
14.41
3.19
7.18
?

-3.23
-1.04
-2.61
-1.04
-3.17
-0.21
-2.45
0.00
-2.21
-13.96
-1.73
0.00
-3.10
-3.48
-0.26
-6.17
-4.96
-2.62
?

7.48
19.67
15.49
10.78
9.52
10.65
9.27
24.20
5.05
10.39
8.92
22.87
7.29
18.36
15.33
22.15
10.87
8.12
?

18- 0
9.70
8.82

Drawdown = Worse Loss from the end of January to any Date through August.
Drawup = Best Gain from the end of January to any Date through August.
They are not peak to trough drawdown/ups.
Note: The S&P is in the process of posting its 19th consecutive Feb-August following a 4% Jan, currently up
14.12% (Aug 3)

Four Percent Januarys A Detailed Breakdown

Below is a table with a more detailed breakdown of the full 12 month breakdown for post
Four Percent January performance. 1987 was hit with sharply rising interest rates in the fall
and gave up its early gains (Black Monday), to post the only negative forward 12 month
performance after a Four Percent January, albeit after a 22.87% run into August. Most
January Barometer followers, quote the forward one year performance through the end of
the year, but note I have it through the following January to complete the full 12 month cycle.

S&P Performance after a Four Percent January

#
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19

YEAR
1951
1954
1958
1961
1963
1967
1971
1975
1976
1980
1985
1987
1988
1989
1991
1997
1999
2012
2013

MTOF
JAN%
6.02
5.12
4.28
6.32
4.91
7.82
4.05
12.28
11.83
5.76
7.41
13.18
4.04
7.11
4.15
6.13
4.10
4.36
5.04

NEXT
WEEK
1.52
0.84
0.07
-0.21
-0.05
0.39
1.10
2.14
-1.39
1.86
1.22
2.17
-2.38
0.73
3.66
0.43
-3.14
2.64
?

1MTH
FEB%
0.65
0.27
-2.06
2.69
-2.89
0.20
0.91
5.99
-1.14
-0.44
0.86
3.69
4.18
-2.89
6.73
0.59
-3.23
4.06
?

#UP-DN =
AVG%CHG=
MED%CHG=

13- 5
0.65
0.63

12- 6
1.01
0.62

3MTHS
6MTHS
12MTS
ONE YEAR MAX
FEB-APR FEB-JUL FEB-JAN DDOWN DRAWUP
3.42
7.48
11.45
-3.23
13.85
18.40
14.38
40.45
-1.04
40.91
13.17
14.51
32.97
-2.61
34.39
8.06
10.18
11.43
-1.04
17.58
4.43
9.52
16.37
-3.17
16.48
9.40
8.12
6.50
-0.21
12.68
-0.31
3.29
8.41
-5.97
9.27
15.29
12.86
31.02
0.00
31.02
2.56
2.03
1.16
-2.21
6.91
6.58
7.20
13.48 -13.96
23.09
6.29
5.01
17.90
-1.73
19.02
16.27
20.33
-6.21 -18.30
22.87
5.82
1.73
15.72
-3.10
15.72
16.34
18.15
10.63
-3.48
20.95
12.76
14.97
18.86
-0.26
22.34
21.39
14.41
24.69
-6.17
25.35
3.84
3.19
8.97
-4.96
14.82
5.10
7.18
14.15
-2.62
14.15
?
?
?
17- 1
9.38
7.32

18- 0
9.70
8.82

17- 1
15.44
13.82

Only two of the cases (80 & 87) incurred a double digit drawdown over the following year,
while 16 of the 18 cases were up at least double digits at some point in the next 12 months.
Of immediate interest, a Four Percent January turns the very normal month of February into
a 12-6 proposition. But likely of most note worthiness, is the fact the Four Percent Januarys
take the three months of February through April and turn their historic returns into what
would normally be a years performance with average/median three month profits of
9.38/7.32%.

