How do stocks fare on Friday the 13th?

A couple of seasonal studies you might find of interest:

Over the last 20 years, Friday the 13ths are 23-11 for a median return of 0.25% with only one 1% down F13 in those 34 occurrences. They are listed below in order of best match to the trailing one month % change of +2.62%.

FRIDAY THE 13th
LAST 20 YEARS

TRAILING FRIDAY
# DATE DAY 1MT%CHG %CHG
0 20110512 FRI 2.62 ?

1 19950113 FRI 2.71 0.94
2 20040213 FRI 2.76 -0.55
3 19950413 FRI 2.90 0.41
4 20021213 FRI 2.11 -1.34
5 20060113 FRI 2.03 0.12
6 19921113 FRI 3.30 -0.10
7 20061013 FRI 3.40 0.20
8 19960913 FRI 1.66 1.40
9 20070713 FRI 3.66 0.31
10 19951013 FRI 0.75 0.24
11 20020913 FRI 0.30 0.33
12 19980313 FRI 5.00 -0.12
13 20070413 FRI 5.07 0.35
14 19961213 FRI -0.04 -0.09
15 19930813 FRI -0.25 0.26
16 20091113 FRI -0.44 0.57
17 19910913 FRI -0.59 -0.97
18 20030613 FRI 5.97 -0.99
19 20060413 FRI -0.72 0.08
20 19970613 FRI 6.04 1.11
21 19940513 FRI -0.85 0.10
22 20100813 FRI -1.06 -0.40
23 20050513 FRI -1.23 -0.46
24 19980213 FRI 7.57 -0.40
25 19920313 FRI -2.39 0.48
26 20010713 FRI -3.80 0.62
27 19911213 FRI -3.83 0.77
28 20090213 FRI -4.20 -0.99
29 20040813 FRI -4.34 0.15
30 20080613 FRI -4.50 1.50
31 19981113 FRI 11.20 0.68
32 19990813 FRI -7.15 2.27
33 20090313 FRI -9.24 0.72
34 20001013 FRI -10.45 3.34

#UP-DN = 23-11
AVG%CHG= 0.31
MED%CHG= 0.25
1%MOVES= 5- 1

The only characteristic of Friday the 13th I can think of which would separate it from the crowd is the fact it always occurs on the Friday before Opex Week which was positive 58% of the time over the same 20 year time frame.

THE FRIDAY BEFORE OPEX WEEK

Speaking of Fridays before Opex week, there is a tendency over the last 20 years for the S&P to put in a shortterm bottom on the Thurs-Friday prior to Options Expirations (Opex) Week. Listed below in chronological order. The S&P is down 0.87% over the last 10 days. Below are all occasions when the trailing 10 days were down 0.446 to -1.293. This study was stronger in the morning before the S&P went positive for the day.

FRIDAYS BEFORE OPEX WEEK WHEN
TRAILING 10 DAYS ARE -1.293 TO -0.446%

DAYOF TRAILING FRIDAY
# DATE WEEK 1MTSP% SP%CHG

1 19930408 FRI -1.19 -0.20
2 19930910 FRI -0.57 0.92
3 19931112 FRI -1.09 0.59
4 19940513 FRI -1.19 0.10
5 19940708 FRI -1.04 0.26
6 19941209 FRI -1.00 0.34
7 19950310 FRI -0.77 1.33
8 19951013 FRI -0.47 0.24
9 19960308 FRI -0.79 -3.08
10 19960510 FRI -1.14 1.03
11 19960614 FRI -0.56 -0.31
12 19970314 FRI -0.69 0.46
13 19980612 FRI -0.73 0.85
14 19990212 FRI -0.90 -1.91
15 19991210 FRI -0.63 0.63
16 20000114 FRI -1.01 1.07
17 20010608 FRI -0.98 -0.94
18 20030314 FRI -0.64 0.16
19 20030808 FRI -0.76 0.36
20 20050812 FRI -0.48 -0.60
21 20051209 FRI -0.77 0.28
22 20060210 FRI -0.81 0.25
23 20060310 FRI -1.21 0.73
24 20060413 FRI -1.13 0.08
25 20061110 FRI -0.77 0.19
26 20080208 FRI -1.12 -0.42
27 20090213 FRI -1.18 -0.99
28 20091211 FRI -0.74 0.37
29 20100212 FRI -0.77 -0.07
30 20110311 FRI -0.84 0.71
31 20110512 FRI -0.87 ?

