Small Fish, Big Odds

Dow Theory confirming bullish move?

2011-12-23T13:12:00.003-05:00

S&P managed to close higher for the year today and in doing so, also closed above it's 200MA, finding itself in a territory it has not been able to maintain for more than a few days in the past 6 months. Will it continue to climb higher from here? It's sometimes risky to read too much into movement of the indices this time of the year, given that volume typically is below average, but from a classical TA point of view, there are some interesting observations to note that make set of bullish arguments.

Old school technicians will point out that the Dow Theory is confirm this move, with both the transports and Dow Industrials making higher highs.
Bull flags are popping up on may chart indices
Dow and S&P are showing inverse H&S breakout setup
More and more stocks are making new 52 wk highs, also serving to confirm this move and thus offering no divergence warning.
The up volume vs down volume Tuesday was riiiiidiculous! I am trying to get my old feed for a/d and u/d so i can run some tests, but with that kind of lopsidedness after a pretty decent sell off the previous days, in my opinion, are smart buyers. (Btw, for get what the head lines state, Tuesday's rally was purely bond market related...in particular, Spanish bond action was well received, easing concerns over the EU debacle).
And of course the S&P has managed to close above its 200MA today

Merry Christmas. Easing back in...after being away for some time (conflict of interest removed :))

Small Fish, Big Problems....

2009-10-30T00:11:00.005-04:00

"We are experiencing technical difficulties..."

Unfortuantely, this past weekend, i began receiving RAID failure errors on my system that is home to most of my software. I was able to get her back up, but unfortunately she does not say up long enough to do much. I have since ordered a new system. I expect it to be here within a week. Hopefully i'll be back up shortly.

Large DJT Declines In An Uptrend = ST Bullish

2009-10-26T02:40:00.001-04:00

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

Relatively Large Range Days In An Uptrend...

2009-10-26T01:46:00.004-04:00

Over the past three days, the S&P 500 has traded in a range that exceeded 1.8% of it's previous day's close. Looking back for similar instances in an intermediate term up trend (50MA > 200MA), we find 16 occurrences. in 13 cases (or 81.25%), the S&P was trading higher the very next day. That is significantly higher than the 52% odds of higher random next day close.

It is also interesting to note from the table below that om 14 of the 16 cases (87.5%) the market has generally traded significantly higher 40 trading days out (2 months). Of course, as can be seen by observing the dates, the bulking of these signals occurred during the dot net bubble.

Ticker	Date/Time	Close	Day+	%Chg N1	%Chg N40
SP500	10/23/2009	1,079.60	0.00	0.00	0.00
SP500	8/16/2007	1,411.27	1.00	2.46	10.67
SP500	8/7/2007	1,476.71	1.00	1.41	4.26
SP500	10/26/2000	1,364.44	1.00	1.11	-4.29
SP500	10/19/2000	1,388.76	1.00	0.59	-5.52
SP500	10/13/2000	1,374.17	1.00	0.03	0.44
SP500	5/23/2000	1,373.86	1.00	1.83	8.86
SP500	5/11/2000	1,407.81	1.00	0.93	4.82
SP500	4/14/2000	1,356.56	1.00	3.31	8.32
SP500	3/15/2000	1,392.14	1.00	4.76	1.13
SP500	3/9/2000	1,401.69	0.00	-0.47	2.21
SP500	2/23/2000	1,360.69	0.00	-0.53	4.91
SP500	1/31/2000	1,394.46	1.00	1.06	8.12
SP500	1/5/2000	1,402.11	1.00	0.10	0.50
SP500	10/21/1999	1,283.61	1.00	1.41	10.71
SP500	5/26/1999	1,304.76	0.00	-1.79	4.00
SP500	1/14/1999	1,212.19	1.00	2.56	7.84

USD Lower Lows Signals S&P Short Term Buy

2009-10-23T09:07:00.010-04:00

The two buy signals discussed here and here have been fulfilled successfully with today's higher close.

Looking at the chart of the US dollar(on a closing basis) from the 2007 to present shows that the S&P and the dollar have been moving inversely in what appears to be lock steps. This is interesting to me because it was 2007 where we topped and eventually began a decline that would lead us into a recession. Since 2007, in a trending market (defined by the S&P 50 MA trading above the 200MA), when the dollar has made a new 40 day low, but the S&P did not make a 40 day high , the S&P typically goes on to make a higher high within 3 days .

There have been 49 prior instances since 2007. In 44 cases (or 89.8%) , the market went on to make a higher high within 3 days.
In 41 cases (83.7%) of the times, the market closed higher within two 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	3Day+	%Chg N1	%Chg N2	%Chg N3
SP500	10/22/2009	0.00	0.00	0.00	0.00
SP500	10/21/2009	1.00	1.06	1.06	1.06
SP500	10/13/2009	1.00	1.75	2.18	1.35
SP500	10/8/2009	1.00	0.56	1.01	0.72
SP500	9/17/2009	1.00	0.26	-0.08	0.58
SP500	9/11/2009	1.00	0.63	0.95	2.50
SP500	9/8/2009	1.00	0.78	1.83	1.69
SP500	8/5/2009	2.00	-0.56	0.77	0.44
SP500	11/26/2007	1.00	1.49	4.39	4.44
SP500	11/23/2007	3.00	-2.32	-0.87	1.97
SP500	11/21/2007	1.00	1.69	-0.67	0.81
SP500	11/20/2007	2.00	-1.59	0.07	-2.26
SP500	11/9/2007	2.00	-1.00	1.88	1.16
SP500	11/8/2007	3.00	-1.43	-2.41	0.43
SP500	11/7/2007	0.00	-0.06	-1.49	-2.47
SP500	11/6/2007	0.00	-2.94	-2.99	-4.38
SP500	11/2/2007	2.00	-0.50	0.70	-2.25
SP500	10/31/2007	0.00	-2.64	-2.56	-3.05
SP500	10/30/2007	1.00	1.20	-1.47	-1.40
SP500	10/29/2007	2.00	-0.65	0.55	-2.11
SP500	10/26/2007	1.00	0.37	-0.28	0.92
SP500	10/25/2007	1.00	1.38	1.76	1.10
SP500	10/19/2007	1.00	0.38	1.26	1.02
SP500	10/18/2007	0.00	-2.56	-2.19	-1.33
SP500	9/28/2007	1.00	1.33	1.30	0.84
SP500	9/25/2007	1.00	0.54	0.93	0.63
SP500	9/21/2007	0.00	-0.53	-0.56	-0.02
SP500	9/20/2007	1.00	0.46	-0.07	-0.10
SP500	9/12/2007	1.00	0.84	0.86	0.35
SP500	9/11/2007	1.00	0.00	0.85	0.87
SP500	9/10/2007	1.00	1.36	1.37	2.22
SP500	9/7/2007	2.00	-0.13	1.23	1.24
SP500	7/24/2007	1.00	0.47	-1.88	-3.45
SP500	7/20/2007	1.00	0.49	-1.50	-1.04
SP500	7/18/2007	1.00	0.45	-0.78	-0.30
SP500	7/16/2007	3.00	-0.01	-0.22	0.23
SP500	7/11/2007	1.00	1.91	2.22	2.03
SP500	7/10/2007	1.00	0.57	2.49	2.81
SP500	7/2/2007	1.00	0.36	0.39	0.72
SP500	4/30/2007	1.00	0.27	0.91	1.35
SP500	4/24/2007	1.00	1.01	0.93	0.92
SP500	4/19/2007	1.00	0.93	0.69	0.66
SP500	4/13/2007	1.00	1.07	1.28	1.35
SP500	4/12/2007	1.00	0.35	1.42	1.64
SP500	4/11/2007	1.00	0.62	0.97	2.05
SP500	4/5/2007	1.00	0.06	0.32	-0.34
SP500	3/21/2007	2.00	-0.03	0.07	0.17
SP500	3/20/2007	1.00	1.71	1.67	1.78
SP500	3/16/2007	1.00	1.09	1.73	3.47
SP500	2/27/2007	1.00	0.56	0.30	-0.85

