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"We are experiencing technical difficulties..."
Unfortuantely, this past weekend, i began receiving RAID failure errors on my system that is home to most of my software. I was able to get her back up, but unfortunately she does not say up long enough to do much. I have since ordered a new system. I expect it to be here within a week. Hopefully i'll be back up shortly.
Friday, October 30, 2009
Monday, October 26, 2009
Large DJT Declines In An Uptrend = ST Bullish
The Dow Jones Transportation Index has been been lagging the broader market significantly recently. On Friday, it dropped 3.4%, it's largest decline in two months. Since 1990, when the DJT has declined more than 3% while the S&P is in an intermediate term uptrend (defined as 50MA > 200MA), it has paid to buy the S&P. There have been 32 such cases. In 28 cases (or 87.5%), the S&P was trading higher within 3 days.
(Note: column '3Day+' displays the number of days it took the S&P to close higher within the next 3 days. a value of 0 indicates the market did not close higher within 3 days)
| Ticker | Date/Time | Close | 3Day+ | %Chg N1 | %Chg N2 | %Chg N3 |
|---|---|---|---|---|---|---|
| SP500 | 10/23/2009 | 1,079.60 | 0.00 | 0.00 | 0.00 | 0.00 |
| SP500 | 8/17/2009 | 979.73 | 1.00 | 1.01 | 1.71 | 2.82 |
| SP500 | 7/7/2009 | 881.03 | 2.00 | -0.17 | 0.19 | -0.22 |
| SP500 | 7/2/2009 | 896.42 | 1.00 | 0.26 | -1.72 | -1.88 |
| SP500 | 12/11/2007 | 1,477.65 | 1.00 | 0.61 | 0.73 | -0.66 |
| SP500 | 11/7/2007 | 1,475.62 | 0.00 | -0.06 | -1.49 | -2.47 |
| SP500 | 8/15/2007 | 1,406.70 | 1.00 | 0.32 | 2.79 | 2.76 |
| SP500 | 8/14/2007 | 1,426.54 | 3.00 | -1.39 | -1.07 | 1.36 |
| SP500 | 8/3/2007 | 1,433.06 | 1.00 | 2.42 | 3.05 | 4.50 |
| SP500 | 2/27/2007 | 1,399.04 | 1.00 | 0.56 | 0.30 | -0.85 |
| SP500 | 6/23/2005 | 1,200.73 | 3.00 | -0.76 | -0.84 | 0.07 |
| SP500 | 4/14/2005 | 1,162.05 | 0.00 | -1.67 | -1.38 | -0.80 |
| SP500 | 4/8/2005 | 1,181.20 | 1.00 | 0.00 | 0.56 | -0.63 |
| SP500 | 8/23/2000 | 1,505.97 | 1.00 | 0.16 | 0.03 | 0.54 |
| SP500 | 7/19/2000 | 1,481.96 | 1.00 | 0.92 | -0.12 | -1.19 |
| SP500 | 5/25/2000 | 1,381.52 | 2.00 | -0.25 | 2.96 | 2.83 |
| SP500 | 4/14/2000 | 1,356.56 | 1.00 | 3.31 | 6.27 | 5.23 |
| SP500 | 3/7/2000 | 1,355.62 | 1.00 | 0.82 | 3.40 | 2.91 |
| SP500 | 11/17/1999 | 1,410.71 | 1.00 | 1.01 | 0.80 | 0.73 |
| SP500 | 9/16/1999 | 1,318.48 | 1.00 | 1.28 | 1.29 | -0.83 |
| SP500 | 8/27/1998 | 1,042.59 | 0.00 | -1.48 | -8.18 | -4.64 |
| SP500 | 8/4/1998 | 1,072.12 | 1.00 | 0.87 | 1.63 | 1.62 |
| SP500 | 4/27/1998 | 1,086.54 | 2.00 | -0.13 | 0.74 | 2.32 |
| SP500 | 10/27/1997 | 876.99 | 1.00 | 5.12 | 4.81 | 3.04 |
| SP500 | 7/15/1996 | 629.80 | 2.00 | -0.23 | 0.68 | 2.18 |
| SP500 | 2/16/1993 | 433.91 | 3.00 | -0.14 | -0.46 | 0.07 |
| SP500 | 4/7/1992 | 398.06 | 2.00 | -0.89 | 0.65 | 1.57 |
| SP500 | 11/15/1991 | 382.62 | 1.00 | 0.68 | -0.84 | -1.07 |
| SP500 | 8/19/1991 | 376.47 | 1.00 | 0.79 | 3.75 | 3.95 |
| SP500 | 8/23/1990 | 307.06 | 1.00 | 1.45 | 4.68 | 4.65 |
| SP500 | 8/6/1990 | 334.43 | 1.00 | 0.12 | 1.17 | 1.65 |
| SP500 | 8/3/1990 | 344.86 | 0.00 | -3.02 | -2.91 | -1.89 |
| SP500 | 1/30/1990 | 322.98 | 1.00 | 1.89 | 1.80 | 2.46 |
Relatively Large Range Days In An Uptrend...
Over the past three days, the S&P 500 has traded in a range that exceeded 1.8% of it's previous day's close. Looking back for similar instances in an intermediate term up trend (50MA > 200MA), we find 16 occurrences. in 13 cases (or 81.25%), the S&P was trading higher the very next day. That is significantly higher than the 52% odds of higher random next day close.
It is also interesting to note from the table below that om 14 of the 16 cases (87.5%) the market has generally traded significantly higher 40 trading days out (2 months). Of course, as can be seen by observing the dates, the bulking of these signals occurred during the dot net bubble.
