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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.
| Ticker | Date/Time | Close | 3Day+ | %Chg N1 | %Chg N2 | %Chg N3 |
|---|---|---|---|---|---|---|
| SPX | 12/14/1982 | 137.40 | 3.00 | -1.57 | -1.53 | 0.07 |
| SPX | 4/5/1983 | 151.90 | 3.00 | -0.57 | -0.09 | 0.63 |
| SPX | 4/25/1983 | 158.81 | 1.00 | 1.89 | 1.66 | 2.61 |
| SPX | 1/30/1984 | 162.87 | 1.00 | 0.33 | -0.08 | 0.30 |
| SPX | 2/3/1984 | 160.91 | 0.00 | -1.76 | -1.35 | -3.14 |
| SPX | 9/21/1987 | 310.54 | 1.00 | 2.89 | 3.43 | 2.96 |
| SPX | 1/23/1989 | 284.50 | 1.00 | 1.40 | 1.63 | 2.53 |
| SPX | 8/11/1989 | 344.74 | 3.00 | -0.49 | -0.01 | 0.27 |
| SPX | 11/1/1991 | 391.32 | 0.00 | -0.27 | -0.67 | -0.34 |
| SPX | 8/21/1992 | 414.85 | 0.00 | -1.00 | -0.78 | -0.32 |
| SPX | 4/18/1994 | 442.46 | 1.00 | 0.02 | -0.11 | 1.42 |
| SPX | 3/21/1995 | 495.07 | 1.00 | 0.12 | 0.18 | 1.19 |
| SPX | 10/11/2007 | 1,554.41 | 1.00 | 0.48 | -0.37 | -1.02 |
| SPX | 11/26/2007 | 1,407.22 | 1.00 | 1.49 | 4.39 | 4.44 |
| SPX | 4/30/2008 | 1,385.59 | 1.00 | 1.71 | 2.04 | 1.58 |
| SPX | 5/20/2009 | 903.47 | 3.00 | -1.68 | -1.82 | 0.76 |
| SPX | 9/23/2009 | 1,060.87 | 0.00 | 0.00 | 0.00 | 0.00 |
3 comments:
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.
Best,
Frank
http://www.tradingtheodds.com
hi frank and thanks much for the compliment...it 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'.
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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