Weekly Outside Bar and NR6?

What about NR6s?

My internet service was unexpectedly down for the last two days, hence no updates...Never in my life have i had to work so hard to give someone my money! That really blew! Anyway, I have one short term and one interim term study to share. Both show a negative bias, but also indicate limited down side.

You have probably heard of an NR7 day. For those that are not familiar what that means, it is nothing more than short hand for a day's whose range (high - low) was the narrowest of the last 7 days. Well we did not get such a day today, but we may tomorrow...that remains to be seen. What about an NR6 day - is there any edge that it can offer? Well it turns out there is. Today's range was the narrowest of the last 6 while the S&P made a new high. In the past decade, there have been 40 such instances. In 34 cases (or 85% of the time), the market was trading lower within 3 days.

Ticker	Date/Time	Close	3Day-	%Chg N1	%Chg N2	%Chg N3
^GSPC	3/8/1999	1,282.73	1.00	-0.23	0.32	1.17
^GSPC	4/26/1999	1,360.04	2.00	0.20	-0.67	-1.27
^GSPC	5/13/1999	1,367.56	1.00	-2.18	-2.05	-2.50
^GSPC	7/2/1999	1,391.22	1.00	-0.22	0.33	0.23
^GSPC	7/7/1999	1,395.86	1.00	-0.10	0.53	0.23
^GSPC	7/9/1999	1,403.28	1.00	-0.30	-0.69	-0.36
^GSPC	12/22/1999	1,436.13	0.00	1.55	1.46	1.50
^GSPC	12/29/1999	1,463.46	3.00	0.07	0.40	-0.56
^GSPC	3/22/2000	1,500.64	0.00	1.78	1.79	1.55
^GSPC	6/3/2003	971.56	0.00	1.51	1.91	1.67
^GSPC	6/17/2003	1,011.66	1.00	-0.16	-1.68	-1.58
^GSPC	10/31/2003	1,050.71	0.00	0.79	0.24	0.10
^GSPC	12/12/2003	1,074.14	1.00	-0.57	0.09	0.22
^GSPC	12/17/2003	1,076.48	0.00	1.18	1.13	1.53
^GSPC	12/23/2003	1,096.02	1.00	-0.18	-0.01	1.23
^GSPC	12/30/2003	1,109.64	2.00	0.21	-0.10	1.13
^GSPC	12/23/2004	1,210.13	1.00	-0.43	0.28	0.27
^GSPC	3/7/2005	1,225.31	1.00	-0.48	-1.49	-1.31
^GSPC	8/3/2005	1,245.04	1.00	-0.74	-1.50	-1.76
^GSPC	11/25/2005	1,268.25	1.00	-0.85	-0.85	-1.48
^GSPC	1/9/2006	1,290.15	1.00	-0.04	0.31	-0.32
^GSPC	3/17/2006	1,307.25	1.00	-0.17	-0.77	-0.17
^GSPC	4/5/2006	1,311.56	1.00	-0.19	-1.22	-1.14
^GSPC	5/2/2006	1,313.21	1.00	-0.39	-0.07	0.96
^GSPC	9/27/2006	1,336.59	2.00	0.17	-0.06	-0.39
^GSPC	9/28/2006	1,338.88	1.00	-0.23	-0.56	-0.36
^GSPC	10/10/2006	1,353.42	1.00	-0.26	0.70	0.90
^GSPC	10/24/2006	1,377.38	3.00	0.35	0.85	-0.00
^GSPC	11/21/2006	1,402.81	2.00	0.23	-0.13	-1.49
^GSPC	12/5/2006	1,414.76	1.00	-0.13	-0.53	-0.35
^GSPC	1/12/2007	1,430.73	2.00	0.08	-0.01	-0.30
^GSPC	1/16/2007	1,431.90	1.00	-0.09	-0.39	-0.10
^GSPC	2/2/2007	1,448.39	1.00	-0.10	-0.03	0.11
^GSPC	2/15/2007	1,456.81	1.00	-0.09	0.20	0.06
^GSPC	5/7/2007	1,509.48	1.00	-0.12	0.21	-1.19
^GSPC	5/21/2007	1,525.10	1.00	-0.06	-0.18	-1.15
^GSPC	5/31/2007	1,530.62	0.00	0.37	0.56	0.02
^GSPC	6/2/2009	944.74	1.00	-1.37	-0.24	-0.49
^GSPC	6/12/2009	946.21	1.00	-2.38	-3.62	-3.75
^GSPC	7/27/2009	982.18	1.00	-0.26	-0.72	0.47
^GSPC	8/26/2009	1,028.12	0.00	0.00	0.00	0.00

Note that while the bias is clearly negative, except for the last few instances, generally downside has been limited.