Using Immediate DJT Confirmation of New Dow Highs as a Short Term Buy

2009-10-21T01:11:00.004-04:00

There are two interesting observations related to Dow new highs that are immediately followed by Dow Jones Transportation Index new highs. One pertains to the longer term new high (1 year), and the other more interesting observation is using a shorter period new high.

Yesterday the Dow made a 1 year closing high. Today, while the Dow Jones Transportation Index did not make it's one year high as yet, it did make a 200 day high (241 to be exact). Since 1929, this pattern has occurred only 20 times, with the Dow trading up 19 times within 3 days (18 of those occurred within 2 days).

Relaxing the critierias a little, we find that looking for DJT confirmation over a short period provides similarly impressive odds. When the Dow has made a new 40 day high, followed immediately the next day by the DJT printing a new 40 day high as well, it has often led to a higher high in the Dow within the next 1 to 3 days. There have been 46 similar occurrences since 1929. In 42 cases (or 91.3%), the Dow was trading higher within 3 days. In 38 cases (or 82.6% of the time) the Dow was trading higher within 2 days.

Ticker	Date/Time	Close	3Day+	%Chg N1	%Chg N2	%Chg N3
DJI	10/20/2009	10,041.48	0.00	0.00	0.00	0.00
DJI	4/30/2009	8,168.12	1.00	0.54	3.17	2.97
DJI	5/31/2007	13,627.64	1.00	0.30	0.36	-0.24
DJI	5/3/2006	11,400.28	1.00	0.34	1.56	1.62
DJI	4/24/2006	11,336.32	2.00	-0.47	0.16	0.41
DJI	4/3/1998	8,983.41	1.00	0.55	-0.30	-1.02
DJI	11/18/1996	6,346.91	1.00	0.80	1.31	1.13
DJI	10/15/1996	6,004.78	1.00	0.27	0.91	1.49
DJI	11/6/1995	4,814.01	2.00	-0.35	0.80	1.04
DJI	1/6/1992	3,200.13	1.00	0.15	0.12	0.29
DJI	9/5/1989	2,744.68	0.00	-0.91	-1.38	-1.28
DJI	7/28/1989	2,635.24	1.00	0.96	0.22	0.84
DJI	7/24/1989	2,584.98	2.00	-0.07	1.09	1.95
DJI	8/14/1987	2,685.43	1.00	0.56	-1.15	-0.73
DJI	8/7/1987	2,592.00	1.00	1.69	3.41	2.98
DJI	11/29/1985	1,472.13	3.00	-0.97	-0.89	0.83
DJI	1/11/1980	858.53	1.00	0.59	1.17	0.78
DJI	3/23/1979	859.75	2.00	-0.57	1.35	0.76
DJI	11/6/1974	669.12	1.00	0.42	-0.29	0.53
DJI	3/2/1972	933.77	1.00	0.93	1.76	1.40
DJI	1/10/1966	985.41	1.00	0.15	-0.15	0.03
DJI	9/21/1965	926.52	1.00	0.55	0.10	0.33
DJI	6/10/1960	654.88	1.00	0.15	0.00	-0.83
DJI	1/4/1960	679.06	1.00	0.94	0.52	-0.21
DJI	7/8/1958	480.00	3.00	-0.50	-0.21	0.59
DJI	6/5/1958	468.55	1.00	0.22	0.19	-0.08
DJI	4/25/1957	492.29	2.00	-0.16	0.34	0.42
DJI	4/4/1957	477.43	1.00	0.04	0.34	1.10
DJI	7/23/1956	513.61	2.00	-0.09	0.10	0.44
DJI	9/7/1955	475.20	3.00	-0.03	-0.13	0.28
DJI	7/7/1954	340.34	2.00	-0.16	0.27	0.17
DJI	5/19/1954	323.21	1.00	0.21	0.89	0.89
DJI	11/6/1953	278.83	0.00	-0.20	-1.05	-0.93
DJI	11/10/1952	273.47	0.00	-0.55	-0.34	-0.07
DJI	9/6/1951	272.28	1.00	0.59	1.09	0.59
DJI	10/17/1947	183.52	1.00	0.96	0.86	0.46
DJI	12/4/1945	193.06	1.00	0.01	0.40	0.53
DJI	10/9/1945	185.43	1.00	0.33	0.16	0.04
DJI	7/6/1944	149.07	1.00	0.19	0.96	0.74
DJI	9/29/1942	109.24	2.00	-0.12	0.38	1.46
DJI	7/14/1941	127.89	1.00	0.23	-0.05	-0.59
DJI	10/6/1938	148.10	1.00	0.21	0.98	0.88
DJI	1/19/1937	184.02	1.00	1.05	1.57	1.36
DJI	4/23/1935	110.06	2.00	-0.55	0.37	0.28
DJI	4/21/1933	69.78	1.00	5.60	3.83	4.10
DJI	2/14/1930	271.52	0.00	-0.36	-0.29	-1.13
DJI	8/26/1929	374.46	3.00	-0.18	-0.64	0.46

Bullish Relationship Between S&P and Nasdaq 100 Relative Performance

2009-10-21T01:00:00.002-04:00

The study presented yesterday that argued for a lower close based on the relative performance between the BXK and the S&P was successfully fulfilled today. Interestingly, today we have a similar study that argues for a higher close based on the relative performance between the Nasdaq 100 and the S&P. Both The S&P 500 and the Nasdaq 100 finished lower today, however the S&P underperformed by more than 0.5%. Over the past decade, there have been 74 similar occurrences. In 61 cases (or 82.4% of the time) , the S&P 500 was trading higher within 3 days. In 57 cases (or 77%), the S&P was trading higher within two days. That is still notably better than the 65% random odds of a higher close within 2 days. The table below shows all occurrences since 2007.