#UP-DN = 21- 9
AVG%CHG= 0.08
MED%CHG= 0.26
1%MOVES= 3- 2

Opex Mondays have an above average record as well. I would view weakness over the next two days as a sign for additional concern about the well being of the market.

SOME CANDLESTICK TYPE STUFF

The Low today was lower than yesterday's Low, but the market came back and posted a higher Close. This is generally perceived as positive in Candlestick Theory or even traditional technical analysis. The Five Day pattern of Lows is 11100 and the Five Day Pattern of Closes is 11101, where 1 represents a higher level than the previous day. Below are the 40 occasions in the last 30 years, this five day pattern of Lows and Closes has occurred. The forward price performance is above average at each of the next Day, Week, Month and Quarter time periods. Listed Below in chronological order:

****** FIVE DAY PATTERN OF LOWS AND CLOSES ******

DATE LOWS CLOSES DAY WEEK MONTH QTR
19851114 11100 11101 -0.48 1.18 5.47 10.40
19860618 11100 11101 -0.38 1.61 -3.52 -5.18
19860926 11100 11101 -1.00 0.64 2.60 6.33
19870408 11100 11101 -1.48 -4.31 -1.31 3.71
19871211 11100 11101 2.92 5.88 5.17 12.59
19880617 11100 11101 -0.64 1.15 0.51 -0.01
19881209 11100 11101 -0.18 -0.27 1.43 6.10
19890118 11100 11101 0.13 0.91 3.57 6.80
19890524 11100 11101 0.01 0.89 2.78 10.15
19891121 11100 11101 0.68 1.18 1.53 -3.51
19900706 11100 11101 0.31 2.48 -6.69 -13.09
19920820 11100 11101 -0.82 -1.13 1.11 2.01
19921102 11100 11101 -0.67 -0.98 1.69 4.68
19930915 11100 11101 -0.47 -1.17 1.71 0.05
19950322 11100 11101 0.06 1.50 2.59 11.18
19951017 11100 11101 0.11 -0.04 2.26 3.34
19951208 11100 11101 0.33 -0.18 0.16 2.59
19951229 11100 11101 0.78 0.41 1.35 4.80
19960205 11100 11101 0.76 3.12 2.24 0.03
19961113 11100 11101 0.65 1.75 -0.34 11.04
19980918 11100 11101 0.37 2.42 3.56 16.46
19991110 11100 11101 0.58 2.71 3.17 3.16
20020102 11100 11101 0.92 0.04 -2.81 -1.55
20040831 11100 11101 0.15 1.09 0.94 6.30
20041228 11100 11101 -0.01 -2.10 -3.48 -3.24
20050411 11100 11101 0.55 -2.98 -0.86 3.24
20050719 11100 11101 0.48 0.15 -0.78 -2.73
20050801 11100 11101 0.71 -0.99 -1.11 -2.64
20051228 11100 11101 -0.39 1.12 1.94 2.69
20061030 11100 11101 0.00 0.13 1.65 3.69
20061219 11100 11101 -0.14 0.09 0.35 -1.65
20070206 11100 11101 0.14 -0.26 -3.63 3.98
20070220 11100 11101 -0.14 -4.15 -3.34 4.32
20070314 11100 11101 0.37 3.45 4.73 9.79
20070412 11100 11101 0.35 1.58 4.01 6.90
20071228 11100 11101 -0.69 -4.21 -8.42 -11.04
20091204 11100 11101 -0.24 0.05 2.45 1.54
20100408 11100 11101 0.67 2.13 -6.37 -9.79
20101227 11100 11101 0.08 1.14 3.34 4.47
20110210 11100 11101 0.55 1.40 -2.02 2.67
20110512 11100 11101 ? ? ? ?

#UP-DN = 25-15 27-13 26-14 29-11
AVG%CHG= 0.12 0.44 0.44 2.76
MED%CHG= 0.12 0.76 1.39 3.29

There has not been a 1% move in either direction on the following day after this setup since 1988.

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