largest employers stock price action on employment report

largest employers stock price action on Employment Report

New Job Statistics

image courtesy :http://www.cagle.com/members/news/unemployment-down/

With the Non Farm Payrolls (NFP) report releasing in few hours , and ignoring the what economists are exceptions of the job growth for the month of August, using price action and bit of brute force here we go

NFP  Background :

Non Farm Payrolls (NFP) measures the change in the number of people employed during the previous month, excluding the farming industry. Job creation is the foremost indicator of consumer spending, which accounts for the majority of economic activity.

Source Of Report: Bureau of Labor Statistics (Release URL)

with the help of the this article to identify the largest employers and adding the two most popular tickers on stocktwits $AAPL and $GOOG ,

a look at how $WMT $YUM $MCD $IBM $UPS $TGT $KR $HD $HPQ $GE $AAPL $GOOG, fared overnight , from open to close , and full day change for the longs ,  on NFP Data Release day since Nov 2008.

$WMT $YUM $MCD $IBM $UPS $TGT  $KR $HD $HPQ $GE $AAPL $GOOG on NFP Data Release day since Nov 2008

  • # total : total number of NFP releases from Nov 2008 to Aug 2013 ( it just that  while running the macro , we mis-typed Nov 2008 instead of Jan 2009 , as there were two trading holidays days on 06-Apr-12 02-Apr-10, when the NFP data was released )
  • Wins: Number of  win trades  for the longs
  • Losses: Number of loss trades for the longs
  • %Wins: Number of wins divided by number of losses
  • Avg Change % : Average Change %
  • Median Change % : Median Change %
  • Avg Win % : Average Change % for the winners
  • Avg Loss % : Average Change % for the losers
  • Avg Win / Avg Loss (%) : pay off ratio , if more than 1.25  better for longs , if less than 0.75 , flip it and go short, provided %win rate is in your favor
  • Max % : Maximum win% ( not going to happen when one starts real trading based on the back tested data)
  • Min % : Maximum loss % ( more than likely to happen , when one starts real trading based on the back tested data)

various trading strategies explanation :

  • Over Night Gap  : assuming one had entered the trade at close on the day before NFP data release and exit at open on NFP data release release day.
  • Change From Open : assuming one had entered the trade at open on the day of NFP data release and exit at close on NFP data release release day.
  • Full Day Change : assuming one had entered the trade at close on the previous day of NFP data release and exit at close on NFP data release release day.

Ticker Details:

Ticker
Company Sector Industry
AAPL Apple Inc. Consumer Goods Electronic Equipment
GE General Electric Company Industrial Goods Diversified Machinery
GOOG Google Inc. Technology Internet Information Providers
HD The Home Depot, Inc. Services Home Improvement Stores
HPQ Hewlett-Packard Company Technology Diversified Computer Systems
IBM International Business Machines Corp. Technology Information Technology Services
KR The Kroger Co. Services Grocery Stores
MCD McDonald’s Corp. Services Restaurants
TGT Target Corp. Services Discount, Variety Stores
UPS United Parcel Service, Inc. Services Air Delivery & Freight Services
WMT Wal-Mart Stores Inc. Services Department Stores
YUM Yum! Brands, Inc. Services Restaurants

you might want to download the NFP Data Excel file for your offline analysis purposes from (paststat’s google drive , no login required here NFP Data ) , and lets us know if you have found any good trading strategy

pls do us favor by click to tweet to us 

you might want to consider subscribing to our daily quant rants email  !! 

{self promo } check out Quant-Ideas ( starting from $ 34.95 per month) to aid the short term traders to find high probability winning trades,use “SUMMER” code ( ends by Sunday) as an end of summer special sale , to get 20% discount 

Leave a Reply