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The S&P closed up 0.88% today while oddly, the Arms-Index (TRIN) closed at 1.58. I looked back for instances where the S&P closed positive and the TRIN closed above 1.5. There were 24 prior instances. In 22 cases ( or 92% of the time), the S&P closed higher with 3 days. In 19 cases (or 79% of the time), the S&P closed higher with 2 days. Both of these are significantly higher than the odds of the S&P closing higher on any given 2 or 3 day period, which is 54% and 55% respectively.
(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 | Trin | 3Day+ | %Chg N1 | %Chg N2 | %Chg N3 |
|---|---|---|---|---|---|---|---|
| SPX | 2/25/1952 | 23.23 | 1.52 | 3.00 | -0.34 | -0.22 | 0.26 |
| SPX | 12/31/1953 | 24.81 | 1.78 | 1.00 | 0.56 | 1.17 | 1.33 |
| SPX | 10/10/1962 | 57.24 | 1.58 | 3.00 | -0.33 | -0.51 | 0.05 |
| SPX | 8/31/1966 | 77.10 | 1.79 | 1.00 | 0.78 | 0.42 | -0.18 |
| SPX | 9/13/1966 | 78.32 | 1.53 | 1.00 | 1.03 | 2.25 | 2.13 |
| SPX | 10/11/1966 | 74.91 | 2.07 | 1.00 | 2.84 | 2.64 | 2.26 |
| SPX | 7/10/1970 | 74.45 | 1.51 | 1.00 | 0.13 | -0.04 | 1.05 |
| SPX | 8/16/1971 | 98.76 | 1.52 | 1.00 | 1.25 | -0.16 | -0.61 |
| SPX | 6/7/1974 | 92.55 | 1.74 | 1.00 | 0.59 | -0.29 | -0.53 |
| SPX | 7/18/1974 | 83.78 | 1.67 | 2.00 | -0.29 | 0.04 | 1.04 |
| SPX | 1/3/1975 | 70.71 | 1.78 | 1.00 | 0.51 | 0.44 | -0.95 |
| SPX | 1/28/1975 | 76.03 | 1.56 | 1.00 | 1.62 | 0.24 | 1.25 |
| SPX | 7/9/1986 | 242.82 | 1.51 | 1.00 | 0.08 | -0.25 | -1.94 |
| SPX | 1/14/1988 | 245.88 | 1.68 | 1.00 | 2.51 | 2.44 | 1.40 |
| SPX | 8/24/1998 | 1,088.14 | 2.73 | 1.00 | 0.43 | -0.36 | -4.19 |
| SPX | 9/18/1998 | 1,020.09 | 1.66 | 1.00 | 0.37 | 0.94 | 4.51 |
| SPX | 6/28/2000 | 1,454.82 | 1.60 | 3.00 | -0.85 | -0.02 | 1.01 |
| SPX | 1/3/2002 | 1,165.27 | 1.51 | 1.00 | 0.62 | -0.03 | -0.39 |
| SPX | 5/20/2004 | 1,089.19 | 1.77 | 1.00 | 0.40 | 0.57 | 2.19 |
| SPX | 11/10/2006 | 1,380.90 | 1.54 | 1.00 | 0.25 | 0.89 | 1.13 |
| SPX | 3/4/2009 | 712.87 | 1.52 | 0.00 | -4.25 | -4.14 | -5.10 |
| SPX | 7/1/2009 | 923.33 | 1.56 | 0.00 | -2.91 | -2.67 | -4.58 |
| SPX | 7/21/2009 | 954.58 | 1.67 | 2.00 | -0.05 | 2.27 | 2.59 |
| SPX | 7/30/2009 | 986.75 | 1.63 | 1.00 | 0.07 | 1.61 | 1.92 |
| SPX | 9/8/2009 | 1,025.39 | 1.58 | 0.00 | 0.00 | 0.00 | 0.00 |
2 comments:
Any theory as to what is behind the numbers? On the face of it this makes no sense.
anon@6:25PM - I’m assuming you are referring to the high Trin reading. While it is it is odd to see these types of readings, as can be seen in the table it, has occurred before over a broad set of data points. That said, we have had the most occurrence this year as compared to any other years - this bear/bull market of course is also like no other.
Spot checking some of the cases where we saw clusters of these in a single year - it appears this tends to occur in periods where the market was exceptionally volatile. In many cases, the market went on rally significantly, though a good portion of those were preceded with one or two more dips.
In this particular case, yesterday we had 3 to 1 advancers vs decliners and 2 to 1 up volume vs down volume, thus the reading that we see. I have seen some argue that the Trin may be broken, but looking at the data and the fact that that we have had clusters of this behavior spanning 60+ years, I’m ready to believe anything is terribly wrong with the Trin.
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