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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 |
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2 comments:
Terrific data, thank you.
One queston, do you ever filter a second time to see results? for instance, most recent study, about DJT down while SPX in intermediate uptrend. It doesn't look like SPX will be able to close higher than signal date, my curiosity: of thos signals that did not close higher, is there a consistent price action pattern?
I have not done so in this case, but there are times i do look to see what happens when the signal fail. Unfortuantely i have not been able to update the blog lately as my main computer with my software recieved a nice 'raid' error failure. I should be getting a new system delivered soon. will take a bit of time to load reload all the software...
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