| Ticker | Date/Time | Close | Day+ | %Chg N1 | %Chg N40 |
|---|---|---|---|---|---|
| SP500 | 10/23/2009 | 1,079.60 | 0.00 | 0.00 | 0.00 |
| SP500 | 8/16/2007 | 1,411.27 | 1.00 | 2.46 | 10.67 |
| SP500 | 8/7/2007 | 1,476.71 | 1.00 | 1.41 | 4.26 |
| SP500 | 10/26/2000 | 1,364.44 | 1.00 | 1.11 | -4.29 |
| SP500 | 10/19/2000 | 1,388.76 | 1.00 | 0.59 | -5.52 |
| SP500 | 10/13/2000 | 1,374.17 | 1.00 | 0.03 | 0.44 |
| SP500 | 5/23/2000 | 1,373.86 | 1.00 | 1.83 | 8.86 |
| SP500 | 5/11/2000 | 1,407.81 | 1.00 | 0.93 | 4.82 |
| SP500 | 4/14/2000 | 1,356.56 | 1.00 | 3.31 | 8.32 |
| SP500 | 3/15/2000 | 1,392.14 | 1.00 | 4.76 | 1.13 |
| SP500 | 3/9/2000 | 1,401.69 | 0.00 | -0.47 | 2.21 |
| SP500 | 2/23/2000 | 1,360.69 | 0.00 | -0.53 | 4.91 |
| SP500 | 1/31/2000 | 1,394.46 | 1.00 | 1.06 | 8.12 |
| SP500 | 1/5/2000 | 1,402.11 | 1.00 | 0.10 | 0.50 |
| SP500 | 10/21/1999 | 1,283.61 | 1.00 | 1.41 | 10.71 |
| SP500 | 5/26/1999 | 1,304.76 | 0.00 | -1.79 | 4.00 |
| SP500 | 1/14/1999 | 1,212.19 | 1.00 | 2.56 | 7.84 |
Friday, October 23, 2009
USD Lower Lows Signals S&P Short Term Buy
Looking at the chart of the US dollar(on a closing basis) from the 2007 to present shows that the S&P and the dollar have been moving inversely in what appears to be lock steps. This is interesting to me because it was 2007 where we topped and eventually began a decline that would lead us into a recession. Since 2007, in a trending market (defined by the S&P 50 MA trading above the 200MA), when the dollar has made a new 40 day low, but the S&P did not make a 40 day high , the S&P typically goes on to make a higher high within 3 days .
- There have been 49 prior instances since 2007. In 44 cases (or 89.8%) , the market went on to make a higher high within 3 days.
- In 41 cases (83.7%) of the times, the market closed higher within two days.
(Note: column '3Day+' displays the number of days it took the S&P to close higher within the next 3 days. a value of 0 indicates the market did not close higher within 3 days)
Ticker | Date/Time | 3Day+ | %Chg N1 | %Chg N2 | %Chg N3 |
|---|---|---|---|---|---|
SP500 | 10/22/2009 | 0.00 | 0.00 | 0.00 | 0.00 |
SP500 | 10/21/2009 | 1.00 | 1.06 | 1.06 | 1.06 |
SP500 | 10/13/2009 | 1.00 | 1.75 | 2.18 | 1.35 |
SP500 | 10/8/2009 | 1.00 | 0.56 | 1.01 | 0.72 |
SP500 | 9/17/2009 | 1.00 | 0.26 | -0.08 | 0.58 |
SP500 | 9/11/2009 | 1.00 | 0.63 | 0.95 | 2.50 |
SP500 | 9/8/2009 | 1.00 | 0.78 | 1.83 | 1.69 |
SP500 | 8/5/2009 | 2.00 | -0.56 | 0.77 | 0.44 |
SP500 | 11/26/2007 | 1.00 | 1.49 | 4.39 | 4.44 |
SP500 | 11/23/2007 | 3.00 | -2.32 | -0.87 | 1.97 |
SP500 | 11/21/2007 | 1.00 | 1.69 | -0.67 | 0.81 |
SP500 | 11/20/2007 | 2.00 | -1.59 | 0.07 | -2.26 |
SP500 | 11/9/2007 | 2.00 | -1.00 | 1.88 | 1.16 |
SP500 | 11/8/2007 | 3.00 | -1.43 | -2.41 | 0.43 |
SP500 | 11/7/2007 | 0.00 | -0.06 | -1.49 | -2.47 |
SP500 | 11/6/2007 | 0.00 | -2.94 | -2.99 | -4.38 |
SP500 | 11/2/2007 | 2.00 | -0.50 | 0.70 | -2.25 |
SP500 | 10/31/2007 | 0.00 | -2.64 | -2.56 | -3.05 |
SP500 | 10/30/2007 | 1.00 | 1.20 | -1.47 | -1.40 |
SP500 | 10/29/2007 | 2.00 | -0.65 | 0.55 | -2.11 |
SP500 | 10/26/2007 | 1.00 | 0.37 | -0.28 | 0.92 |
SP500 | 10/25/2007 | 1.00 | 1.38 | 1.76 | 1.10 |
SP500 | 10/19/2007 | 1.00 | 0.38 | 1.26 | 1.02 |
SP500 | 10/18/2007 | 0.00 | -2.56 | -2.19 | -1.33 |
SP500 | 9/28/2007 | 1.00 | 1.33 | 1.30 | 0.84 |
SP500 | 9/25/2007 | 1.00 | 0.54 | 0.93 | 0.63 |
SP500 | 9/21/2007 | 0.00 | -0.53 | -0.56 | -0.02 |
SP500 | 9/20/2007 | 1.00 | 0.46 | -0.07 | -0.10 |
SP500 | 9/12/2007 | 1.00 | 0.84 | 0.86 | 0.35 |
SP500 | 9/11/2007 | 1.00 | 0.00 | 0.85 | 0.87 |
SP500 | 9/10/2007 | 1.00 | 1.36 | 1.37 | 2.22 |
SP500 | 9/7/2007 | 2.00 | -0.13 | 1.23 | 1.24 |
SP500 | 7/24/2007 | 1.00 | 0.47 | -1.88 | -3.45 |
SP500 | 7/20/2007 | 1.00 | 0.49 | -1.50 | -1.04 |
SP500 | 7/18/2007 | 1.00 | 0.45 | -0.78 | -0.30 |
SP500 | 7/16/2007 | 3.00 | -0.01 | -0.22 | 0.23 |
SP500 | 7/11/2007 | 1.00 | 1.91 | 2.22 | 2.03 |
SP500 | 7/10/2007 | 1.00 | 0.57 | 2.49 | 2.81 |
SP500 | 7/2/2007 | 1.00 | 0.36 | 0.39 | 0.72 |
SP500 | 4/30/2007 | 1.00 | 0.27 | 0.91 | 1.35 |
SP500 | 4/24/2007 | 1.00 | 1.01 | 0.93 | 0.92 |
SP500 | 4/19/2007 | 1.00 | 0.93 | 0.69 | 0.66 |
SP500 | 4/13/2007 | 1.00 | 1.07 | 1.28 | 1.35 |
SP500 | 4/12/2007 | 1.00 | 0.35 | 1.42 | 1.64 |
SP500 | 4/11/2007 | 1.00 | 0.62 | 0.97 | 2.05 |
SP500 | 4/5/2007 | 1.00 | 0.06 | 0.32 | -0.34 |
SP500 | 3/21/2007 | 2.00 | -0.03 | 0.07 | 0.17 |
SP500 | 3/20/2007 | 1.00 | 1.71 | 1.67 | 1.78 |
SP500 | 3/16/2007 | 1.00 | 1.09 | 1.73 | 3.47 |
SP500 | 2/27/2007 | 1.00 | 0.56 | 0.30 | -0.85 |
Wednesday, October 21, 2009
Using Immediate DJT Confirmation of New Dow Highs as a Short Term Buy
There are two interesting observations related to Dow new highs that are immediately followed by Dow Jones Transportation Index new highs. One pertains to the longer term new high (1 year), and the other more interesting observation is using a shorter period new high.
