Thursday, September 24, 2009

TRIN, Reversal bar + ADX divergence indicating ST bounce

The Nasdaq 100 signal discussed in the last blog entry was triggered today. This suggests that the Nasdaq should bounce back and close above 1725 within the next 3 weeks (this being week 1 since this was signal triggered at the end of last week).

The NYSE Arms Index is also indicating a short term bounce may be at hand. The TRIN today closed at 2.33. Over the past decade there have been 45 instances where the TRIN closed above 2.0 while the S&P 500 was trading above it's 200MA. In 35 cases (or 77.78%) the S&P was trading higher within 2 days. That is significantly better than the 50.51% historical odds of the market closing higher within 2 days from any given close.

Lastly, the S&P painted an outside reversal bar today. It was interesting to note however that the ADX continued to climb despite what appeared to be a solid sell off on the surface. There have only been 16 previous occurrences where this has occurred. In 13 cases (or 81.25% of the time), the S&P was trading higher within 3 days.

TickerDate/TimeClose3Day+%Chg N1%Chg N2%Chg N3


Anonymous said...

The Small Fish,

I really appreaciate your blog (especially due to the fact that we follow a similar approach), and thanks for the excellent work.

A couple of questions.

cit.: 'That is significantly better than the 50.51% historical odds of the market closing higher within 2 days from any given close.'

1) Does 'market' mean S&P 500 or the NYSE or Nasdaq ?

2) What is the start date of 'historical' odds ?

3) Does 'closing higher' mean a higher close exactly two sessions later, or at least one higher close within the then following two sessions ? Since 1990 the ES E-mini S&P 500's probability of at least one higher close over the course of the then following two sessions are 65.36% (either one or two sessions later), so I think a higher close exactly two sessions later is meant which matches the 50.51%, not at least one higher close 1 or 2 sessions later.


The Small Fish said...

hi frank and thanks much for the means a lot coming from you.

i will have to double check this tonight, but i suspect you are correct, i recall in my previous blog entry i wanted to check the performance 20 days out. i think err'd and simply changed it to 2 without consideration to 'any day up' with in that time frame.

by 'market' in this case, i am referring to S&P 500. the start date as i recall was 1/1/1999, but will double check this also.

thanks for pointing this up. love your blog - probably among the top 5 out there i would say and definitely #1 based on your 'niche'.

The Small Fish said...

A quick follow up on this (i have been busy lately with some personal matters lately and have not been able to post)...
Frank you are correct regarding the odds of a close higher within two days. I did not revert my check for ANY day and had it set to check exactly 2 days following a buy.

Thanks once more for pointing this out.

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