Weekly outside day at new 10 week high

Last week the S&P the S&P painted an outside bar on the weekly chart while closing at a new 10 week high. There have only been 12 similar instances in the past decade. As you can see from the table below, the market closed lower in all cases but one within the next 3 weeks. However, observe that in the past 3 years, the declines were less than 1% were you to exit on the first weekly lower close.

Ticker	Date/Time	Close	3Day-	%Chg N1	%Chg N2	%Chg N3
^GSPC	1/8/1999	1,275.09	1.00	-2.50	-3.91	0.36
^GSPC	4/23/1999	1,356.85	1.00	-1.60	-0.87	-1.40
^GSPC	12/3/1999	1,433.30	1.00	-1.13	-0.86	1.75
^GSPC	1/4/2002	1,172.51	1.00	-2.30	-3.83	-3.35
^GSPC	12/12/2003	1,074.14	0.00	1.35	2.02	3.20
^GSPC	10/1/2004	1,131.50	1.00	-0.83	-2.06	-3.16
^GSPC	1/6/2006	1,285.45	2.00	0.17	-1.86	-0.13
^GSPC	4/21/2006	1,311.28	1.00	-0.05	1.10	-1.53
^GSPC	9/15/2006	1,319.66	1.00	-0.37	1.23	2.27
^GSPC	1/12/2007	1,430.73	1.00	-0.02	-0.60	1.23
^GSPC	2/16/2007	1,455.54	1.00	-0.30	-4.70	-3.62
^GSPC	4/18/2008	1,390.33	3.00	0.54	1.70	-0.15
^GSPC	8/21/2009	1,026.13	0.00	0.19	0.19	0.19

A quick correction...

I am referring to my previous post and not the markets(that remains to be seen i suppose). In my previous post under the commentary pertaining to the put/call, i mistakenly stated the data argued for a higher close when it should have stated 'lower close'. The table showed the correct bias however.

Anyway, these two sell signals will be removed off the board today as the market fulfilled their expectations. However we closed today with what appears to be a reversal and gravestone doji at a new high on the S&P (or close to it anyway). Conventional wisdom is that these are sell signals. I will run some studies later to see how they have held up recently...

Higher Highs, Low Put/Call readings

NDX Higher Highs - Sell
On Friday the NASDAQ 100 made a 4th consecutive higher high. In the last decade we saw this setup 113 times. In 87 cases (or 78.8% of the time), the market closed lower within 3 days. Since 2007, there were 31 instances. In 25 cases (or 80.1%) , the market closed lower within 3 days. The table below lists these instances.

(Note: column '3day-' is the number of days it took for the market to close lower. if the market did not close lower within 3 days, '0' is displayed)