Yesterday the Dow made a 1 year closing high. Today, while the Dow Jones Transportation Index did not make it's one year high as yet, it did make a 200 day high (241 to be exact). Since 1929, this pattern has occurred only 20 times, with the Dow trading up 19 times within 3 days (18 of those occurred within 2 days).
Relaxing the critierias a little, we find that looking for DJT confirmation over a short period provides similarly impressive odds. When the Dow has made a new 40 day high, followed immediately the next day by the DJT printing a new 40 day high as well, it has often led to a higher high in the Dow within the next 1 to 3 days. There have been 46 similar occurrences since 1929. In 42 cases (or 91.3%), the Dow was trading higher within 3 days. In 38 cases (or 82.6% of the time) the Dow was trading higher within 2 days.
Yesterday the Dow made a 1 year closing high. Today, while the Dow Jones Transportation Index did not make it's one year high as yet, it did make a 200 day high (241 to be exact). Since 1929, this pattern has occurred only 20 times, with the Dow trading up 19 times within 3 days (18 of those occurred within 2 days).
Relaxing the critierias a little, we find that looking for DJT confirmation over a short period provides similarly impressive odds. When the Dow has made a new 40 day high, followed immediately the next day by the DJT printing a new 40 day high as well, it has often led to a higher high in the Dow within the next 1 to 3 days. There have been 46 similar occurrences since 1929. In 42 cases (or 91.3%), the Dow was trading higher within 3 days. In 38 cases (or 82.6% of the time) the Dow was trading higher within 2 days.
| Ticker | Date/Time | Close | 3Day+ | %Chg N1 | %Chg N2 | %Chg N3 |
|---|---|---|---|---|---|---|
| DJI | 10/20/2009 | 10,041.48 | 0.00 | 0.00 | 0.00 | 0.00 |
| DJI | 4/30/2009 | 8,168.12 | 1.00 | 0.54 | 3.17 | 2.97 |
| DJI | 5/31/2007 | 13,627.64 | 1.00 | 0.30 | 0.36 | -0.24 |
| DJI | 5/3/2006 | 11,400.28 | 1.00 | 0.34 | 1.56 | 1.62 |
| DJI | 4/24/2006 | 11,336.32 | 2.00 | -0.47 | 0.16 | 0.41 |
| DJI | 4/3/1998 | 8,983.41 | 1.00 | 0.55 | -0.30 | -1.02 |
| DJI | 11/18/1996 | 6,346.91 | 1.00 | 0.80 | 1.31 | 1.13 |
| DJI | 10/15/1996 | 6,004.78 | 1.00 | 0.27 | 0.91 | 1.49 |
| DJI | 11/6/1995 | 4,814.01 | 2.00 | -0.35 | 0.80 | 1.04 |
| DJI | 1/6/1992 | 3,200.13 | 1.00 | 0.15 | 0.12 | 0.29 |
| DJI | 9/5/1989 | 2,744.68 | 0.00 | -0.91 | -1.38 | -1.28 |
| DJI | 7/28/1989 | 2,635.24 | 1.00 | 0.96 | 0.22 | 0.84 |
| DJI | 7/24/1989 | 2,584.98 | 2.00 | -0.07 | 1.09 | 1.95 |
| DJI | 8/14/1987 | 2,685.43 | 1.00 | 0.56 | -1.15 | -0.73 |
| DJI | 8/7/1987 | 2,592.00 | 1.00 | 1.69 | 3.41 | 2.98 |
| DJI | 11/29/1985 | 1,472.13 | 3.00 | -0.97 | -0.89 | 0.83 |
| DJI | 1/11/1980 | 858.53 | 1.00 | 0.59 | 1.17 | 0.78 |
| DJI | 3/23/1979 | 859.75 | 2.00 | -0.57 | 1.35 | 0.76 |
| DJI | 11/6/1974 | 669.12 | 1.00 | 0.42 | -0.29 | 0.53 |
| DJI | 3/2/1972 | 933.77 | 1.00 | 0.93 | 1.76 | 1.40 |
| DJI | 1/10/1966 | 985.41 | 1.00 | 0.15 | -0.15 | 0.03 |
| DJI | 9/21/1965 | 926.52 | 1.00 | 0.55 | 0.10 | 0.33 |
| DJI | 6/10/1960 | 654.88 | 1.00 | 0.15 | 0.00 | -0.83 |
| DJI | 1/4/1960 | 679.06 | 1.00 | 0.94 | 0.52 | -0.21 |
| DJI | 7/8/1958 | 480.00 | 3.00 | -0.50 | -0.21 | 0.59 |
| DJI | 6/5/1958 | 468.55 | 1.00 | 0.22 | 0.19 | -0.08 |
| DJI | 4/25/1957 | 492.29 | 2.00 | -0.16 | 0.34 | 0.42 |
| DJI | 4/4/1957 | 477.43 | 1.00 | 0.04 | 0.34 | 1.10 |
| DJI | 7/23/1956 | 513.61 | 2.00 | -0.09 | 0.10 | 0.44 |
| DJI | 9/7/1955 | 475.20 | 3.00 | -0.03 | -0.13 | 0.28 |
| DJI | 7/7/1954 | 340.34 | 2.00 | -0.16 | 0.27 | 0.17 |
| DJI | 5/19/1954 | 323.21 | 1.00 | 0.21 | 0.89 | 0.89 |
| DJI | 11/6/1953 | 278.83 | 0.00 | -0.20 | -1.05 | -0.93 |
| DJI | 11/10/1952 | 273.47 | 0.00 | -0.55 | -0.34 | -0.07 |
| DJI | 9/6/1951 | 272.28 | 1.00 | 0.59 | 1.09 | 0.59 |
| DJI | 10/17/1947 | 183.52 | 1.00 | 0.96 | 0.86 | 0.46 |
| DJI | 12/4/1945 | 193.06 | 1.00 | 0.01 | 0.40 | 0.53 |
| DJI | 10/9/1945 | 185.43 | 1.00 | 0.33 | 0.16 | 0.04 |
| DJI | 7/6/1944 | 149.07 | 1.00 | 0.19 | 0.96 | 0.74 |
| DJI | 9/29/1942 | 109.24 | 2.00 | -0.12 | 0.38 | 1.46 |
| DJI | 7/14/1941 | 127.89 | 1.00 | 0.23 | -0.05 | -0.59 |
| DJI | 10/6/1938 | 148.10 | 1.00 | 0.21 | 0.98 | 0.88 |
| DJI | 1/19/1937 | 184.02 | 1.00 | 1.05 | 1.57 | 1.36 |
| DJI | 4/23/1935 | 110.06 | 2.00 | -0.55 | 0.37 | 0.28 |
| DJI | 4/21/1933 | 69.78 | 1.00 | 5.60 | 3.83 | 4.10 |
| DJI | 2/14/1930 | 271.52 | 0.00 | -0.36 | -0.29 | -1.13 |
| DJI | 8/26/1929 | 374.46 | 3.00 | -0.18 | -0.64 | 0.46 |
Bullish Relationship Between S&P and Nasdaq 100 Relative Performance
The study presented yesterday that argued for a lower close based on the relative performance between the BXK and the S&P was successfully fulfilled today. Interestingly, today we have a similar study that argues for a higher close based on the relative performance between the Nasdaq 100 and the S&P. Both The S&P 500 and the Nasdaq 100 finished lower today, however the S&P underperformed by more than 0.5%. Over the past decade, there have been 74 similar occurrences. In 61 cases (or 82.4% of the time) , the S&P 500 was trading higher within 3 days. In 57 cases (or 77%), the S&P was trading higher within two days. That is still notably better than the 65% random odds of a higher close within 2 days. The table below shows all occurrences since 2007.