The Monthly Breakdown of Years with TOYs Similar To This Year

Wayne Whaley

wayne@witterlester.com

February 21, 2013

I have gotten over some guilt I formerly harbored for potentially overindulging in the
promotion of my favorite child, as it is has taken me a year of evaluation to conclude that
TOY is the most underappreciated, best kept quantitative market prognostication secret
floating about. When one considers the number of signals, plus the ability to forecast both
directions, it is difficult not to show favoritism. Since 1950, the Bullish (+3%) TOYs, plus the
Bearish (negative) TOYs, have generated 45 signals which have an 89% accuracy of
predicting the direction of the following year, a feat I have not been able to match with any
other seasonal, technical, monetary, valuation, sentiment, economic, or astrological
forecasting tool I have had the pleasure to peruse. Sometimes, it just aint that complicated.
The S&P posted a 7.1% TOY (Turn of the Year) Barometer measure this year. Recall that
+3% TOYs (Nov19-Jan19) are 32-1 over the following 12 months (Jan19-Jan19) with an
avg/med return of 16.67/15.01%. As of March 20, we are up 5% in this TOY year. Below are
the 20 years since 1950 which have the most similar (3.8-10.5%) TOY measures to this
years. Strength through March-April, which provides follow through into mid summer,
sideways action through the second half of the summer, with a strong end of year finish.

THE MONTHLY BREAKDOWN OF YRS AFTER TOYS SIMILAR TO THIS YEARS 7.1%
# YR

0 2013

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

TOY
7.1

2011 6.9
1989 7.7
1980 6.6
1964 6.5
2012 8.1
1983 6.0
1999 8.5
1979 5.6
1967 5.6
2009 5.4
1963 9.0
2010 5.1
1985 5.0
1976 9.3
2004 9.3
1986 4.9
1997 4.6
1975 4.0
1991 4.0
1992 10.4

FEB MAR APR

1.1

3.2 -0.1
-2.9
2.1
-0.4 -10.2
1.0
1.5
4.1
3.1
1.9
3.3
-3.2
3.9
-3.7
5.5
0.2
3.9
-11.0
8.5
-2.9
3.5
2.9
5.9
0.9 -0.3
-1.1
3.1
1.2 -1.6
7.1
5.3
0.6 -4.3
6.0
2.2
6.7
2.2
1.0 -2.2

2.8
5.0
4.1
0.6
-0.7
7.5
3.8
0.2
4.2
9.4
4.9
1.5
-0.5
-1.1
-1.7
-1.4
5.8
4.7
0.0
2.8

MAY

JUN

JUL

AUG

SEP

OCT

NOV

DEC

-1.4
3.5
4.7
1.1
-6.3
-1.2
-2.5
-2.6
-5.2
5.3
1.4
-8.2
5.4
-1.4
1.2
5.0
5.9
4.4
3.9
0.1

-1.8
-0.8
2.7
1.6
4.0
3.5
5.5
3.9
1.8
0.0
-2.0
-5.4
1.2
4.1
1.8
1.4
4.3
4.4
-4.8
-1.7

-2.1
8.8
6.5
1.8
1.3
-3.3
-3.2
0.9
4.5
7.4
-0.3
6.9
-0.5
-0.8
-3.4
-5.9
7.8
-6.8
4.5
3.9

-5.7
1.6
0.6
-1.6
2.0
1.1
-0.6
5.3
-1.2
3.4
4.9
-4.7
-1.2
-0.5
0.2
7.1
-5.7
-2.1
2.0
-2.4

-7.2
-0.7
2.5
2.9
2.4
1.0
-2.9
0.0
3.3
3.6
-1.1
8.8
-3.5
2.3
0.9
-8.5
5.3
-3.5
-1.9
0.9

10.8
-2.5
1.6
0.8
-2.0
-1.5
6.3
-6.9
-3.5
-2.0
3.2
3.7
4.3
-2.2
1.4
5.5
-3.4
6.2
1.2
0.2

-0.5
1.7
10.2
-0.5
0.3
1.7
1.9
4.3
0.8
5.7
-1.1
-0.2
6.5
-0.8
3.9
2.1
4.5
2.5
-4.4
3.0

0.9
2.1
-3.4
0.4
0.7
-0.9
5.8
1.7
2.6
1.8
2.4
6.5
4.5
5.2
3.2
-2.8
1.6
-1.2
11.2
1.0

#UP-DN = 13- 7 14- 6 15- 5 12- 8 14- 6 11- 9 10-10 12- 8 12- 8 14- 6 16- 4
AVG%CH = 0.57 1.77 2.60 0.65 1.18 1.40 0.11 0.23 1.05 2.08 2.17
MED%CH = 0.91 2.64 2.82 1.18 1.70 1.07 -0.14 0.92 1.00 1.83 1.73

Thanksgiving Sets the Table for March

Wayne Whaley

Feb 27, 2013

The Nov8-Dec8 time frame was up 2.94% this year (2012).