(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	S&P %Chg	NDX %Chg	3Day+	%Chg N1	%Chg N2	%Chg N3
SP500	10/20/2009	1,091.06	-0.62	-0.03	0.00	0.00	0.00	0.00
SP500	7/2/2009	896.42	-2.91	-2.37	1.00	0.26	-1.72	-1.88
SP500	6/3/2009	931.76	-1.37	-0.33	1.00	1.15	0.89	0.79
SP500	5/27/2009	893.06	-1.90	-0.76	1.00	1.54	2.92	5.58
SP500	5/15/2009	882.88	-1.14	-0.34	1.00	3.04	2.86	2.33
SP500	4/27/2009	857.51	-1.01	-0.24	2.00	-0.27	1.88	1.78
SP500	4/20/2009	832.39	-4.28	-3.29	1.00	2.13	1.34	2.35
SP500	4/14/2009	841.50	-2.01	-1.07	1.00	1.25	2.83	3.34
SP500	4/6/2009	835.48	-0.83	-0.23	3.00	-2.39	-1.24	2.52
SP500	3/30/2009	787.53	-3.48	-2.45	1.00	1.31	2.99	5.95
SP500	3/20/2009	768.54	-1.98	-1.41	1.00	7.08	4.89	5.90
SP500	3/19/2009	784.04	-1.30	-0.23	2.00	-1.98	4.96	2.82
SP500	3/5/2009	682.55	-4.25	-3.22	1.00	0.12	-0.88	5.43
SP500	3/2/2009	700.82	-4.66	-3.61	2.00	-0.64	1.72	-2.61
SP500	2/27/2009	735.09	-2.36	-0.90	0.00	-4.66	-5.27	-3.02
SP500	2/17/2009	789.17	-4.56	-4.03	0.00	-0.10	-1.30	-2.42
SP500	2/13/2009	826.84	-1.00	-0.48	0.00	-4.56	-4.65	-5.79
SP500	2/10/2009	827.16	-4.91	-4.09	1.00	0.80	0.97	-0.04
SP500	2/4/2009	832.23	-0.75	-0.02	1.00	1.64	4.37	4.53
SP500	1/29/2009	845.14	-3.31	-2.59	0.00	-2.28	-2.33	-0.78
SP500	12/9/2008	888.67	-2.31	-1.03	1.00	1.19	-1.70	-1.01
SP500	12/1/2008	816.21	-8.93	-7.98	1.00	3.99	6.68	3.55
SP500	11/20/2008	752.44	-6.71	-4.70	1.00	6.32	13.21	13.95
SP500	11/6/2008	904.88	-5.03	-4.46	1.00	2.89	1.58	-0.66
SP500	10/22/2008	896.78	-6.10	-3.61	1.00	1.26	-2.23	-5.34
SP500	10/17/2008	940.55	-0.62	-0.10	1.00	4.77	1.54	-4.65
SP500	10/10/2008	899.22	-1.18	-0.42	1.00	11.58	10.99	0.96
SP500	10/9/2008	909.92	-7.62	-4.17	2.00	-1.18	10.27	9.68
SP500	9/23/2008	1,188.22	-1.56	-1.05	2.00	-0.20	1.76	2.11
SP500	9/15/2008	1,192.70	-4.71	-3.49	1.00	1.75	-3.04	1.16
SP500	9/9/2008	1,224.51	-3.41	-2.35	1.00	0.61	2.00	2.22
SP500	8/12/2008	1,289.59	-1.21	-0.01	2.00	-0.29	0.26	0.67
SP500	8/7/2008	1,266.07	-1.79	-0.80	1.00	2.39	3.10	1.86
SP500	7/31/2008	1,267.38	-1.31	-0.20	3.00	-0.56	-1.45	1.38
SP500	7/24/2008	1,252.54	-2.31	-1.55	1.00	0.42	-1.45	0.85
SP500	5/23/2008	1,375.93	-1.32	-0.30	1.00	0.68	1.08	1.62
SP500	3/12/2008	1,308.77	-0.90	-0.33	1.00	0.51	-1.58	-2.46
SP500	3/7/2008	1,293.37	-0.84	-0.29	2.00	-1.55	2.11	1.19
SP500	2/28/2008	1,367.68	-0.89	-0.30	0.00	-2.71	-2.66	-2.99
SP500	1/17/2008	1,333.25	-2.91	-1.61	3.00	-0.60	-1.71	0.40
SP500	11/15/2007	1,451.15	-1.32	-0.69	1.00	0.52	-1.23	-0.79
SP500	11/1/2007	1,508.44	-2.64	-1.87	1.00	0.08	-0.42	0.78
SP500	7/26/2007	1,482.66	-2.33	-1.22	0.00	-1.60	-0.59	-1.85
SP500	7/10/2007	1,510.12	-1.42	-0.87	1.00	0.57	2.49	2.81

What's interesting about this is even when both the S&P and NDX are significantly lower (more than -2%), the under performance of the S&P by just .5% still provides a positive edge.

Banks Under performance ST negative

2009-10-20T01:10:00.003-04:00

The table below lists all the occurrences where the BKX closed down by 0.5% or more and the S&P closed up by 0.90% or more. As can be seen, the S&P has a tendency to close lower within 3 days, in some cases, significantly lower.