Ticker	Date/Time	Close	3Day-	%Chg N1	%Chg N2	%Chg N3
^NDX	1/11/2007	1,834.86	3.00	0.54	0.41	-0.39
^NDX	3/20/2007	1,767.25	0.00	2.21	1.84	1.52
^NDX	4/9/2007	1,808.19	2.00	0.48	-0.56	0.29
^NDX	4/18/2007	1,832.39	0.00	0.00	0.74	0.97
^NDX	5/22/2007	1,916.45	1.00	-0.63	-2.18	-1.42
^NDX	6/1/2007	1,928.26	3.00	0.28	0.21	-0.70
^NDX	6/18/2007	1,944.37	1.00	-0.13	-1.14	-0.16
^NDX	7/2/2007	1,954.12	0.00	0.57	1.38	1.75
^NDX	7/17/2007	2,041.78	1.00	-0.19	0.55	-0.29
^NDX	8/22/2007	1,936.77	1.00	-0.25	1.27	0.55
^NDX	9/4/2007	2,020.51	1.00	-1.29	-1.08	-3.08
^NDX	9/26/2007	2,088.38	0.00	0.38	0.13	1.37
^NDX	10/10/2007	2,176.98	1.00	-1.66	0.05	-0.83
^NDX	10/30/2007	2,207.61	2.00	1.42	-0.48	0.28
^NDX	12/10/2007	2,134.88	1.00	-2.40	-1.57	-1.88
^NDX	12/26/2007	2,136.94	1.00	-1.44	-1.40	-2.43
^NDX	2/1/2008	1,855.27	1.00	-1.43	-4.41	-6.16
^NDX	2/13/2008	1,823.00	1.00	-1.94	-2.34	-3.19
^NDX	5/1/2008	1,980.44	2.00	0.07	-0.23	0.51
^NDX	5/15/2008	2,031.34	1.00	-0.00	-0.73	-1.51
^NDX	5/30/2008	2,032.57	1.00	-1.27	-1.76	-0.55
^NDX	7/31/2008	1,849.15	1.00	-1.22	-2.40	1.11
^NDX	8/8/2008	1,926.23	0.00	0.78	0.77	0.82
^NDX	10/31/2008	1,334.78	1.00	-0.00	3.27	-2.61
^NDX	12/8/2008	1,225.06	1.00	-1.03	-0.22	-3.64
^NDX	1/5/2009	1,262.52	2.00	0.95	-1.89	-0.79
^NDX	2/6/2009	1,277.49	2.00	0.33	-3.77	-3.95
^NDX	3/13/2009	1,168.52	1.00	-1.97	2.02	3.29
^NDX	5/19/2009	1,398.05	1.00	-0.31	-2.19	-2.49
^NDX	6/29/2009	1,483.83	1.00	-0.44	-0.17	-2.53
^NDX	7/14/2009	1,452.84	0.00	3.31	4.54	5.12
^NDX	8/21/2009	1,637.78	0.00	0.00	0.00	0.0

Put/Call ratio spikes to 2 year low
Put/Call data on Friday is showing a sharp spike to multi-year lows. CBOE put/call closed at .593 while the Equity Put/Call ratio closed at .393. The last time we saw such readings were on December 21st 2007 and April 10th 2007, respectively.
This is one of those data where time frame seems to be important. If we look at the equity put/call ratio for instance, there have been 138 cases where the P/C closed below .4 (the majority during 1997 through 2000 btw), but in only 62% of the cases has the S&P traded up higher within the next 3 days. However, if we look at data from 2001 to present, there were 14 occurrences, and in 12 cases, S&P closed higher lower within 3 days. My feeling is we should weigh recent history more, especially considering the P/C is a sentiment indicator similar to the VIX, which does not really have set buy/sell values that one can latch on to.

Ticker	Date/Time	Close	e p/c	3Day-	%Chg N1	%Chg N2	%Chg N3
^GSPC	4/18/2001	1,238.16	0.398	3.00	1.25	0.39	-1.11
^GSPC	5/21/2001	1,312.83	0.389	1.00	-0.26	-1.81	-1.50
^GSPC	6/28/2001	1,226.20	0.399	1.00	-0.15	0.86	0.67
^GSPC	1/24/2002	1,132.15	0.387	3.00	0.10	0.08	-2.78
^GSPC	8/16/2002	928.77	0.383	0.00	2.36	0.93	2.22
^GSPC	5/16/2003	944.30	0.399	1.00	-2.49	-2.60	-2.21
^GSPC	6/20/2003	995.69	0.357	1.00	-1.41	-1.23	-2.05
^GSPC	9/8/2003	1,031.64	0.379	1.00	-0.82	-2.01	-1.48
^GSPC	12/26/2003	1,095.89	0.376	0.00	1.24	1.25	1.46
^GSPC	1/6/2004	1,123.67	0.399	3.00	0.24	0.73	-0.16
^GSPC	1/16/2004	1,139.83	0.351	1.00	-0.09	0.68	0.36
^GSPC	1/24/2006	1,266.86	0.375	1.00	-0.17	0.55	1.33
^GSPC	4/10/2007	1,448.39	0.388	1.00	-0.66	-0.04	0.31
^GSPC	8/21/2009	1,026.13	0.393	0.00	0.00	0.00	0.00

Three strong up days...

Although we look like we may be ready for another pause here, the stats seem to indicate differently. The S&P has closed up 3 consecutive days now, with more than 1% gain in two of those days

In the past decade, when the S&P has been trading above it's 200MA and closed up for 3 consecutive days with a gain of more than .5%, it has a tendency to close higher within the next 3 days. There have been 17 prior setups. In 13 of the 17 cases, the S&P was trading higher within the next 3 days. The catch here however, is that half of those trades occurred during the bull run of of 1999/2000.