This Nov8-Dec8 monthly time period, which encompasses the Thanksgiving season,
has a statistically significant record of calling the performance of March. Scanning
for all years in which the Nov 8-Dec8th time frame posted performance within 1% of
this years 2.94% S&P measure produces the March results provided below.

March S&P Performance

After a 1.94-3.94% Nov8-Dec8th
Year
1956
1958
1960
1969
1972
1979
1984
1987
1990
1999
2002
2006
2010
2013

Nov8-Dec8% Mar%Chg
3.78
2.79
3.02
3.83
2.68
2.31
2.13
2.19
3.12
3.54
3.56
3.06
2.12
2.94
#UP-DN =
AVG%CHG=
MED%CHG=

6.93
3.09
-1.39
3.44
0.59
5.52
1.35
2.64
2.43
3.88
3.67
1.11
5.88
?
12-1
3.01
3.09

Note: March was up 3.51% in 2013, in line with previous years after similar setups.

A 20-0 DJF Barometer Signal

Wayne Whaley

March 01, 2013

Simply more support for the TOY Barometer Signal. February is one of the weaker
months of the year and often a time to give back some of any of the previous two
months gains. The ability of the market to add to December and Januarys gain in
February, despite extended conditions, and some seasonal tendencies to do
otherwise, is simply an indication of an underlying strength driving market direction
which should be respected. The S&P was up 0.71, 5.04 and 1.11% in the recent
December, January and February months. Since 1950, there have been 20 previous
cases where those three months were all each positive and in all 20 cases, the S&P
was higher 12 months (Mar-Feb) later.

S&P PERFORMANCE AFTER A POSITIVE DEC, JAN AND FEBRUARY

YEAR

TRAILING S&P
PERFORMANCE
DEC
JAN
FEB

1950
1951
1954
1955
1961
1964
1971
1972
1983
1985
1986
1988
1991
1993
1995
1996
1998
2004
2011
2012
2013

4.35
4.72
0.20
5.08
4.63
2.44
5.68
8.62
1.52
2.24
4.51
7.29
2.48
1.01
1.23
1.74
1.57
5.08
6.53
0.85
0.71

1.73
6.02
5.12
1.81
6.32
2.69
4.05
1.81
3.31
7.41
0.24
4.04
4.15
0.70
2.43
3.26
1.02
1.73
2.26
4.36
5.04

1.00
0.65
0.27
0.35
2.69
0.99
0.91
2.53
1.89
0.86
7.15
4.18
6.73
1.05
3.61
0.69
7.04
1.22
3.20
4.06
1.11

FORWARD S&P PERFORMANCE

1MT
3MTS
6MTS
9MTS
1YEAR
MAR MARMAY MARAUG MARNOV MARFEB
0.41
-1.47
3.02
-0.49
2.55
1.52
3.68
0.59
3.32
-0.29
5.28
-3.33
2.22
1.87
2.73
0.79
4.99
-1.64
-0.10
3.13
?

9.06
-1.28
11.63
3.13
4.92
3.30
2.98
2.78
9.69
4.62
9.00
-2.11
6.20
1.54
9.44
4.48
3.95
-2.12
1.35
-4.05
?

6.97
6.79
14.07
17.46
7.30
5.18
2.36
4.24
11.04
4.11
11.46
-2.35
7.73
4.55
15.28
1.81
-8.75
-3.55
-8.16
2.99
?

13.30
4.95
30.94
23.80
12.42
8.51
-2.85
9.48
12.39
11.59
9.83
2.20
2.22
4.15
24.21
18.20
10.89
2.52
-6.05
3.70
?

26.60
6.70
40.57
23.34
10.28
12.38
10.15
4.79
6.09
25.25
25.24
7.86
12.43
5.36
31.40
23.48
18.01
5.12
2.90
10.91
?