Ticker	Date/Time	Close	Chg	3Day-	%Chg N1	%Chg N2	%Chg N3
SP500	10/14/1993	466.83	1.16	3.00	0.57	0.35	-0.13
SP500	3/11/1996	640.02	1.03	1.00	-0.46	-0.23	0.13
SP500	4/16/1997	763.53	1.17	1.00	-0.23	0.37	-0.41
SP500	12/7/1998	1,187.70	0.93	1.00	-0.53	-0.35	-1.91
SP500	8/25/1999	1,381.79	1.34	1.00	-1.43	-2.43	-4.18
SP500	11/18/1999	1,424.94	1.01	1.00	-0.21	-0.28	-1.42
SP500	1/10/2000	1,457.60	1.12	1.00	-1.31	-1.74	-0.54
SP500	2/3/2000	1,424.97	1.12	1.00	-0.04	-0.05	1.18
SP500	4/6/2000	1,501.34	0.94	3.00	1.00	0.21	-0.05
SP500	4/7/2000	1,516.35	1.00	1.00	-0.78	-1.04	-3.24
SP500	5/16/2000	1,466.04	0.94	1.00	-1.24	-1.97	-4.03
SP500	1/18/2001	1,347.97	1.39	1.00	-0.40	-0.38	0.92
SP500	11/6/2002	923.76	0.91	1.00	-2.29	-3.14	-5.15
SP500	10/23/2008	908.11	1.26	1.00	-3.45	-6.52	3.57
SP500	11/18/2008	859.12	0.98	1.00	-6.12	-12.42	-6.88
SP500	12/10/2008	899.24	1.19	1.00	-2.85	-2.17	-3.41
SP500	2/3/2009	838.51	1.58	1.00	-0.75	0.88	3.59
SP500	3/4/2009	712.87	2.38	1.00	-4.25	-4.14	-5.10
SP500	4/8/2009	825.16	1.18	0.00	3.81	4.07	1.98
SP500	6/1/2009	942.87	2.58	2.00	0.20	-1.18	-0.04
SP500	10/19/2009	1,097.91	0.94	0.00	0.00	0.00	0.00

S&P Trading 20% Above 200MA

2009-10-14T23:46:00.001-04:00

Well, nothing like some earnings induced 'noise' to defy the odds. I suppose in fairness, the same thing could be said in the rare chance INTC had missed and the odds discussed Sunday were proven successful. Alas, they were not and are now of the board. The RSI related signal discussed here did play out successfully with the lower close Tuesday however.

With today's powerful rally, the S&P is now trading 20%+ above it's 200MA once more. There have not been many such cases to really provide a statistical edge. But it is interesting to note that for the instances that do exist, since 1982, we have generally seen a pullback in the short term term when this has occurred. The table below shows the performance 1, 2, 3 and 10 days after the the S&P first closes more than 20% from it's 200MA:

Ticker	Date/Time	Close	% Above 200MA	3Day-	%Chg N1	%Chg N2	%Chg N3	%Chg N10
SP500	5/9/1975	90.53	20.05	0.00	0.09	1.16	1.92	0.06
SP500	6/2/1975	92.58	21.45	0.00	0.33	0.02	0.12	-1.21
SP500	6/23/1975	93.62	20.50	0.00	0.61	1.07	1.27	-0.25
SP500	10/20/1982	139.23	21.02	1.00	-0.12	-0.29	-4.24	2.61
SP500	11/3/1982	142.87	23.13	1.00	-0.71	-0.50	-1.70	-3.46
SP500	12/7/1982	142.72	20.24	1.00	-0.63	-1.91	-2.21	-2.88
SP500	1/10/1983	146.78	20.26	1.00	-0.68	-0.06	-0.72	-4.64
SP500	3/3/1983	153.48	20.29	3.00	0.12	0.12	-1.45	-2.53
SP500	4/29/1983	164.43	20.46	1.00	-1.41	-1.27	-0.68	0.29
SP500	5/6/1983	166.10	20.53	1.00	-0.17	-0.09	-0.69	-2.38
SP500	9/16/2009	1,068.76	20.13	1.00	-0.31	-0.04	-0.38	-1.09
SP500	10/14/2009	1,092.02	20.26	0.00	0.00	0.00	0.00	0.00

As mentioned, there really aren't enough data here to rely on from a statistical point of view. Which may be a blessing since, given the environment we are in, one has to assume additional risk when shorting a market like this. However, it is interesting to note that the S&P 500 has only closed only once more than 23% above the 200MA. That was on 11/3/1982 and at that time the S&P was trading 23.13% above it's 200MA. This suggests that either upside is limited or that the 200MA is likely to embark on a steeper slope up.

Today the S&P also registered it's highest New 52 week high since February of 2007. From an intermediate term perspective, this appears to be bullish as can be seen from the table below, which shows the performance of the S&P 1 month later (20 trading days).

Ticker	Date/Time	Close	New Highs	%Chg N20
SP500	10/11/1982	134.47	653.00	4.44
SP500	11/3/1982	142.87	527.00	-2.83
SP500	3/12/1986	232.54	498.00	1.68
SP500	6/13/1997	893.27	481.00	2.81
SP500	7/3/1997	916.92	537.00	3.30
SP500	7/16/1997	936.59	529.00	-1.56
SP500	7/30/1997	952.29	485.00	-4.05
SP500	10/3/1997	965.03	631.00	-5.22
SP500	6/2/2003	967.00	530.00	0.78
SP500	6/4/2003	986.24	522.00	0.76
SP500	6/12/2003	998.51	465.00	-0.04
SP500	9/3/2003	1,026.27	493.00	-0.78
SP500	10/9/2003	1,038.73	496.00	1.86
SP500	10/13/2003	1,045.35	475.00	0.17
SP500	11/3/2003	1,059.02	503.00	0.72
SP500	12/1/2003	1,070.12	627.00	3.69
SP500	12/29/2003	1,109.48	623.00	1.71
SP500	1/5/2004	1,122.22	615.00	1.23
SP500	1/8/2004	1,131.92	495.00	0.96
SP500	1/20/2004	1,138.77	536.00	1.15
SP500	3/5/2004	1,156.86	467.00	-1.30
SP500	12/1/2004	1,191.37	468.00	1.86
SP500	7/11/2005	1,219.44	488.00	0.30
SP500	12/4/2006	1,409.12	503.00	0.65
SP500	2/7/2007	1,450.02	465.00	-3.32
SP500	10/14/2009	1,092.02	462.00	0.00

Any pullback that manifests may be a buying opportunity.

RSI2 Overbought + New High = Short Term sell.

2009-10-13T00:16:00.002-04:00

Over the past month, by far, i have posted more buy signals than sell. Recently (over the past couple of days) i have been seeing more and more short term sell signals crop up. The first set of such signals was discussed Sunday night and remain on the board tonight. I of the belief that any decline that results from these signals may be buying opportunities, but none the less, the fact that they are showing up in clusters does indicate the market may need a pause. I have one more short term sell signal to add to the ones already open tonight.