Testing this scenario from 1950 to present still produces impressive results. Of 123 trades, 94 (or 76.42%) closed higher within 3 days.

However, i tend to weigh recent history more, and there the restuls are not as impressive. There were 8 such setups, and in 5 cases, the s&P closed higher with 3 days.

Signal Update

This is just a quick note to point out that the last set of VIX and Breadth buy signals are off the board and were fullfilled successfully. Cobra discovered some issues with the first table, which were corrected (see comments within that post for details). Luckily, the odds did not change much. There is a possible discrepancy with one (or more) dates, such as 7/7/2009. My data is showing that is a valid entry, but it was pointed out by Cobra that it should be 7/8/2009. I'm just not able to confirm that based on the data i have. I have checked two sources and they seem to agree.

As far as new signals, i have not had a chance to look for any new signals for today.

VIX Buy Signals

When the VIX has closed greater than 10% above its 10MA, it has been a good ST buy setup. There have been 215 occurrences since 219. In 164 cases(76.28%), the S&P has closed higher within 3 days. Focusing more on recent history, the table below shows all the occurrences since June 2008. As you can see the signal has been reliable even through the recent bear market. There were 20 occurrences. In 17cases (or 85% of the time), the market closed higher within three days. In the majority of the cases, the higher close came within 1 day.
(Note: Column '3Day+' indicates the number of days it took to close higher than the trigger date.)

Ticker	Date/Time	Close	vix	maVix	dev	3Day+	%Chg N1	%Chg N2	%Chg N3
^GSPC	6/6/2008	1,360.68	23.56	19.73	19.42	1.00	0.08	-0.16	-1.85
^GSPC	7/2/2008	1,261.52	25.92	23.15	11.95	1.00	0.11	-0.73	0.97
^GSPC	7/11/2008	1,239.49	27.49	24.90	10.41	3.00	-0.90	-1.98	0.47
^GSPC	9/4/2008	1,236.83	24.03	20.74	15.87	1.00	0.44	2.50	-1.00
^GSPC	9/9/2008	1,224.51	25.47	21.90	16.33	1.00	0.61	2.00	2.22
^GSPC	9/15/2008	1,192.70	31.70	24.49	29.45	1.00	1.75	-3.04	1.16
^GSPC	9/29/2008	1,106.42	46.72	35.07	33.21	1.00	5.42	4.94	0.71
^GSPC	10/2/2008	1,114.28	45.26	37.56	20.51	0.00	-1.35	-5.15	-10.59
^GSPC	10/15/2008	907.84	69.25	56.69	22.16	1.00	4.25	3.60	8.54
^GSPC	10/22/2008	896.78	69.65	62.69	11.10	1.00	1.26	-2.23	-5.34
^GSPC	10/24/2008	876.77	79.13	64.00	23.65	2.00	-3.18	7.27	6.08
^GSPC	11/12/2008	852.30	66.46	58.64	13.33	1.00	6.92	2.46	-0.18
^GSPC	11/14/2008	873.29	66.31	58.98	12.43	0.00	-2.58	-1.62	-7.64
^GSPC	11/19/2008	806.58	74.26	64.49	15.16	3.00	-6.71	-0.81	5.61
^GSPC	1/14/2009	842.62	49.14	42.39	15.94	1.00	0.13	0.89	-4.44
^GSPC	1/20/2009	805.22	56.65	45.93	23.33	1.00	4.35	2.77	3.32
^GSPC	2/17/2009	789.17	48.66	44.17	10.17	0.00	-0.10	-1.30	-2.42
^GSPC	2/23/2009	743.33	52.62	46.51	13.13	1.00	4.01	2.90	1.28
^GSPC	6/16/2009	911.97	32.68	29.71	10.01	2.00	-0.14	0.70	1.02
^GSPC	7/7/2009	881.03	30.85	27.76	11.12	2.00	-0.17	0.19	-0.22
^GSPC	8/17/2009	979.73	27.89	25.35	10.01	1.00	1.01	1.01	1.01

When we go one step further and look for instances where the VIX was trading more than 10% above its 10MA AND closed above its upper BB, we see that there were only 9 instances throughout since June of last year, and in every case, the market closed up within 3 days. In fact , in 8 instances, it closed higher the very next day. One note however, in most of the prior cases, the VIX had closed significantly higher than 10%.