(Note: column '3Day+' displays the number of days it took the S&P to close higher within the next 3 days. a value of 0 indicates the market did not close higher within 3 days)
(Note: column '3Day+' displays the number of days it took the S&P to close higher within the next 3 days. a value of 0 indicates the market did not close higher within 3 days)
| Ticker | Date/Time | Close | S&P %Chg | NDX %Chg | 3Day+ | %Chg N1 | %Chg N2 | %Chg N3 |
|---|---|---|---|---|---|---|---|---|
| SP500 | 10/20/2009 | 1,091.06 | -0.62 | -0.03 | 0.00 | 0.00 | 0.00 | 0.00 |
| SP500 | 7/2/2009 | 896.42 | -2.91 | -2.37 | 1.00 | 0.26 | -1.72 | -1.88 |
| SP500 | 6/3/2009 | 931.76 | -1.37 | -0.33 | 1.00 | 1.15 | 0.89 | 0.79 |
| SP500 | 5/27/2009 | 893.06 | -1.90 | -0.76 | 1.00 | 1.54 | 2.92 | 5.58 |
| SP500 | 5/15/2009 | 882.88 | -1.14 | -0.34 | 1.00 | 3.04 | 2.86 | 2.33 |
| SP500 | 4/27/2009 | 857.51 | -1.01 | -0.24 | 2.00 | -0.27 | 1.88 | 1.78 |
| SP500 | 4/20/2009 | 832.39 | -4.28 | -3.29 | 1.00 | 2.13 | 1.34 | 2.35 |
| SP500 | 4/14/2009 | 841.50 | -2.01 | -1.07 | 1.00 | 1.25 | 2.83 | 3.34 |
| SP500 | 4/6/2009 | 835.48 | -0.83 | -0.23 | 3.00 | -2.39 | -1.24 | 2.52 |
| SP500 | 3/30/2009 | 787.53 | -3.48 | -2.45 | 1.00 | 1.31 | 2.99 | 5.95 |
| SP500 | 3/20/2009 | 768.54 | -1.98 | -1.41 | 1.00 | 7.08 | 4.89 | 5.90 |
| SP500 | 3/19/2009 | 784.04 | -1.30 | -0.23 | 2.00 | -1.98 | 4.96 | 2.82 |
| SP500 | 3/5/2009 | 682.55 | -4.25 | -3.22 | 1.00 | 0.12 | -0.88 | 5.43 |
| SP500 | 3/2/2009 | 700.82 | -4.66 | -3.61 | 2.00 | -0.64 | 1.72 | -2.61 |
| SP500 | 2/27/2009 | 735.09 | -2.36 | -0.90 | 0.00 | -4.66 | -5.27 | -3.02 |
| SP500 | 2/17/2009 | 789.17 | -4.56 | -4.03 | 0.00 | -0.10 | -1.30 | -2.42 |
| SP500 | 2/13/2009 | 826.84 | -1.00 | -0.48 | 0.00 | -4.56 | -4.65 | -5.79 |
| SP500 | 2/10/2009 | 827.16 | -4.91 | -4.09 | 1.00 | 0.80 | 0.97 | -0.04 |
| SP500 | 2/4/2009 | 832.23 | -0.75 | -0.02 | 1.00 | 1.64 | 4.37 | 4.53 |
| SP500 | 1/29/2009 | 845.14 | -3.31 | -2.59 | 0.00 | -2.28 | -2.33 | -0.78 |
| SP500 | 12/9/2008 | 888.67 | -2.31 | -1.03 | 1.00 | 1.19 | -1.70 | -1.01 |
| SP500 | 12/1/2008 | 816.21 | -8.93 | -7.98 | 1.00 | 3.99 | 6.68 | 3.55 |
| SP500 | 11/20/2008 | 752.44 | -6.71 | -4.70 | 1.00 | 6.32 | 13.21 | 13.95 |
| SP500 | 11/6/2008 | 904.88 | -5.03 | -4.46 | 1.00 | 2.89 | 1.58 | -0.66 |
| SP500 | 10/22/2008 | 896.78 | -6.10 | -3.61 | 1.00 | 1.26 | -2.23 | -5.34 |
| SP500 | 10/17/2008 | 940.55 | -0.62 | -0.10 | 1.00 | 4.77 | 1.54 | -4.65 |
| SP500 | 10/10/2008 | 899.22 | -1.18 | -0.42 | 1.00 | 11.58 | 10.99 | 0.96 |
| SP500 | 10/9/2008 | 909.92 | -7.62 | -4.17 | 2.00 | -1.18 | 10.27 | 9.68 |
| SP500 | 9/23/2008 | 1,188.22 | -1.56 | -1.05 | 2.00 | -0.20 | 1.76 | 2.11 |
| SP500 | 9/15/2008 | 1,192.70 | -4.71 | -3.49 | 1.00 | 1.75 | -3.04 | 1.16 |
| SP500 | 9/9/2008 | 1,224.51 | -3.41 | -2.35 | 1.00 | 0.61 | 2.00 | 2.22 |
| SP500 | 8/12/2008 | 1,289.59 | -1.21 | -0.01 | 2.00 | -0.29 | 0.26 | 0.67 |
| SP500 | 8/7/2008 | 1,266.07 | -1.79 | -0.80 | 1.00 | 2.39 | 3.10 | 1.86 |
| SP500 | 7/31/2008 | 1,267.38 | -1.31 | -0.20 | 3.00 | -0.56 | -1.45 | 1.38 |
| SP500 | 7/24/2008 | 1,252.54 | -2.31 | -1.55 | 1.00 | 0.42 | -1.45 | 0.85 |
| SP500 | 5/23/2008 | 1,375.93 | -1.32 | -0.30 | 1.00 | 0.68 | 1.08 | 1.62 |
| SP500 | 3/12/2008 | 1,308.77 | -0.90 | -0.33 | 1.00 | 0.51 | -1.58 | -2.46 |
| SP500 | 3/7/2008 | 1,293.37 | -0.84 | -0.29 | 2.00 | -1.55 | 2.11 | 1.19 |
| SP500 | 2/28/2008 | 1,367.68 | -0.89 | -0.30 | 0.00 | -2.71 | -2.66 | -2.99 |
| SP500 | 1/17/2008 | 1,333.25 | -2.91 | -1.61 | 3.00 | -0.60 | -1.71 | 0.40 |
| SP500 | 11/15/2007 | 1,451.15 | -1.32 | -0.69 | 1.00 | 0.52 | -1.23 | -0.79 |
| SP500 | 11/1/2007 | 1,508.44 | -2.64 | -1.87 | 1.00 | 0.08 | -0.42 | 0.78 |
| SP500 | 7/26/2007 | 1,482.66 | -2.33 | -1.22 | 0.00 | -1.60 | -0.59 | -1.85 |
| SP500 | 7/10/2007 | 1,510.12 | -1.42 | -0.87 | 1.00 | 0.57 | 2.49 | 2.81 |
What's interesting about this is even when both the S&P and NDX are significantly lower (more than -2%), the under performance of the S&P by just .5% still provides a positive edge.