S&P 500 RSI(2) closed at 97.35, just under the 98 i usually scan for. However, i decided to run a study to see what the odds look like when the RSI(2) closed above 97 and the S&P has made a new high. There have been 17 previous similar setups. In 15 cases (or 88%) the S&P was trading lower 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 lower within 3 days)

Ticker	Date/Time	Close	3Day-	%Chg N1	%Chg N2	%Chg N3
SP500	4/12/1999	1,358.63	1.00	-0.65	-2.22	-2.63
SP500	7/1/1999	1,380.96	0.00	0.74	0.52	1.08
SP500	12/23/1999	1,458.34	1.00	-0.09	-0.05	0.35
SP500	12/31/1999	1,469.25	1.00	-0.95	-4.75	-4.57
SP500	3/23/2000	1,527.35	2.00	0.01	-0.23	-1.28
SP500	9/2/2003	1,021.99	3.00	0.42	0.59	-0.06
SP500	12/1/2003	1,070.12	1.00	-0.33	-0.50	-0.04
SP500	12/31/2003	1,111.92	1.00	-0.31	0.93	1.06
SP500	1/8/2004	1,131.92	1.00	-0.89	-0.41	-0.95
SP500	11/12/2004	1,184.17	1.00	-0.03	-0.74	-0.19
SP500	7/14/2005	1,226.50	2.00	0.12	-0.44	0.23
SP500	11/21/2005	1,254.85	0.00	0.51	0.86	1.07
SP500	1/9/2006	1,290.15	1.00	-0.04	0.31	-0.32
SP500	3/16/2006	1,305.33	2.00	0.15	-0.02	-0.62
SP500	10/24/2006	1,377.38	3.00	0.35	0.85	-0.00
SP500	11/17/2006	1,401.20	1.00	-0.05	0.11	0.35
SP500	1/16/2007	1,431.90	1.00	-0.09	-0.39	-0.10
SP500	10/12/2009	1,076.19	0.00	0.00	0.00	0.00

This suggests a close below 1076 at some point over the next 3 days.

VIX and More...Short Term Negative

2009-10-12T02:00:00.003-04:00

The setup discussed on Thursday arguing for a higher close in the short term was fulfilled successfully on Friday. In that blog entry, i also pointed to a previous gap-up related study that argued for a lower close in the short term should be close up Friday. Given that we did close up Friday, i'd like to present that study once more.
On Thursday, the S&P painted a gap and run candle (Thursday's low was higher than the previous day's high). This was followed Friday by yet another higher close. Surprisingly, since 1990, there have only been 11 similar occurrences. In 10 out of 11 cases, the market was trading lower 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 lower within 3 days)

Ticker	Date/Time	Close	3Day-	%Chg N1	%Chg N2	%Chg N3
SP500	10/2/1990	315.21	1.00	-1.21	-0.80	-1.18
SP500	6/15/1992	410.29	1.00	-0.48	-1.96	-2.27
SP500	10/18/1996	710.82	1.00	-0.14	-0.60	-0.50
SP500	9/27/2007	1,531.38	1.00	-0.30	1.02	1.00
SP500	11/29/2007	1,469.72	3.00	0.78	0.18	-0.47
SP500	12/24/2007	1,496.45	2.00	0.08	-1.35	-1.20
SP500	4/3/2009	842.50	1.00	-0.83	-3.20	-2.06
SP500	4/13/2009	858.73	1.00	-2.01	-0.78	0.77
SP500	6/2/2009	944.74	1.00	-1.37	-0.24	-0.49
SP500	7/16/2009	940.74	1.00	-0.04	1.10	1.47
SP500	9/9/2009	1,033.37	0.00	1.04	0.91	1.55
SP500	10/9/2009	1,071.49	0.00	0.00	0.00	0.00

Over the past 5 days, we have seen the VXO (the 'old' VIX) decline over 20% (on a closing basis). This presents another high probability short setup. There have been 61 similar occurrences over the past decade where the VXO has retraced more than 20% in one week. In 52 cases (or 85.25% of the time) , the S&P 500 was trading lower within 3 days.

Ticker	Date/Time	Close	3Day-	%Chg N1	%Chg N2	%Chg N3
SP500	6/21/1999	1,349.00	1.00	-0.97	-1.18	-2.46
SP500	6/22/1999	1,335.88	1.00	-0.21	-1.50	-1.54
SP500	8/17/1999	1,344.16	1.00	-0.84	-1.53	-0.56
SP500	10/22/1999	1,301.65	1.00	-0.62	-1.52	-0.38
SP500	2/4/2000	1,424.37	1.00	-0.01	1.22	-0.89
SP500	3/3/2000	1,409.17	1.00	-1.27	-3.80	-3.01
SP500	4/24/2000	1,429.86	0.00	3.33	2.18	2.45
SP500	9/27/2001	1,018.61	0.00	2.19	1.96	3.21
SP500	9/28/2001	1,040.94	1.00	-0.23	1.00	3.01
SP500	2/13/2002	1,118.51	1.00	-0.18	-1.28	-3.14
SP500	7/29/2002	898.96	3.00	0.42	1.41	-1.59
SP500	7/30/2002	902.78	2.00	0.98	-2.01	-4.27
SP500	7/31/2002	911.62	1.00	-2.96	-5.20	-8.45
SP500	8/19/2002	950.70	1.00	-1.40	-0.14	1.26
SP500	11/20/2002	914.15	0.00	2.15	1.79	2.05
SP500	3/29/2004	1,122.47	0.00	0.40	0.33	0.86
SP500	3/30/2004	1,127.00	1.00	-0.07	0.46	1.31
SP500	5/19/2005	1,191.08	1.00	-0.15	0.23	0.25
SP500	5/20/2005	1,189.28	0.00	0.39	0.40	0.06
SP500	5/23/2005	1,193.86	2.00	0.02	-0.32	0.31
SP500	11/3/2005	1,219.94	3.00	0.02	0.24	-0.11
SP500	6/20/2006	1,240.12	0.00	0.97	0.44	0.35
SP500	6/21/2006	1,252.20	1.00	-0.53	-0.61	-0.13
SP500	7/25/2006	1,268.88	1.00	-0.04	-0.45	0.76
SP500	8/18/2006	1,302.30	1.00	-0.37	-0.27	-0.71
SP500	3/9/2007	1,402.84	2.00	0.27	-1.77	-1.12
SP500	3/12/2007	1,406.60	1.00	-2.04	-1.38	-1.02
SP500	3/20/2007	1,410.94	0.00	1.71	1.67	1.78
SP500	3/21/2007	1,435.04	1.00	-0.03	0.07	0.17
SP500	3/23/2007	1,436.11	2.00	0.10	-0.52	-1.31
SP500	6/19/2007	1,533.70	1.00	-1.36	-0.75	-2.03
SP500	7/3/2007	1,524.87	0.00	0.03	0.37	0.46
SP500	8/22/2007	1,464.07	1.00	-0.11	1.05	0.19
SP500	8/23/2007	1,462.50	3.00	1.15	0.29	-2.06
SP500	8/24/2007	1,479.37	1.00	-0.85	-3.18	-1.06
SP500	9/19/2007	1,529.03	1.00	-0.67	-0.21	-0.74
SP500	9/21/2007	1,525.75	1.00	-0.53	-0.56	-0.02
SP500	9/24/2007	1,517.73	1.00	-0.03	0.51	0.90
SP500	12/21/2007	1,484.46	3.00	0.81	0.89	-0.55
SP500	12/24/2007	1,496.45	2.00	0.08	-1.35	-1.20
SP500	12/26/2007	1,497.66	1.00	-1.43	-1.28	-1.96
SP500	2/1/2008	1,395.42	1.00	-1.05	-4.21	-4.94
SP500	3/24/2008	1,349.88	2.00	0.23	-0.65	-1.79
SP500	3/25/2008	1,352.99	1.00	-0.88	-2.01	-2.79
SP500	4/18/2008	1,390.33	1.00	-0.16	-1.04	-0.75
SP500	5/19/2008	1,426.63	1.00	-0.93	-2.52	-2.26
SP500	7/21/2008	1,260.00	3.00	1.35	1.76	-0.59
SP500	7/22/2008	1,277.00	2.00	0.41	-1.92	-1.51
SP500	10/31/2008	968.75	1.00	-0.25	3.82	-1.65
SP500	11/3/2008	966.30	2.00	4.08	-1.40	-6.36
SP500	11/4/2008	1,005.75	1.00	-5.27	-10.03	-7.43
SP500	11/5/2008	952.77	1.00	-5.03	-2.29	-3.52
SP500	11/26/2008	887.68	2.00	0.96	-8.05	-4.38
SP500	11/28/2008	896.24	1.00	-8.93	-5.29	-2.85
SP500	12/19/2008	887.88	1.00	-1.83	-2.78	-2.22
SP500	12/22/2008	871.63	1.00	-0.97	-0.40	0.13
SP500	1/27/2009	845.71	2.00	3.36	-0.07	-2.34
SP500	3/12/2009	750.74	0.00	0.77	0.42	3.65
SP500	6/29/2009	927.23	1.00	-0.85	-0.42	-3.32
SP500	9/10/2009	1,044.14	1.00	-0.14	0.50	0.81
SP500	10/9/2009	1,071.49	0.00	0.00	0.00	0.00