#UP-DN = 14- 6
AVG%CHG= 1.44
MED%CHG= 1.69

16- 4
3.92
3.63

16- 4
5.03
4.87

18- 2
9.82
9.65

20- 0
15.44
11.64

Note: as of Aug 3, 2013, the S&P is up 12.87% since the end of February

Shortterm Overbought = Longterm Bullish

Wayne Whaley

May 14, 2013

We are a bit overbought in here (1645), but given it is an Opex Week, they likely take
is as far as 1653ish, spend a day trading between 1653 and 1647, make the 1650
open interest squirm and then pull back, with the consolidation being met with
renewed buying in a few days. The mental trading box has shifted and old well
established Highs (1570), now become well established support. Below is a study of
past days which had ADT21s (Breadth), UDT21s(UpVolume), and SPT21s, (SP Price
Moves), most similar to today. I use 21 trading days as it most closely replicates a
typical calendar month (30.5 days). As you can see, very shortterm overbought, but
very constructive looking out a month or more. The 5.25% average quarterly move
is an eye grabber. Note posted one wk prior to the May 21-June 24 5.75% correction.
THE TOP 20 MATCHES TO TODAYS S&P TAPE MEASURES OF
ADT21 = 61.01 UDT21 = 66.16 SPT21 = 6.11
#

DATE

TAPE MEASURES
ADT21 UDT21 SPT21

0 20130514 61.01 66.16

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

20121218
20100317
20030908
20040913
20120123
20041118
20101230
20040112
20120703
19960822
20130130
20051128
20090827
19961004
20130326
19970527
20030527
20100929
20070417
20100804

59.84
61.83
59.76
60.16
59.30
60.87
57.99
58.89
61.66
58.90
60.58
59.65
56.89
59.37
60.28
60.67
58.57
60.07
58.34
61.13

6.11

65.34 6.39
63.10 6.52
63.33 5.90
62.44 5.89
62.04 6.02
61.42 7.24
63.77 6.55
62.32 6.44
61.29 7.50
62.39 7.03
60.33 7.10
59.92 6.66
62.95 5.73
61.46 8.01
58.87 5.10
63.87 11.02
58.77 5.86
60.59 9.13
58.45 6.09
60.22 9.65

FORWARD S&P PERFORMANCE

1DAY WEEK MONTH QTR
?
-0.76
-0.03
-0.82
0.22
-0.10
-1.12
-0.02
-0.53
-0.47
-0.54
-0.26
0.00
-0.20
0.27
-0.06
-0.29
0.18
-0.31
0.07
-0.13

-1.86 2.71 7.28

0.13 2.22 -4.30
-1.63 0.21 3.65
-0.32 -1.08 6.47
-0.23 3.61 3.87
-0.08 0.90 1.52
1.27 1.47 5.60
1.02 2.21 1.59
-2.37 1.24 5.60
-1.98 2.43 11.63
0.68 0.85 6.37
0.29 0.15 1.84
-2.69 1.30 5.87
-0.11 0.75 6.64
-0.64 1.18 5.34
-0.50 4.42 7.53
2.11 2.60 4.76
1.33 3.37 10.05
0.61 2.80 5.29
-3.35 -2.02 8.32

#UP-DN = 5-15 8-12 18- 2 19- 1

AVG%CHG= -0.24 -0.42 1.57 5.25
MED%CHG= -0.16 -0.17 1.38 5.60

The Moving Average Studies

Wayne Whaley

May 17, 2013

Below are the best 30 matches of the current S&P Price relative to every moving average
from 2 to 200 days. Ive never seen anyone else take this approach, but it is actually not that
difficult and it is of the pattern recognition genre of analysis. This Study supports the
overbought story we have been telling for a couple of days. Most of the sellers I run across,
speak of getting back in after a pullback, and one has to wonder what might happen if they
dont get one, but there appears to be the makings of consolidation next week.

The S&P vs the 2 to 200 Day Moving Averages

#

THE % ABOVE OR BELOW THE

200DMA 100DMA 50DMA 25DMA

DATE

0 20130517
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

19890526
20040120
20101222
19860213
19970120
19960223
19950623
19951206
19950920
19980720
20120320
20100415
19870807
19890804
19980313
19990716
19860702
19890208
20030908
19830624
19970528
19850214
19971008
19891009
20100111
19990407
19991231
20090722
19850521
20000407

12.18

7.89

4.82

3.52

12.98
12.96
10.11
12.00
13.01
13.29
13.32
13.06
13.91
14.18
11.37
12.82
15.26
14.92
12.61
14.04
16.14
10.00
11.70
16.01
13.17
11.89
14.80
13.90
15.34
14.75
9.16
9.53
10.27
9.81