Tuesday, October 20, 2009
Banks Under performance ST negative
The table below lists all the occurrences where the BKX closed down by 0.5% or more and the S&P closed up by 0.90% or more. As can be seen, the S&P has a tendency to close lower within 3 days, in some cases, significantly lower.
| Ticker | Date/Time | Close | Chg | 3Day- | %Chg N1 | %Chg N2 | %Chg N3 |
|---|---|---|---|---|---|---|---|
| SP500 | 10/14/1993 | 466.83 | 1.16 | 3.00 | 0.57 | 0.35 | -0.13 |
| SP500 | 3/11/1996 | 640.02 | 1.03 | 1.00 | -0.46 | -0.23 | 0.13 |
| SP500 | 4/16/1997 | 763.53 | 1.17 | 1.00 | -0.23 | 0.37 | -0.41 |
| SP500 | 12/7/1998 | 1,187.70 | 0.93 | 1.00 | -0.53 | -0.35 | -1.91 |
| SP500 | 8/25/1999 | 1,381.79 | 1.34 | 1.00 | -1.43 | -2.43 | -4.18 |
| SP500 | 11/18/1999 | 1,424.94 | 1.01 | 1.00 | -0.21 | -0.28 | -1.42 |
| SP500 | 1/10/2000 | 1,457.60 | 1.12 | 1.00 | -1.31 | -1.74 | -0.54 |
| SP500 | 2/3/2000 | 1,424.97 | 1.12 | 1.00 | -0.04 | -0.05 | 1.18 |
| SP500 | 4/6/2000 | 1,501.34 | 0.94 | 3.00 | 1.00 | 0.21 | -0.05 |
| SP500 | 4/7/2000 | 1,516.35 | 1.00 | 1.00 | -0.78 | -1.04 | -3.24 |
| SP500 | 5/16/2000 | 1,466.04 | 0.94 | 1.00 | -1.24 | -1.97 | -4.03 |
| SP500 | 1/18/2001 | 1,347.97 | 1.39 | 1.00 | -0.40 | -0.38 | 0.92 |
| SP500 | 11/6/2002 | 923.76 | 0.91 | 1.00 | -2.29 | -3.14 | -5.15 |
| SP500 | 10/23/2008 | 908.11 | 1.26 | 1.00 | -3.45 | -6.52 | 3.57 |
| SP500 | 11/18/2008 | 859.12 | 0.98 | 1.00 | -6.12 | -12.42 | -6.88 |
| SP500 | 12/10/2008 | 899.24 | 1.19 | 1.00 | -2.85 | -2.17 | -3.41 |
| SP500 | 2/3/2009 | 838.51 | 1.58 | 1.00 | -0.75 | 0.88 | 3.59 |
| SP500 | 3/4/2009 | 712.87 | 2.38 | 1.00 | -4.25 | -4.14 | -5.10 |
| SP500 | 4/8/2009 | 825.16 | 1.18 | 0.00 | 3.81 | 4.07 | 1.98 |
| SP500 | 6/1/2009 | 942.87 | 2.58 | 2.00 | 0.20 | -1.18 | -0.04 |
| SP500 | 10/19/2009 | 1,097.91 | 0.94 | 0.00 | 0.00 | 0.00 | 0.00 |
Wednesday, October 14, 2009
S&P Trading 20% Above 200MA
Well, nothing like some earnings induced 'noise' to defy the odds. I suppose in fairness, the same thing could be said in the rare chance INTC had missed and the odds discussed Sunday were proven successful. Alas, they were not and are now of the board. The RSI related signal discussed here did play out successfully with the lower close Tuesday however.
With today's powerful rally, the S&P is now trading 20%+ above it's 200MA once more. There have not been many such cases to really provide a statistical edge. But it is interesting to note that for the instances that do exist, since 1982, we have generally seen a pullback in the short term term when this has occurred. The table below shows the performance 1, 2, 3 and 10 days after the the S&P first closes more than 20% from it's 200MA:
As mentioned, there really aren't enough data here to rely on from a statistical point of view. Which may be a blessing since, given the environment we are in, one has to assume additional risk when shorting a market like this. However, it is interesting to note that the S&P 500 has only closed only once more than 23% above the 200MA. That was on 11/3/1982 and at that time the S&P was trading 23.13% above it's 200MA. This suggests that either upside is limited or that the 200MA is likely to embark on a steeper slope up.
Today the S&P also registered it's highest New 52 week high since February of 2007. From an intermediate term perspective, this appears to be bullish as can be seen from the table below, which shows the performance of the S&P 1 month later (20 trading days).
Any pullback that manifests may be a buying opportunity.