Lastly, over the past week, the VIX has moved from trading well above it's 10MA to now trading below it's 10MA by 10 percent or more. There have been 124 cases in the past decade where th VIX has closed below it's 10MA by 10% or more. In 102 cases (or 82%), the S&P 500 was trading lower within 3 days.

These studies argue for a close lower than 1071 by Wednesday.

Gap Up In A Long Term Trending Market

2009-10-09T00:58:00.001-04:00

The S&P today gapped up and although it finished off it's highs, printed an unfulfilled gap on the daily chart. Looking back for times where the S&P has done this in a long term trending market (defined by the S&P trading above it's 200 MA), we find 26 previous occurrences since 1980. In 21 cases, or 81% of the time, the S&P was trading higher within two days.

Ticker	Date/Time	Close	2Day+	%Chg N1	%Chg N2
SP500	11/5/1980	131.33	0.00	-1.84	-1.64
SP500	9/14/1982	123.10	1.00	0.97	0.54
SP500	10/7/1982	128.80	1.00	1.75	4.40
SP500	11/26/1982	134.88	2.00	-0.50	2.71
SP500	12/7/1982	142.72	0.00	-0.63	-1.91
SP500	2/24/1983	149.60	1.00	0.09	-1.03
SP500	3/2/1983	152.30	1.00	0.77	0.90
SP500	4/11/1983	155.14	1.00	0.44	1.05
SP500	5/4/1983	163.31	1.00	0.59	1.71
SP500	6/14/1983	165.53	1.00	0.96	2.18
SP500	6/30/1983	167.64	1.00	0.60	-0.62
SP500	7/1/1983	168.64	0.00	-1.21	-0.09
SP500	10/6/1983	170.28	1.00	0.31	1.39
SP500	10/7/1983	170.80	1.00	1.08	-0.27
SP500	10/25/1983	166.47	0.00	-0.65	-0.98
SP500	8/3/1984	162.35	1.00	0.15	0.23
SP500	6/13/1986	245.73	1.00	0.16	-0.56
SP500	6/12/1992	409.76	1.00	0.13	-0.35
SP500	12/18/1992	441.28	0.00	-0.13	-0.22
SP500	10/17/1996	706.99	1.00	0.54	0.40
SP500	9/26/2007	1,525.42	1.00	0.39	0.09
SP500	10/29/2007	1,540.98	2.00	-0.65	0.55
SP500	6/1/2009	942.87	1.00	0.20	-1.18
SP500	7/15/2009	932.68	1.00	0.86	0.83
SP500	8/21/2009	1,026.13	2.00	-0.05	0.18
SP500	9/8/2009	1,025.39	1.00	0.78	1.83
SP500	10/8/2009	1,065.48	0.00	0.00	0.00

Of course, should this occur tomorrow, it may set us up for an ST sell based on the study discussed here (Higher Close after Clean Gap Up - Short term negative)

What typically happens when the VIX trades completely outside of it's bollinger bands?

2009-10-05T03:02:00.007-04:00

On Friday, the VIX closed above it's upper bollinger bands (20,2) for the second consecutive day. In fact, on Friday, the VIX painted a black candle completely outside of it's band. Looking back over the past decade for similar closes, we find 23 occurrences where the VIX close was lower than it's open and the VIX low as above it's upper bollinger bands. In 20 of those cases 87%), the S&P 500 was trading higher within 3 days.

