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Strategies & Market Trends : YEEHAW CANDIDATES -- Ignore unavailable to you. Want to Upgrade?

To: Galirayo who wrote (14090)	12/27/2005 9:53:35 PM
From: Sergio H	Read Replies (1) \| Respond to of 23958

A look at the numbers for the xmas-new year period, from Trading Markets.com: Here's what to expect this week By Brett Steenbarger TradingMarkets.com December 27, 2005 8:00 AM ET \| View Archives \| Print \| E-mail this page to a friend \| One of the questions traders ask at the end of the year is whether or not it's worth trading that final week between the Christmas and New Year's holidays. My friend Doug Hirschhorn, who has begun a trading blog, uses the example of Ted Williams to address this question. When given the opportunity to pull himself out of the last game of the year to preserve his .400 batting average, Williams refused--and then preceded to improve on his average. He felt opportunity, and he went after it. How much opportunity is there during the holiday week? Going back to 1990, we have had 63 trading days during these weeks. My trusty database tells me that 57 out of those 63 days traded below the most recent 200-day volume average--22% lower volume on average, to be specific. This is important because volume correlates strongly with volatility--and that correlates strongly with the opportunity that short-term traders are likely to find in the market. A look at the data finds that 53 of the 63 days traded with ranges smaller than the 200-day average: about 26% below average. Interestingly, the holiday periods always seem to trade at a fraction of the volatility and volume of the previous year, but it is not the same fraction. Comparing years that have been high vs. low in 200-day volatility with a median split, we find that holiday weeks trade, on average, 36% below normal volatility during high volatility times and 18% below normal volatility during low volatility periods. This means that the difference between holiday trade and normal trade during low volatility periods such as the current one is less than the difference during high volatility times. Finally with respect to price change, we can see that, of the 63 holiday week trading days, 39 were higher on the day and 24 lower for an average price change of .15%.For the 1990-2004 sample overall, the average price change was .04% (N = 3585; 1879 up, 1706 down). Holiday weeks, it would seem, have a bit of a bullish bent. I notice, however, that this bullish tendency has been greater during high volatility times than low volatility ones. During high volatility periods, the average daily price change during holiday weeks has been .20% (22 up, 10 down). At low volatility periods (such as the current one), the average daily change has been .09% (17 up, 14 down). So is there opportunity at the end of the year? In terms of market movement, probably about 20% less than we've seen over the past 200 days. In terms of directional change, no real bullish edge at this low volatility juncture. Tempering expectations seems like the best trading strategy for the week ahead.