With today's powerful rally, the S&P is now trading 20%+ above it's 200MA once more. There have not been many such cases to really provide a statistical edge. But it is interesting to note that for the instances that do exist, since 1982, we have generally seen a pullback in the short term term when this has occurred. The table below shows the performance 1, 2, 3 and 10 days after the the S&P first closes more than 20% from it's 200MA:
| Ticker | Date/Time | Close | % Above 200MA | 3Day- | %Chg N1 | %Chg N2 | %Chg N3 | %Chg N10 |
|---|---|---|---|---|---|---|---|---|
| SP500 | 5/9/1975 | 90.53 | 20.05 | 0.00 | 0.09 | 1.16 | 1.92 | 0.06 |
| SP500 | 6/2/1975 | 92.58 | 21.45 | 0.00 | 0.33 | 0.02 | 0.12 | -1.21 |
| SP500 | 6/23/1975 | 93.62 | 20.50 | 0.00 | 0.61 | 1.07 | 1.27 | -0.25 |
| SP500 | 10/20/1982 | 139.23 | 21.02 | 1.00 | -0.12 | -0.29 | -4.24 | 2.61 |
| SP500 | 11/3/1982 | 142.87 | 23.13 | 1.00 | -0.71 | -0.50 | -1.70 | -3.46 |
| SP500 | 12/7/1982 | 142.72 | 20.24 | 1.00 | -0.63 | -1.91 | -2.21 | -2.88 |
| SP500 | 1/10/1983 | 146.78 | 20.26 | 1.00 | -0.68 | -0.06 | -0.72 | -4.64 |
| SP500 | 3/3/1983 | 153.48 | 20.29 | 3.00 | 0.12 | 0.12 | -1.45 | -2.53 |
| SP500 | 4/29/1983 | 164.43 | 20.46 | 1.00 | -1.41 | -1.27 | -0.68 | 0.29 |
| SP500 | 5/6/1983 | 166.10 | 20.53 | 1.00 | -0.17 | -0.09 | -0.69 | -2.38 |
| SP500 | 9/16/2009 | 1,068.76 | 20.13 | 1.00 | -0.31 | -0.04 | -0.38 | -1.09 |
| SP500 | 10/14/2009 | 1,092.02 | 20.26 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
As mentioned, there really aren't enough data here to rely on from a statistical point of view. Which may be a blessing since, given the environment we are in, one has to assume additional risk when shorting a market like this. However, it is interesting to note that the S&P 500 has only closed only once more than 23% above the 200MA. That was on 11/3/1982 and at that time the S&P was trading 23.13% above it's 200MA. This suggests that either upside is limited or that the 200MA is likely to embark on a steeper slope up.
Today the S&P also registered it's highest New 52 week high since February of 2007. From an intermediate term perspective, this appears to be bullish as can be seen from the table below, which shows the performance of the S&P 1 month later (20 trading days).
| Ticker | Date/Time | Close | New Highs | %Chg N20 |
|---|---|---|---|---|
| SP500 | 10/11/1982 | 134.47 | 653.00 | 4.44 |
| SP500 | 11/3/1982 | 142.87 | 527.00 | -2.83 |
| SP500 | 3/12/1986 | 232.54 | 498.00 | 1.68 |
| SP500 | 6/13/1997 | 893.27 | 481.00 | 2.81 |
| SP500 | 7/3/1997 | 916.92 | 537.00 | 3.30 |
| SP500 | 7/16/1997 | 936.59 | 529.00 | -1.56 |
| SP500 | 7/30/1997 | 952.29 | 485.00 | -4.05 |
| SP500 | 10/3/1997 | 965.03 | 631.00 | -5.22 |
| SP500 | 6/2/2003 | 967.00 | 530.00 | 0.78 |
| SP500 | 6/4/2003 | 986.24 | 522.00 | 0.76 |
| SP500 | 6/12/2003 | 998.51 | 465.00 | -0.04 |
| SP500 | 9/3/2003 | 1,026.27 | 493.00 | -0.78 |
| SP500 | 10/9/2003 | 1,038.73 | 496.00 | 1.86 |
| SP500 | 10/13/2003 | 1,045.35 | 475.00 | 0.17 |
| SP500 | 11/3/2003 | 1,059.02 | 503.00 | 0.72 |
| SP500 | 12/1/2003 | 1,070.12 | 627.00 | 3.69 |
| SP500 | 12/29/2003 | 1,109.48 | 623.00 | 1.71 |
| SP500 | 1/5/2004 | 1,122.22 | 615.00 | 1.23 |
| SP500 | 1/8/2004 | 1,131.92 | 495.00 | 0.96 |
| SP500 | 1/20/2004 | 1,138.77 | 536.00 | 1.15 |
| SP500 | 3/5/2004 | 1,156.86 | 467.00 | -1.30 |
| SP500 | 12/1/2004 | 1,191.37 | 468.00 | 1.86 |
| SP500 | 7/11/2005 | 1,219.44 | 488.00 | 0.30 |
| SP500 | 12/4/2006 | 1,409.12 | 503.00 | 0.65 |
| SP500 | 2/7/2007 | 1,450.02 | 465.00 | -3.32 |
| SP500 | 10/14/2009 | 1,092.02 | 462.00 | 0.00 |
Any pullback that manifests may be a buying opportunity.
Tuesday, October 13, 2009
RSI2 Overbought + New High = Short Term sell.
Over the past month, by far, i have posted more buy signals than sell. Recently (over the past couple of days) i have been seeing more and more short term sell signals crop up. The first set of such signals was discussed Sunday night and remain on the board tonight. I of the belief that any decline that results from these signals may be buying opportunities, but none the less, the fact that they are showing up in clusters does indicate the market may need a pause. I have one more short term sell signal to add to the ones already open tonight.
S&P 500 RSI(2) closed at 97.35, just under the 98 i usually scan for. However, i decided to run a study to see what the odds look like when the RSI(2) closed above 97 and the S&P has made a new high. There have been 17 previous similar setups. In 15 cases (or 88%) the S&P was trading lower within 3 days.
This suggests a close below 1076 at some point over the next 3 days.
S&P 500 RSI(2) closed at 97.35, just under the 98 i usually scan for. However, i decided to run a study to see what the odds look like when the RSI(2) closed above 97 and the S&P has made a new high. There have been 17 previous similar setups. In 15 cases (or 88%) the S&P was trading lower within 3 days.