Ticker	Date/Time	Close	VIX	3Day+	%Chg N1	%Chg N2	%Chg N3
SP500	11/19/2003	1,042.44	18.65	3.00	-0.84	-0.69	0.92
SP500	5/3/2004	1,117.49	16.61	1.00	0.18	0.36	-0.31
SP500	1/4/2005	1,188.05	13.93	0.00	-0.36	-0.01	-0.16
SP500	3/23/2005	1,172.53	13.88	2.00	-0.09	0.15	-0.61
SP500	4/18/2005	1,145.98	16.41	1.00	0.59	-0.74	1.22
SP500	5/16/2005	1,165.69	15.67	1.00	0.70	1.70	2.18
SP500	7/7/2005	1,197.87	12.48	1.00	1.17	1.80	2.03
SP500	1/17/2006	1,283.03	11.87	2.00	-0.40	0.16	-1.68
SP500	1/23/2006	1,263.82	13.58	1.00	0.24	0.07	0.79
SP500	4/10/2006	1,296.62	12.04	0.00	-0.78	-0.66	-0.58
SP500	5/24/2006	1,258.57	17.13	1.00	1.14	1.72	0.10
SP500	7/17/2006	1,234.49	17.75	1.00	0.19	2.05	1.19
SP500	12/8/2006	1,409.84	11.91	1.00	0.23	0.12	0.24
SP500	8/1/2007	1,465.81	23.26	1.00	0.44	-2.23	0.13
SP500	8/16/2007	1,411.27	30.44	1.00	2.46	2.43	2.54
SP500	10/22/2007	1,506.33	21.38	1.00	0.88	0.63	0.54
SP500	11/8/2007	1,474.77	25.32	3.00	-1.43	-2.41	0.43
SP500	1/18/2008	1,325.19	26.27	2.00	-1.11	1.01	2.03
SP500	3/17/2008	1,276.60	31.10	1.00	4.24	1.71	4.14
SP500	6/9/2008	1,361.76	20.78	0.00	-0.24	-1.93	-1.61
SP500	9/10/2008	1,232.04	23.80	1.00	1.38	1.60	-3.19
SP500	10/16/2008	946.43	66.51	2.00	-0.62	4.12	0.91
SP500	9/2/2009	994.75	28.41	1.00	0.85	2.18	3.08
SP500	10/2/2009	1,025.21	27.98	0.00	0.00	0.00	0.00

Buying pullbacks in an uptrend

2009-10-01T20:37:00.005-04:00

With today's (relatively) huge down day, a number of ST buy signals were triggered. They included signals from the VIX, U/D volume, and Arms Index. I'm sure these will be mentioned or discussed elsewhere, so what i wanted to do instead was focus on a slightly different signal. You probably have heard many technicians argue that you should buy pull backs in an uptrend. What they may not define however is what constitutes a 'pullback' and a 'trend'. I will suggest it is a 2%+ one day decline while trading above the 200ma. Had you bought ever such pullback in the S&P 500 during the last decade, you would have traded 25 times, with 21 cases (or 84%) providing a positive return within the next 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 lower within 3 days)

Ticker	Date/Time	Close	3Day+	%Chg N1	%Chg N2	%Chg N3
SP500	2/9/1999	1,216.14	1.00	0.61	3.12	1.15
SP500	3/23/1999	1,262.14	1.00	0.51	2.21	1.64
SP500	4/19/1999	1,289.48	1.00	1.29	3.62	5.38
SP500	5/14/1999	1,337.80	1.00	0.13	-0.33	0.48
SP500	7/20/1999	1,377.10	1.00	0.16	-1.17	-1.46
SP500	9/21/1999	1,307.58	1.00	0.22	-2.08	-2.31
SP500	1/4/2000	1,399.42	1.00	0.19	0.29	3.00
SP500	1/24/2000	1,401.53	1.00	0.61	0.18	-0.21
SP500	1/28/2000	1,360.16	1.00	2.52	3.61	3.60
SP500	2/9/2000	1,411.71	1.00	0.36	-1.74	-1.54
SP500	2/11/2000	1,387.12	1.00	0.20	1.08	0.04
SP500	4/12/2000	1,467.17	0.00	-1.82	-7.54	-4.48
SP500	5/3/2000	1,415.10	2.00	-0.39	1.24	0.64
SP500	5/19/2000	1,406.95	0.00	-0.44	-2.35	-0.56
SP500	5/19/2003	920.77	2.00	-0.11	0.29	1.21
SP500	2/27/2007	1,399.04	1.00	0.56	0.30	-0.85
SP500	3/13/2007	1,377.95	1.00	0.67	1.04	0.65
SP500	7/26/2007	1,482.66	0.00	-1.60	-0.59	-1.85
SP500	8/9/2007	1,453.09	1.00	0.04	-0.01	-1.83
SP500	10/19/2007	1,500.63	1.00	0.38	1.26	1.02
SP500	11/1/2007	1,508.44	1.00	0.08	-0.42	0.78
SP500	6/15/2009	923.72	0.00	-1.27	-1.41	-0.58
SP500	7/2/2009	896.42	1.00	0.26	-1.72	-1.88
SP500	8/17/2009	979.73	1.00	1.01	1.71	2.82
SP500	9/1/2009	998.04	2.00	-0.33	0.52	1.84
SP500	10/1/2009	1,029.85	0.00	0.00	0.00	0.00

CBOE Put/Call spike signals ST Buy

2009-10-01T01:26:00.002-04:00

Today we saw a significant spike in the CBOE P/C ratio, closing at 1.12. I looked back over the past decade for similar occurrences, where the ratio closed above 1.1. There were 140 since 1/1/1999. In 112 cases, or 80% of the time, the S&P 500 closed higher within three days. The table below shows the last 43 instances, from 2008 to present.