8.00
7.89
8.61
8.66
8.18
8.11
8.16
7.28
6.89
6.81
8.69
7.61
8.12
8.83
9.47
7.20
6.87
7.42
6.14
8.33
7.25
8.43
6.65
6.78
6.55
7.58
8.29
10.15
6.20
6.39

5.60
5.28
4.41
3.87
4.01
5.33
4.61
4.97
4.09
5.43
4.47
6.41
5.28
4.74
6.33
5.76
4.35
5.68
3.81
3.84
6.83
6.68
3.87
3.37
4.02
4.54
5.24
4.17
4.82
6.47

2.96
2.76
3.27
3.43
3.43
3.01
2.90
3.61
3.24
3.73
2.47
3.06
3.38
3.18
2.77
4.38
2.70
3.35
3.49
2.87
3.41
2.92
3.02
3.02
2.59
2.78
3.05
4.40
3.85
3.84

#UP-DN =
AVG%CHG=
MED%CHG=

DAY
?

FORWARD S&P PERFORMANCE

WEEK 1MT
3MT
6MT
12MT
?

-0.79 0.14
0.78 0.46
-0.16 -0.08
1.09 3.32
0.78 -1.50
-1.31 -2.23
-1.02 -0.90
-0.65 0.24
-0.64 -0.98
-1.61 -3.11
-0.19 0.50
-1.61 -0.25
1.55 3.40
1.60 0.24
1.00 2.86
-0.78 -4.36
-0.36 -3.83
-0.87 -1.48
-0.82 -1.63
-1.14 -1.04
-0.37 -0.84
-0.44 -1.67
-0.33 -0.83
-0.19 -4.71
-0.94 0.28
1.29 0.12
-0.95 -1.89
2.33 2.21
-0.57 -1.03
-0.78-10.49

1.56 9.00 6.96 10.26

0.47 -1.81 -2.64 3.22
1.95 2.77 2.25 -0.38
7.26 8.74 13.00 28.66
3.34 -1.33 17.84 25.99
-1.28 2.57 1.21 21.65
0.71 5.82 11.32 21.31
-0.56 5.13 8.52 19.26
0.12 3.27 10.76 17.08
-7.81-10.15 6.12 16.30
-1.92 -3.55 3.89 10.90
-6.27 -9.51 -2.93 8.91
-1.95-22.47-22.30-16.05
2.85 -1.83 -3.78 0.27
3.85 2.83 -5.57 21.15
-6.20-12.08 3.27 6.43
-7.04 -7.43 -2.47 20.95
-1.53 2.46 16.98 11.49
0.21 3.65 11.20 8.20
-0.89 -0.53 -4.22 -9.36
4.73 6.66 12.77 29.55
-2.51 0.80 2.74 20.48
-4.76 -1.83 13.12 -1.48
-6.46 -2.83 -5.12-15.20
-5.97 4.13 -6.02 11.12
1.36 5.18 -0.70 14.28
-5.09 2.00 -1.00-10.13
7.55 14.55 14.43 14.63
-0.02 -0.25 6.21 24.16
-5.52 -2.47 -7.08-25.58

8-22 11-19 13-17 16-14 18-12 23- 7

-0.20 -0.97 -0.99 0.05 3.29 9.60
-0.51 -0.87 -0.73 1.40 3.00 11.30

Note posted days prior to the May 21-June 24 5.75% Correction.

When the Bull is in Play, Avoid Selling in May

Wayne Whaley May 21, 2013

We had looked at some studies, such as Sell in Mays after 5% Buy in Falls, which
hinted at the fact, the odds improve a bit for Sell in Mays when aided by start of the
year momentum. That fact is even more pronounced if a great part of that
momentum was concentrated in January. Below are the 17 previous occasions, since
1950, in which Jan-April was positive and included a 4% January. The odds improve
dramatically, at least for the first five months of the Sell in May time frame, as May
through September is 14-3 in this spot for an avg/med gain of 5.04/3.33%, which
doesnt sound overly impressive, until you put in perspective the historically bearish
nature of those five months. This supports the 7% TOY Barometer readings as well,
which hinted at strength into August-September.
MAY-SEPTEMBER WHEN
JAN-APRIL IS POSITIVE AND JAN IS +4%
YEAR