Ticker	Date/Time	Close	vix	maVix	dev	3Day+	%Chg N1	%Chg N2	%Chg N3
^GSPC	6/6/2008	1,360.68	23.56	19.73	19.42	1.00	0.08	-0.16	-1.85
^GSPC	7/2/2008	1,261.52	25.92	23.15	11.95	1.00	0.11	-0.73	0.97
^GSPC	7/11/2008	1,239.49	27.49	24.90	10.41	3.00	-0.90	-1.98	0.47
^GSPC	9/4/2008	1,236.83	24.03	20.74	15.87	1.00	0.44	2.50	-1.00
^GSPC	9/9/2008	1,224.51	25.47	21.90	16.33	1.00	0.61	2.00	2.22
^GSPC	9/15/2008	1,192.70	31.70	24.49	29.45	1.00	1.75	-3.04	1.16
^GSPC	9/29/2008	1,106.42	46.72	35.07	33.21	1.00	5.42	4.94	0.71
^GSPC	1/20/2009	805.22	56.65	45.93	23.33	1.00	4.35	2.77	3.32
^GSPC	2/23/2009	743.33	52.62	46.51	13.13	1.00	4.01	2.90	1.28
^GSPC	8/17/2009	979.73	27.89	25.35	10.01	1.00	1.01	1.01	1.01

Finally, when the VIX has closed up more than 10% in a single day, it has often led to higher close within the next 3 days. There have been 27 occurrences since June of last year. In 22 cases (or 81.5% of the time) the S&P was trading higher within 3 days.

Ticker	Date/Time	Close	vix pchg	3Day+	Chg N1	Chg N2	Chg N3
^GSPC	6/2/2008	1,385.67	11.22	3.00	-0.58	-0.61	1.33
^GSPC	6/6/2008	1,360.68	26.46	1.00	0.08	-0.16	-1.85
^GSPC	6/26/2008	1,283.15	13.20	3.00	-0.37	-0.25	0.14
^GSPC	8/25/2008	1,266.84	11.48	1.00	0.37	1.17	2.67
^GSPC	9/4/2008	1,236.83	12.13	1.00	0.44	2.50	-1.00
^GSPC	9/9/2008	1,224.51	12.50	1.00	0.61	2.00	2.22
^GSPC	9/15/2008	1,192.70	23.54	1.00	1.75	-3.04	1.16
^GSPC	9/17/2008	1,156.39	19.54	1.00	4.33	8.53	4.38
^GSPC	9/29/2008	1,106.42	34.48	1.00	5.42	4.94	0.71
^GSPC	10/2/2008	1,114.28	13.69	0.00	-1.35	-5.15	-10.59
^GSPC	10/6/2008	1,056.89	15.31	0.00	-5.74	-6.81	-13.91
^GSPC	10/9/2008	909.92	11.11	2.00	-1.18	10.27	9.68
^GSPC	10/15/2008	907.84	25.61	1.00	4.25	3.60	8.54
^GSPC	10/22/2008	896.78	31.14	1.00	1.26	-2.23	-5.34
^GSPC	10/24/2008	876.77	16.71	2.00	-3.18	7.27	6.08
^GSPC	11/5/2008	952.77	14.31	0.00	-5.03	-2.29	-3.52
^GSPC	11/6/2008	904.88	16.72	1.00	2.89	1.58	-0.66
^GSPC	11/14/2008	873.29	10.83	0.00	-2.58	-1.62	-7.64
^GSPC	12/1/2008	816.21	23.93	1.00	3.99	6.68	3.55
^GSPC	1/7/2009	906.65	12.53	1.00	0.34	-1.80	-4.01
^GSPC	1/14/2009	842.62	13.57	1.00	0.13	0.89	-4.44
^GSPC	1/20/2009	805.22	22.86	1.00	4.35	2.77	3.32
^GSPC	2/17/2009	789.17	13.35	0.00	-0.10	-1.30	-2.42
^GSPC	3/2/2009	700.82	13.59	2.00	-0.64	1.72	-2.61
^GSPC	3/30/2009	787.53	10.96	1.00	1.31	2.99	5.95
^GSPC	4/20/2009	832.39	15.44	1.00	2.13	1.34	2.35
^GSPC	6/22/2009	893.04	11.36	1.00	0.23	0.88	3.05
^GSPC	8/17/2009	979.73	14.92	0.00	0.00	0.00	0.0