The Average Investor's Blog

A software developer view on the markets

S&P 500 10 month SMA action preview

Posted by The Average Investor on Nov 30, 2011

Today is the last trading day for the month and the markets are exploding, so are we close to the S&P 500 closing above its 10-month (or 12-month) moving average? The answer is negative. Unless the SPY (the most liquid S&P 500 ETF) closes at $128.81 or higher, we will still end November below the 10-month SMA. This is 7.23% higher than Thursday’s close. Not quite likely, but hey, put a LOC (limit order at the close) in your Interactive Brokers account.

To compute these values, I use a parallel approach to the one shown for the DVI indicator. The code will be posted soon, but right now I am quite busy with some improvements on the ARMA/GARCH strategies.

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