JAN-APR%

JAN%

1951
1954
1958
1961
1963
1967
1971
1975
1976
1985
1987
1988
1989
1991
1997
1999
2012
2013

9.79
13.91
8.63
12.39
10.62
17.03
12.81
27.33
12.70
7.53
19.07
5.77
11.49
13.67
8.18
8.62
11.16
12.02

6.02
5.12
4.28
6.32
4.91
7.82
4.05
12.28
11.83
7.41
13.18
4.04
7.11
4.15
6.13
4.10
4.36
5.04

MAY-SEPT%
3.70
14.33
15.24
2.17
2.72
2.87
-5.40
-3.93
3.54
1.25
11.61
4.05
12.76
3.33
18.21
-3.93
3.06
?

#UP-DN = 14-3
AVG%CHG = 5.04
MED%CHG = 3.33
As of Aug 3, the 2013 Sell in May period is up 7.02%

June 2013 vs June 2012

Wayne Whaley

June 27, 2013

An encouraging development for the Bulls as the Bear Trap on the breakout sellers is
in place. A Bear/Bull Trap occurs when Support/Resistance is broken resulting in
the execution of Breakout Stops. Once the Stops are exhausted, the market will often
then reverse course trading back through the previous support/resistance level
causing the Breakout traders to scramble to cover their positions and providing
momentum in the opposite direction.
June 2012

June27 8:40amC

Note: The S&P was at 1613.20 at the time of this posting and now five weeks later (Aug 3),
the S&P is 6% higher at 1709.67

A Mary Poppins Signal

Wayne Whaley

June 30, 2013

Formally stated, a Mary Poppins Signal, as defined by me, occurs when:

1. The S&P experiences a negative month and,
2. There were at least seven consecutive preceding positive months,
3. Of which December, January and February participated.
As you can see in the table below, when Ms. Poppins blows into town, the S&P was
practically perfect in every way measurable over the following six months.

S&P Performance After a Seven Month Winning Streak is Broken

And the Streak Encompassed December, January and February
#

Year

01
02
03
04
05
06
07
08
09
10
11
12

1936
1943
1950
1954
1961
1964
1983
1991
1993
1995
1996
2013

Losing #MtsIn
Month Mt% Streak
APR
JUL
JUN
AUG
JUN
AUG
MAY
JUN
APR
AUG
JUL
JUN

-7.71
-5.43
-5.80
-3.40
-2.88
-1.62
-1.24
-4.79
-2.54
-0.03
-4.57
-1.50

12
7
11
11
7
8
9
7
7
8
8
7

Forward S&P Performance

1MT%
3MT%
6MT%
4.58
1.03
0.85
8.31
3.28
2.87
3.52
4.49
2.28
4.01
1.88
?

15.11
2.05
9.95
14.78
3.23
3.17
1.24
4.50
1.80
7.74
10.21
?

24.98
1.46
15.49
23.23
10.69
6.84
2.46
12.37
6.28
13.98
22.85
?

#UP-DN = 11- 0
AVG%CHG= 3.37
MED%CHG= 3.28

11- 0
6.71
4.50

11- 0
12.78
12.37

Note: The S&P followed this years Mary Poppins Signal with its 11th consecutive positive
following month, up 4.95% in August.

A 19-1 Week After the 4th Study

Wayne Whaley

July 3 2013

Based upon a perusal of all seasonal angles available to me, I would give the week
after the Fourth, a 75% chance of posting a win. Below, is the most noteworthy of the
studies of this genre examined, and it plays like this: Since Christmas, the S&P is up
13.27%. Since 1930, there have been 20 previous years, where the Christmas-July
4th time span was up between 10-20%.

The week after the Independence Day

holiday was 19-1 in this trailing period setup, for an avg/med gain of 1.32/1.13%

The Week After the Fourth When Christmas-July4th is 10-20%

#
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21

TRAILING
YR XMAS-4TH
1935
1936
1944
1945
1948
1954
1955
1958
1961
1963
1964
1967
1971
1976
1985
1989
1991
1995
1999
2003
2013

13.61
14.74
12.92
14.30
10.49
19.31
16.45
15.06
13.53
11.67
11.67
11.59
10.12
16.38
14.81
14.88
13.16
18.98
13.45
10.45
13.27

THE WEEK AFTER THE 4TH S&P PEFORMANCE

DAY1
DAY2
DAY3
DAY4
DAY5 WEEK
1.16
-0.53
0.53
-1.13
0.00
1.12
1.21
0.33
0.64
0.40
0.46
0.49
-0.02
-0.55
0.56
0.44
0.20
0.03
-0.22
1.90
?