(Note: column '3Day+' displays the number of days it took the S&P to close higher within the next 3 days. a value of 0 indicates the market did not close lower within 3 days)
| Ticker | Date/Time | Close | 3Day- | %Chg N1 | %Chg N2 | %Chg N3 |
|---|---|---|---|---|---|---|
| SP500 | 4/12/1999 | 1,358.63 | 1.00 | -0.65 | -2.22 | -2.63 |
| SP500 | 7/1/1999 | 1,380.96 | 0.00 | 0.74 | 0.52 | 1.08 |
| SP500 | 12/23/1999 | 1,458.34 | 1.00 | -0.09 | -0.05 | 0.35 |
| SP500 | 12/31/1999 | 1,469.25 | 1.00 | -0.95 | -4.75 | -4.57 |
| SP500 | 3/23/2000 | 1,527.35 | 2.00 | 0.01 | -0.23 | -1.28 |
| SP500 | 9/2/2003 | 1,021.99 | 3.00 | 0.42 | 0.59 | -0.06 |
| SP500 | 12/1/2003 | 1,070.12 | 1.00 | -0.33 | -0.50 | -0.04 |
| SP500 | 12/31/2003 | 1,111.92 | 1.00 | -0.31 | 0.93 | 1.06 |
| SP500 | 1/8/2004 | 1,131.92 | 1.00 | -0.89 | -0.41 | -0.95 |
| SP500 | 11/12/2004 | 1,184.17 | 1.00 | -0.03 | -0.74 | -0.19 |
| SP500 | 7/14/2005 | 1,226.50 | 2.00 | 0.12 | -0.44 | 0.23 |
| SP500 | 11/21/2005 | 1,254.85 | 0.00 | 0.51 | 0.86 | 1.07 |
| SP500 | 1/9/2006 | 1,290.15 | 1.00 | -0.04 | 0.31 | -0.32 |
| SP500 | 3/16/2006 | 1,305.33 | 2.00 | 0.15 | -0.02 | -0.62 |
| SP500 | 10/24/2006 | 1,377.38 | 3.00 | 0.35 | 0.85 | -0.00 |
| SP500 | 11/17/2006 | 1,401.20 | 1.00 | -0.05 | 0.11 | 0.35 |
| SP500 | 1/16/2007 | 1,431.90 | 1.00 | -0.09 | -0.39 | -0.10 |
| SP500 | 10/12/2009 | 1,076.19 | 0.00 | 0.00 | 0.00 | 0.00 |
This suggests a close below 1076 at some point over the next 3 days.
Monday, October 12, 2009
VIX and More...Short Term Negative
The setup discussed on Thursday arguing for a higher close in the short term was fulfilled successfully on Friday. In that blog entry, i also pointed to a previous gap-up related study that argued for a lower close in the short term should be close up Friday. Given that we did close up Friday, i'd like to present that study once more.
On Thursday, the S&P painted a gap and run candle (Thursday's low was higher than the previous day's high). This was followed Friday by yet another higher close. Surprisingly, since 1990, there have only been 11 similar occurrences. In 10 out of 11 cases, the market was trading lower within 3 days.
On Thursday, the S&P painted a gap and run candle (Thursday's low was higher than the previous day's high). This was followed Friday by yet another higher close. Surprisingly, since 1990, there have only been 11 similar occurrences. In 10 out of 11 cases, the market was trading lower within 3 days.
(Note: column '3Day+' displays the number of days it took the S&P to close higher within the next 3 days. a value of 0 indicates the market did not close lower within 3 days)
Over the past 5 days, we have seen the VXO (the 'old' VIX) decline over 20% (on a closing basis). This presents another high probability short setup. There have been 61 similar occurrences over the past decade where the VXO has retraced more than 20% in one week. In 52 cases (or 85.25% of the time) , the S&P 500 was trading lower within 3 days.
Lastly, over the past week, the VIX has moved from trading well above it's 10MA to now trading below it's 10MA by 10 percent or more. There have been 124 cases in the past decade where th VIX has closed below it's 10MA by 10% or more. In 102 cases (or 82%), the S&P 500 was trading lower within 3 days.
These studies argue for a close lower than 1071 by Wednesday.
| Ticker | Date/Time | Close | 3Day- | %Chg N1 | %Chg N2 | %Chg N3 |
|---|---|---|---|---|---|---|
| SP500 | 10/2/1990 | 315.21 | 1.00 | -1.21 | -0.80 | -1.18 |
| SP500 | 6/15/1992 | 410.29 | 1.00 | -0.48 | -1.96 | -2.27 |
| SP500 | 10/18/1996 | 710.82 | 1.00 | -0.14 | -0.60 | -0.50 |
| SP500 | 9/27/2007 | 1,531.38 | 1.00 | -0.30 | 1.02 | 1.00 |
| SP500 | 11/29/2007 | 1,469.72 | 3.00 | 0.78 | 0.18 | -0.47 |
| SP500 | 12/24/2007 | 1,496.45 | 2.00 | 0.08 | -1.35 | -1.20 |
| SP500 | 4/3/2009 | 842.50 | 1.00 | -0.83 | -3.20 | -2.06 |
| SP500 | 4/13/2009 | 858.73 | 1.00 | -2.01 | -0.78 | 0.77 |
| SP500 | 6/2/2009 | 944.74 | 1.00 | -1.37 | -0.24 | -0.49 |
| SP500 | 7/16/2009 | 940.74 | 1.00 | -0.04 | 1.10 | 1.47 |
| SP500 | 9/9/2009 | 1,033.37 | 0.00 | 1.04 | 0.91 | 1.55 |
| SP500 | 10/9/2009 | 1,071.49 | 0.00 | 0.00 | 0.00 | 0.00 |
Over the past 5 days, we have seen the VXO (the 'old' VIX) decline over 20% (on a closing basis). This presents another high probability short setup. There have been 61 similar occurrences over the past decade where the VXO has retraced more than 20% in one week. In 52 cases (or 85.25% of the time) , the S&P 500 was trading lower within 3 days.
