The Average Investor's Blog

A software developer view on the markets

S&P 500 10 month MA action preview

Posted by The Average Investor on Oct 30, 2011

Monday is the last trading day of October. At the beginning of the month it was hard to foresee a position change at the end October, because the index would need to close a whopping 14.03% above the the close of September 30, 2011. Now, with one trading day to go, the impossible has become a reality, a close above $1,290.14, up only 0.39% from the close on Friday, will put the S&P 500 above its 10-month moving average.

The number on the SPY is a bit different. This ETF needs to close at or above $130.15, about 1.20% above Friday’s close, to end the month above its 10-month moving average. Not impossible, but certainly more unlikely.

Let’s see what tomorrow brings.

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2 Responses to “S&P 500 10 month MA action preview”

  1. martin bauer said

    Hi,

    Not sure why but please double check your figures. Are you using Total Return SPX ???
    According to http://stockcharts.com/h-sc/ui?s=SPX 0 MA 200 is currently close to 1274

    I have checked the data with yahoo and R and seeing 1274 too

    Not using daily data but monthly instead – the level should be 1287 for MA 10

    The other part which puzzles me too why should the SPY has to move 1.2% to close above MA. As SPY is tracking GSPC the crossover should be very similar

    by the way did I mention I like your blog a lot !!!!

    • Hi Martin,

      Glad you like the blog!

      In this post I am discussing the 10-month SMA (your chart seems to work with the 200 day SMA). Here is an example how to verify the position on the 10-month SMA for GSPC:

      getSymbols("^GSPC", from="1900-01-01")
      
      # aggregate monthly, careful Sep
      # has only 30 days, it's a bug to
      # specify /2011-09-31 below.
      mm = aggregate( Cl(GSPC)["/2011-09-30"], as.yearmon, tail, 1 )
      
      # get the last 9 values
      mm = as.vector( tail( mm, 9 ) )
      
      # test a close of 1290.14
      mm[10] = 1290.14
      tail( SMA( mm, 10 ), 1 )
      # produced 1290.135 which is less than the
      # close, thus the close is a buy
      
      # test a close of 1290.13
      mm[10] = 1290.13
      tail( SMA( mm, 10 ), 1 )
      # produced 1290.134 which is above the
      # close, thus close is NOT a buy
      

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