Today we pull out the Thanksgiving Day COT, not the Turkish L-tryptophan type, but the Commitment of Trader's report, seeking guidance as we enter into the short holiday week. S&P 500 futures closed Friday at 1460.25, up 2.25 points.
Q: We asked the question, “How have S&P 500 futures performed with hedgers long on the Friday before the Thanksgiving holiday, according to Commodity Futures Trading Commission’s Commitment of Trader’s Report?”
A: According to the 13 previous occurrences of this event, EventEdge indicates that S&Ps have shown a strong bullish edge that peaks 56 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the most recent occurrence of the event (Friday, Nov. 16, 2007) is Friday, Feb. 8, 2008.
The index has rallied in 92% of the cases (12 of 13) by an average of 7.3% relative to the close on the event date. The average of the one decline is -3.5%. The overall return of the 13 cases is 6.5%, which, based on the close of S&P 500 futures on the event date (1460.2), provides a target price of 1555.11.
If you would like to see more details of this historical edge, go to www.markethistory.com
Mr. Jay Pasch is a private futures and equities trader based in Minnesota. He may hold positions in the instruments mentioned in his trading ideas.