| Ticker | Date/Time | Close | 3Day- | %Chg N1 | %Chg N2 | %Chg N3 |
|---|---|---|---|---|---|---|
| SP500 | 6/21/1999 | 1,349.00 | 1.00 | -0.97 | -1.18 | -2.46 |
| SP500 | 6/22/1999 | 1,335.88 | 1.00 | -0.21 | -1.50 | -1.54 |
| SP500 | 8/17/1999 | 1,344.16 | 1.00 | -0.84 | -1.53 | -0.56 |
| SP500 | 10/22/1999 | 1,301.65 | 1.00 | -0.62 | -1.52 | -0.38 |
| SP500 | 2/4/2000 | 1,424.37 | 1.00 | -0.01 | 1.22 | -0.89 |
| SP500 | 3/3/2000 | 1,409.17 | 1.00 | -1.27 | -3.80 | -3.01 |
| SP500 | 4/24/2000 | 1,429.86 | 0.00 | 3.33 | 2.18 | 2.45 |
| SP500 | 9/27/2001 | 1,018.61 | 0.00 | 2.19 | 1.96 | 3.21 |
| SP500 | 9/28/2001 | 1,040.94 | 1.00 | -0.23 | 1.00 | 3.01 |
| SP500 | 2/13/2002 | 1,118.51 | 1.00 | -0.18 | -1.28 | -3.14 |
| SP500 | 7/29/2002 | 898.96 | 3.00 | 0.42 | 1.41 | -1.59 |
| SP500 | 7/30/2002 | 902.78 | 2.00 | 0.98 | -2.01 | -4.27 |
| SP500 | 7/31/2002 | 911.62 | 1.00 | -2.96 | -5.20 | -8.45 |
| SP500 | 8/19/2002 | 950.70 | 1.00 | -1.40 | -0.14 | 1.26 |
| SP500 | 11/20/2002 | 914.15 | 0.00 | 2.15 | 1.79 | 2.05 |
| SP500 | 3/29/2004 | 1,122.47 | 0.00 | 0.40 | 0.33 | 0.86 |
| SP500 | 3/30/2004 | 1,127.00 | 1.00 | -0.07 | 0.46 | 1.31 |
| SP500 | 5/19/2005 | 1,191.08 | 1.00 | -0.15 | 0.23 | 0.25 |
| SP500 | 5/20/2005 | 1,189.28 | 0.00 | 0.39 | 0.40 | 0.06 |
| SP500 | 5/23/2005 | 1,193.86 | 2.00 | 0.02 | -0.32 | 0.31 |
| SP500 | 11/3/2005 | 1,219.94 | 3.00 | 0.02 | 0.24 | -0.11 |
| SP500 | 6/20/2006 | 1,240.12 | 0.00 | 0.97 | 0.44 | 0.35 |
| SP500 | 6/21/2006 | 1,252.20 | 1.00 | -0.53 | -0.61 | -0.13 |
| SP500 | 7/25/2006 | 1,268.88 | 1.00 | -0.04 | -0.45 | 0.76 |
| SP500 | 8/18/2006 | 1,302.30 | 1.00 | -0.37 | -0.27 | -0.71 |
| SP500 | 3/9/2007 | 1,402.84 | 2.00 | 0.27 | -1.77 | -1.12 |
| SP500 | 3/12/2007 | 1,406.60 | 1.00 | -2.04 | -1.38 | -1.02 |
| SP500 | 3/20/2007 | 1,410.94 | 0.00 | 1.71 | 1.67 | 1.78 |
| SP500 | 3/21/2007 | 1,435.04 | 1.00 | -0.03 | 0.07 | 0.17 |
| SP500 | 3/23/2007 | 1,436.11 | 2.00 | 0.10 | -0.52 | -1.31 |
| SP500 | 6/19/2007 | 1,533.70 | 1.00 | -1.36 | -0.75 | -2.03 |
| SP500 | 7/3/2007 | 1,524.87 | 0.00 | 0.03 | 0.37 | 0.46 |
| SP500 | 8/22/2007 | 1,464.07 | 1.00 | -0.11 | 1.05 | 0.19 |
| SP500 | 8/23/2007 | 1,462.50 | 3.00 | 1.15 | 0.29 | -2.06 |
| SP500 | 8/24/2007 | 1,479.37 | 1.00 | -0.85 | -3.18 | -1.06 |
| SP500 | 9/19/2007 | 1,529.03 | 1.00 | -0.67 | -0.21 | -0.74 |
| SP500 | 9/21/2007 | 1,525.75 | 1.00 | -0.53 | -0.56 | -0.02 |
| SP500 | 9/24/2007 | 1,517.73 | 1.00 | -0.03 | 0.51 | 0.90 |
| SP500 | 12/21/2007 | 1,484.46 | 3.00 | 0.81 | 0.89 | -0.55 |
| SP500 | 12/24/2007 | 1,496.45 | 2.00 | 0.08 | -1.35 | -1.20 |
| SP500 | 12/26/2007 | 1,497.66 | 1.00 | -1.43 | -1.28 | -1.96 |
| SP500 | 2/1/2008 | 1,395.42 | 1.00 | -1.05 | -4.21 | -4.94 |
| SP500 | 3/24/2008 | 1,349.88 | 2.00 | 0.23 | -0.65 | -1.79 |
| SP500 | 3/25/2008 | 1,352.99 | 1.00 | -0.88 | -2.01 | -2.79 |
| SP500 | 4/18/2008 | 1,390.33 | 1.00 | -0.16 | -1.04 | -0.75 |
| SP500 | 5/19/2008 | 1,426.63 | 1.00 | -0.93 | -2.52 | -2.26 |
| SP500 | 7/21/2008 | 1,260.00 | 3.00 | 1.35 | 1.76 | -0.59 |
| SP500 | 7/22/2008 | 1,277.00 | 2.00 | 0.41 | -1.92 | -1.51 |
| SP500 | 10/31/2008 | 968.75 | 1.00 | -0.25 | 3.82 | -1.65 |
| SP500 | 11/3/2008 | 966.30 | 2.00 | 4.08 | -1.40 | -6.36 |
| SP500 | 11/4/2008 | 1,005.75 | 1.00 | -5.27 | -10.03 | -7.43 |
| SP500 | 11/5/2008 | 952.77 | 1.00 | -5.03 | -2.29 | -3.52 |
| SP500 | 11/26/2008 | 887.68 | 2.00 | 0.96 | -8.05 | -4.38 |
| SP500 | 11/28/2008 | 896.24 | 1.00 | -8.93 | -5.29 | -2.85 |
| SP500 | 12/19/2008 | 887.88 | 1.00 | -1.83 | -2.78 | -2.22 |
| SP500 | 12/22/2008 | 871.63 | 1.00 | -0.97 | -0.40 | 0.13 |
| SP500 | 1/27/2009 | 845.71 | 2.00 | 3.36 | -0.07 | -2.34 |
| SP500 | 3/12/2009 | 750.74 | 0.00 | 0.77 | 0.42 | 3.65 |
| SP500 | 6/29/2009 | 927.23 | 1.00 | -0.85 | -0.42 | -3.32 |
| SP500 | 9/10/2009 | 1,044.14 | 1.00 | -0.14 | 0.50 | 0.81 |
| SP500 | 10/9/2009 | 1,071.49 | 0.00 | 0.00 | 0.00 | 0.00 |
Lastly, over the past week, the VIX has moved from trading well above it's 10MA to now trading below it's 10MA by 10 percent or more. There have been 124 cases in the past decade where th VIX has closed below it's 10MA by 10% or more. In 102 cases (or 82%), the S&P 500 was trading lower within 3 days.
These studies argue for a close lower than 1071 by Wednesday.
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