(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	p/c	3Day+	%Chg N1	%Chg N2	%Chg N3
SP500	1/2/2008	1,447.16	1.165	0.00	0.00	-2.46	-2.14
SP500	1/4/2008	1,411.63	1.123	1.00	0.32	-1.52	-0.18
SP500	1/8/2008	1,390.19	1.375	1.00	1.36	2.17	0.78
SP500	1/15/2008	1,380.95	1.250	0.00	-0.56	-3.45	-4.04
SP500	2/5/2008	1,336.64	1.141	2.00	-0.76	0.02	-0.40
SP500	2/7/2008	1,336.91	1.131	2.00	-0.42	0.17	0.89
SP500	2/12/2008	1,348.86	1.138	1.00	1.36	0.00	0.08
SP500	2/15/2008	1,349.99	1.157	2.00	-0.09	0.74	-0.55
SP500	2/22/2008	1,353.11	1.147	1.00	1.38	2.08	1.99
SP500	2/28/2008	1,367.68	1.237	0.00	-2.71	-2.66	-2.99
SP500	3/19/2008	1,298.42	1.207	1.00	2.39	3.96	4.20
SP500	3/27/2008	1,325.76	1.125	3.00	-0.80	-0.23	3.35
SP500	4/4/2008	1,370.40	1.203	1.00	0.16	-0.35	-1.16
SP500	4/8/2008	1,365.54	1.137	0.00	-0.81	-0.37	-2.40
SP500	4/11/2008	1,332.83	1.290	2.00	-0.34	0.12	2.39
SP500	5/21/2008	1,390.71	1.182	1.00	0.26	-1.06	-0.39
SP500	6/3/2008	1,377.65	1.139	2.00	-0.03	1.92	-1.23
SP500	6/6/2008	1,360.68	1.146	1.00	0.08	-0.16	-1.85
SP500	6/11/2008	1,335.49	1.140	1.00	0.33	1.84	1.85
SP500	6/18/2008	1,337.81	1.121	1.00	0.38	-1.49	-1.48
SP500	6/20/2008	1,317.93	1.329	1.00	0.01	-0.28	0.31
SP500	6/26/2008	1,283.15	1.142	3.00	-0.37	-0.25	0.14
SP500	7/3/2008	1,262.90	1.204	2.00	-0.84	0.86	-1.44
SP500	7/11/2008	1,239.49	1.149	3.00	-0.90	-1.98	0.47
SP500	8/19/2008	1,266.69	1.132	1.00	0.62	0.87	2.01
SP500	8/25/2008	1,266.84	1.120	1.00	0.37	1.17	2.67
SP500	9/9/2008	1,224.51	1.113	1.00	0.61	2.00	2.22
SP500	9/15/2008	1,192.70	1.469	1.00	1.75	-3.04	1.16
SP500	9/29/2008	1,106.42	1.377	1.00	5.42	4.94	0.71
SP500	10/2/2008	1,114.28	1.366	0.00	-1.35	-5.15	-10.59
SP500	10/8/2008	984.94	1.181	3.00	-7.62	-8.70	1.87
SP500	10/15/2008	907.84	1.124	1.00	4.25	3.60	8.54
SP500	10/22/2008	896.78	1.217	1.00	1.26	-2.23	-5.34
SP500	11/6/2008	904.88	1.333	1.00	2.89	1.58	-0.66
SP500	11/10/2008	919.21	1.106	0.00	-2.20	-7.28	-0.86
SP500	11/19/2008	806.58	1.411	3.00	-6.71	-0.81	5.61
SP500	1/7/2009	906.65	1.142	1.00	0.34	-1.80	-4.01
SP500	1/12/2009	870.26	1.155	1.00	0.18	-3.18	-3.05
SP500	1/14/2009	842.62	1.147	1.00	0.13	0.89	-4.44
SP500	2/18/2009	788.42	1.181	0.00	-1.20	-2.33	-5.72
SP500	3/30/2009	787.53	1.136	1.00	1.31	2.99	5.95
SP500	6/17/2009	910.71	1.135	1.00	0.84	1.16	-1.94
SP500	9/30/2009	1,057.08	1.118	0.00	0.00	0.00	0.00

This suggests that any dip below 1057 may be a short term buying opportunity.

2009-09-29T01:41:00.002-04:00

I have been a bit busy lately due to some personal matters and have not been able to post lately.

I wanted to quickly point out that the two studies (TRIN and ADX related ST buy signals) presented in my last blog entry have been fulfilled today.

Note also that the pull back below 1725 on the nasdaq 100 may have presented a good buying opportunity based on this study as we are currently still trading just under 1725. Given that we did not close last week above 1725, that study suggests we will do so either this or next week.

TRIN, Reversal bar + ADX divergence indicating ST bounce

2009-09-24T02:42:00.010-04:00

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.

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

Nasdaq 100 > 200 weekly MA

2009-09-22T02:43:00.005-04:00

Update: Sept 17th Buy signals - the ST setup discussed was fullfilled on Sept 18th with a higher close. The intermediate term study remains on the board and suggests the market should close above 1065 my mid October.

Last week, Nasdaq 100 has essentially regained all it's losses since the Lehman crash. It has now crossed over it's 200 WEEKLY moving average and in overbought (as defined by a weekly RSI(14) > 70).

It would appear that this index is over extended and should be avoided. However history says otherwise and argues that there is a decent 1-3 week play here. Over the history of the Nasdaq 100, there have been 28 instances where the Nasdaq 100 closed above it's 200MA with an RSI(14) reading over 70. In 24 of those cases (or 86% of the time), the Nasdaq 100 went on to make another weekly higher close within the next 3 weeks. This suggest that if the Nasdaq dips below 1725, it could be a good buy for a 1 to 3 week play.

Ticker	Date/Time	Close	3Week+	%Chg N1	%Chg N2	%Chg N3
NDX	9/1/1989	223.51	3.00	-0.38	-0.69	0.17
NDX	9/22/1989	223.89	1.00	1.12	4.69	0.34
NDX	2/1/1991	234.45	1.00	4.27	5.92	6.05
NDX	3/28/1991	264.90	1.00	3.98	5.40	3.44
NDX	1/3/1992	334.82	1.00	3.67	4.45	3.17
NDX	2/7/1992	346.80	0.00	-0.03	-1.27	-0.27
NDX	12/4/1992	358.40	0.00	-2.10	-0.14	-0.23
NDX	1/8/1993	365.54	1.00	3.75	3.36	1.37
NDX	3/24/1995	455.43	3.00	-1.82	-2.51	0.77
NDX	4/28/1995	469.56	1.00	0.16	2.90	4.33
NDX	7/28/1995	574.18	2.00	-2.37	0.25	3.72
NDX	8/18/1995	595.52	3.00	-2.59	-3.75	1.47
NDX	9/20/1996	743.42	1.00	0.18	2.11	2.99
NDX	11/8/1996	798.66	1.00	0.10	2.47	4.43
NDX	5/23/1997	959.08	3.00	-0.02	-1.47	0.55
NDX	6/13/1997	964.40	1.00	1.76	-0.14	2.29
NDX	7/3/1997	986.52	1.00	2.95	8.56	10.02
NDX	10/10/1997	1,137.77	0.00	-5.51	-7.07	-10.38
NDX	7/10/1998	1,391.11	1.00	5.24	1.26	-1.00
NDX	12/11/1998	1,675.01	1.00	3.58	7.82	9.61
NDX	3/19/1999	2,053.69	1.00	0.66	4.50	8.71
NDX	7/9/1999	2,393.02	1.00	2.78	-3.80	-5.10
NDX	11/12/1999	2,888.91	1.00	4.84	7.88	9.81
NDX	2/4/2000	3,874.37	1.00	2.44	2.36	7.85
NDX	11/24/2006	1,815.53	0.00	-2.23	-1.61	-0.38
NDX	7/13/2007	2,032.16	1.00	0.18	-3.74	-5.59
NDX	10/5/2007	2,149.67	1.00	1.32	-0.86	2.09
NDX	10/26/2007	2,194.59	1.00	0.88	-7.30	-6.65
NDX	9/18/2009	1,725.24	1.00	0.37	0.37	0.37