Bullish Relationship Between S&P and Nasdaq 100 Relative Performance

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.

BKX a recent guage of S&P exhaustion?

BKX exhaustive move signal buy for S&P

The S&P topped in October of 2007. Since then, various interesting relationships have developed between the S&P and the BKX. One was triggered today and it seems to indicate short term exhaustion to the downside, arguing for a bounce over the next 3 days.
In the last decade, we have only had 27 instances where the S&P closed down 2% or more AND the BKX doubled that loss (i.e. closed down more than 4% loss). In 23 cases (or 85% of the time), the S&P was trading higher within 3 days. Note that in the majority of the cases, the gains came the very next day.

Ticker	Date/Time	Close	Chg	BKX Chg	3Day+	%Chg N1	%Chg N2	%Chg N3
^GSPC	9/24/1998	1,042.72	-2.19	-5.04	1.00	0.19	0.57	0.60
^GSPC	10/12/2000	1,329.78	-2.55	-5.19	1.00	3.34	3.37	1.52
^GSPC	3/14/2001	1,166.71	-2.58	-5.39	1.00	0.59	-1.39	0.35
^GSPC	7/23/2002	797.70	-2.70	-7.00	1.00	5.73	5.14	6.91
^GSPC	11/1/2007	1,508.44	-2.64	-5.36	1.00	0.08	-0.42	0.78
^GSPC	12/11/2007	1,477.65	-2.53	-5.22	1.00	0.61	0.73	-0.66
^GSPC	3/14/2008	1,288.14	-2.08	-4.23	2.00	-0.90	3.31	0.80
^GSPC	7/9/2008	1,244.69	-2.28	-5.71	1.00	0.70	-0.42	-1.32
^GSPC	7/24/2008	1,252.54	-2.31	-6.70	1.00	0.42	-1.45	0.85
^GSPC	9/22/2008	1,207.09	-3.82	-10.50	3.00	-1.56	-1.76	0.17
^GSPC	9/29/2008	1,106.42	-8.81	-20.82	1.00	5.42	4.94	0.71
^GSPC	12/9/2008	888.67	-2.31	-5.41	1.00	1.19	-1.70	-1.01
^GSPC	12/11/2008	873.59	-2.85	-8.96	1.00	0.70	-0.57	4.53
^GSPC	1/12/2009	870.26	-2.26	-6.10	1.00	0.18	-3.18	-3.05
^GSPC	1/20/2009	805.22	-5.28	-19.71	1.00	4.35	2.77	3.32
^GSPC	1/29/2009	845.14	-3.31	-8.29	0.00	-2.28	-2.33	-0.78
^GSPC	2/10/2009	827.16	-4.91	-13.85	1.00	0.80	0.97	-0.04
^GSPC	2/17/2009	789.17	-4.56	-10.03	0.00	-0.10	-1.30	-2.42
^GSPC	2/27/2009	735.09	-2.36	-8.73	0.00	-4.66	-5.27	-3.02
^GSPC	3/5/2009	682.55	-4.25	-11.81	1.00	0.12	-0.88	5.43
^GSPC	3/24/2009	806.12	-2.04	-7.38	1.00	0.96	3.32	1.22
^GSPC	3/30/2009	787.53	-3.48	-10.29	1.00	1.31	2.99	5.95
^GSPC	4/14/2009	841.50	-2.01	-8.14	1.00	1.25	2.83	3.34
^GSPC	4/20/2009	832.39	-4.28	-15.35	1.00	2.13	1.34	2.35
^GSPC	5/11/2009	909.24	-2.15	-7.09	0.00	-0.10	-2.78	-1.78
^GSPC	5/13/2009	883.92	-2.69	-6.50	1.00	1.04	-0.12	2.92
^GSPC	6/22/2009	893.04	-3.06	-6.65	1.00	0.23	0.88	3.05
^GSPC	9/1/2009	998.04	-2.21	-5.78	0.00	0.00	0.00	0.00

90% NYSE Down Volume Signal ST Buy for S&P

There have been 58 instances in the past decade where NYSE Down volume accounted for more than 90 percent of total volume. In 48 cases, or 83% of the time, the S&P was trading higher within 3 days.


SPY Short and Intermediate term buy

Today the SPY closed with a greater than 2 percent loss on volume that spiked to more than a 90 day high. As has been the case with the other two studies tonight, such an occurrence appears to coincide with a short term bottoming process. In the case of the SPY however, there are indications that this could be an intermediate term BUY opportunity as well. The table below shows the performance of the SPY 1, 2, 3 and 20 days out. The "3Day+" column indicates the number of days it took for the SPY to post a close higher than the trigger date. Notice that in 13 out of 16 cases (or 81.3%), the SPY was trading higher within 3 days. However, what is also interesting to note is the performance 20 trading days out. There we see that the SPY was trading higher 81.3% of the time as well.

Ticker	Date/Time	Close	3Day+	%Chg N1	%Chg N2	%Chg N3	%Chg N20
SPY	3/8/1996	51.57	1.00	1.14	0.35	1.05	1.90
SPY	8/8/1997	77.54	1.00	0.74	-0.86	-1.17	0.19
SPY	10/27/1997	72.67	1.00	5.78	5.49	3.16	8.96
SPY	8/27/1998	87.34	0.00	-0.37	-7.47	-3.55	0.82
SPY	2/24/2000	114.56	2.00	-0.36	1.74	2.71	14.38
SPY	4/14/2000	116.73	1.00	3.50	6.23	5.24	6.83
SPY	10/12/2000	114.82	1.00	3.33	3.81	1.22	5.19
SPY	3/16/2001	99.73	1.00	2.04	-0.70	-2.39	2.26
SPY	9/19/2001	88.66	0.00	-3.18	-4.23	-0.86	5.99
SPY	7/10/2002	80.92	1.00	0.82	-0.28	0.25	-4.36
SPY	7/19/2002	74.41	3.00	-2.96	-5.62	0.01	10.05
SPY	7/22/2002	72.21	2.00	-2.74	3.06	2.19	16.05
SPY	2/27/2007	132.06	1.00	1.02	0.72	-0.60	2.81
SPY	7/26/2007	141.28	0.00	-1.96	-0.43	-1.55	-1.01
SPY	9/17/2008	113.55	1.00	2.97	7.05	4.63	-22.36
SPY	10/10/2008	86.67	1.00	14.53	12.83	1.72	6.06
SPY	9/1/2009	100.20	0.00	0.00	0.00	0.00	0.00