0.00
-0.87
-0.38
0.34
-0.36
0.07
3.57
-0.48
0.27
-0.68
0.17
-0.04
0.28
0.28
-0.31
0.28
1.03
1.23
0.54
0.34
?

1.24
0.54
0.23
0.87
0.12
0.00
-1.39
-0.33
-0.06
0.43
0.00
0.41
0.30
0.14
-0.46
1.04
-0.48
0.43
-0.09
-0.56
?

-0.47
1.21
0.53
0.40
0.65
0.67
0.14
0.38
-0.09
-0.21
0.12
0.39
0.35
0.96
0.69
0.66
-0.10
0.15
0.64
-1.35
?

0.76
1.86
0.30
-0.33
-0.24
-0.07
0.26
0.66
-0.03
-0.19
0.17
0.47
0.13
0.88
0.30
0.52
0.33
-0.43
-0.30
0.96
?

2.71
2.20
1.22
0.13
0.18
1.79
3.79
0.55
0.74
-0.26
0.92
1.73
1.04
1.72
0.78
2.99
0.98
1.41
0.57
1.26
?

#UP-DN = 15- 5
AVG%CHG= 0.35
MED%CHG= 0.42

13- 7
0.26
0.22

13- 7
0.12
0.13

15- 5
0.29
0.38

13- 7
0.30
0.28

19- 1
1.32
1.13

Note: The S&P was up 3.69% in the week after July 4th this year

The Jan 30, 1996 Analogy

Wayne Whaley

July 11, 2013

If the S&P can fortuitously forge its way to 1700, the 1954 Analogy, which I laid out
earlier this year, will come back in line. We also, noted that in the shortterm, we
look a lot like the summer of 2012, especially in regards to the Bear Trap set at the
bottom. But for now, the analogy that is showing up as the consensus choice on my
shortterm price pattern matches is January 30, 1996. The S&P added an additional
24% over the 12 months following January 30, albeit, somewhat rocky at times.
July 11, 2013 11pmC

Jan 30, 1996

Note: The S&P has added an additional 2% since this July 11th study posted three weeks ago.

Throwing the Bears a Bone

Wayne Whaley

Aug 1, 2013

The S&P is up 18.20% over the first seven months of the 2013 calendar year, which just
concluded with a 4.96% July. Since 1930, there have been five previous occasions where the
S&P was up 10% for the first seven months of the year and simultaneously concluded with a
3% July. In all five of those previous occasions, the S&P was down substantially over the
remaining five months of the year for an average loss of 22.85%.

S&P PEFORMANCE AFTER A 10% JAN-JUL AND A 3% JULY

TRAILING S&P%

FORWARD S&P PERFORMANCE

YEAR

JAN-JUL%

JUL%

AUG%

SEP%

OCT%

NOV%

DEC% AUG-DEC%

1930

38.27

3.67

0.75

-13.01

-8.88

-2.18

-7.42

-27.68

1937

60.95

10.26

-5.54

-14.21

-10.17

-10.11

-5.04

-37.87

1941

19.56

5.48

-0.87

-0.97

-6.86

-4.21

-4.51

-16.36

1973

10.94

3.80

-3.67

4.01

-0.13

-11.39

1.66

-9.86

1987

28.97

4.82

3.50

-2.42

-21.76

-8.53

7.29

-22.46

2013

18.20

4.96

#UP-DN =

2- 3

1- 4

0- 5

0- 5

2- 3

0- 5

AVG%CHG=

-2.33

-5.32

-9.56

-7.29

-1.61

-22.85

MED%CHG=

-0.87

-2.42

-8.88

-8.53

-4.51

-22.46

I present this study simply as food for thought and suggest we should keep an open
mind to its message, although the Bulls will be quick to counter that:
1) Its only five data points, the first three occurring over seventy years ago during a
unique depression type decade and,

2) The last two data points occurred during inflationary periods with extremely high
interest rates of the 8 and 10% variety, much different than todays 3.5% bond yields.