Oct

2

First Day of the Month

October 2, 2021 |

Zubin Al Genubi writes:

bullish tendency

Larry Williams cautions:

Yes but not very much for october

Big Al starts the analysis:

Simple test on SPY, all dates thru Sept, 2021, comparing first days of the month to all days:

All days
count: 7171
mean % move: 0.04%
sd: 1.19%

FDOM
count: 341
mean % move: 0.25%
sd: 1.31%
z vs all: 3.28

Steve Ellison digs deeper:

Last 36 first days of the month, enough for significance and equal month weightings, but a short enough lookback to allow for ever-changing cycles, especially from prior knowledge of those who worked for the Chair: The average first day of the month is positive, but not significantly different from the overall upward drift of this period, t=0.68.

Date // Net change
10/01/2018 0.4%
11/01/2018 1.0%
12/03/2018 1.2%
01/02/2019 0.2%
02/01/2019 0.0%
03/01/2019 0.7%
04/01/2019 1.2%
05/01/2019 -0.9%
06/03/2019 -0.1%
07/01/2019 0.8%
08/01/2019 -1.0%
09/03/2019 -0.6%
10/01/2019 -1.4%
11/01/2019 0.9%
12/02/2019 -0.9%
01/02/2020 0.9%
02/03/2020 0.7%
03/02/2020 3.9%
04/01/2020 -4.7%
05/01/2020 -2.8%
06/01/2020 0.4%
07/01/2020 0.4%
08/03/2020 0.8%
09/01/2020 0.8%
10/01/2020 0.5%
11/02/2020 1.1%
12/01/2020 1.0%
01/04/2021 -1.5%
02/01/2021 1.6%
03/01/2021 2.3%
04/01/2021 1.1%
05/03/2021 0.3%
06/01/2021 -0.1%
07/01/2021 0.5%
08/02/2021 -0.2%
09/01/2021 0.0%

Average 0.2%
Standard deviation 1.4%
n 36
t 0.68
Average of all days 0.1%

Big Al continues:

Prompted by Steve's analysis, here is SPY broken into two-year periods, with September as the ending month. Shows the z of the FDOM moves for that period vs the SPY daily % moves for that period.

2yr end // z of FDOM
Sep-2021 0.69
Sep-2019 0.14
Sep-2017 1.67
Sep-2015 (1.18)
Sep-2013 0.16
Sep-2011 1.67
Sep-2009 (0.18)
Sep-2007 1.68
Sep-2005 2.88
Sep-2003 0.99
Sep-2001 0.85
Sep-1999 2.64
Sep-1997 2.56
Sep-1995 (1.23)


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