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.

Nasdaq 100 > 200 weekly MA

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

NASDAQ 100: Positive Bias

On July 22nd, the NASDAQ 100 closed with an RSI(5) reading over 90. Over the next 4 days, it continued to make higher highs while the RSI remained above 90. Over the last two days, the NASDAQ finally took a breather and with that pause, the RSI(5) fell sharply below 50. Such sharp declines after only recently showing very strong relative strength appears to be short term bullish.

The table below shows that the NASDAQ 100 is trading higher than the trigger date 89% of the times when this setup has occurred in the past. In most cases, it is trading higher within two days. (Note, the '3Day+' column indicates the day when the NDX was trading lower than the trigger date)

Ticker			Date/Time					Close		3Day+			PctChg N1				PctChg N2					PctChg N3
^NDX			1/14/1999					1,906.12		1.00			3.96				6.69					6.69
^NDX			1/21/1999					1,961.76		1.00			0.12				1.80					5.12
^NDX			1/22/1999					1,964.21		1.00			1.68				4.99					3.37
^NDX			1/4/2000					3,546.20		0.00			-1.10				-5.79					-0.47
^NDX			1/5/2000					3,507.31		2.00			-4.75				0.64					5.99
^NDX			1/6/2000					3,340.81		1.00			5.65				11.27					6.09
^NDX			1/7/2000					3,529.60		1.00			5.32				0.42					-1.46
^NDX			1/11/2000					3,544.35		2.00			-1.87				1.91					4.53
^NDX			1/12/2000					3,478.14		1.00			3.85				6.51					8.04
^NDX			9/6/2000					3,837.62		1.00			3.02				-0.63					-3.41
^NDX			9/8/2000					3,813.44		0.00			-2.80				-3.84					-1.88
^NDX			9/11/2000					3,706.74		2.00			-1.08				0.94					0.83
^NDX			9/12/2000					3,666.87		1.00			2.04				1.92					0.26
^NDX			9/13/2000					3,741.75		0.00			-0.12				-1.75					-4.18
^NDX			9/14/2000					3,737.42		3.00			-1.63				-4.06					0.51
^NDX			9/15/2000					3,676.33		2.00			-2.47				2.18					3.10
^NDX			9/10/2003					1,332.28		1.00			1.39				1.90					1.16
^NDX			9/11/2003					1,350.80		1.00			0.51				-0.22					2.37
^NDX			9/15/2003					1,347.77		1.00			2.60				2.15					3.88
^NDX			1/22/2004					1,530.42		1.00			0.05				1.52					-0.73
^NDX			6/7/2005					1,531.12		2.00			-0.22				0.54					-0.66
^NDX			11/29/2005					1,676.84		2.00			-0.26				1.64					1.92
^NDX			11/30/2005					1,672.56		1.00			1.90				2.18					1.33
^NDX			12/8/2005					1,685.59		1.00			0.42				0.76					1.20
^NDX			11/27/2006					1,775.17		1.00			0.29				0.99					0.91
^NDX			11/28/2006					1,780.34		1.00			0.70				0.61					-0.29
^NDX			12/1/2006					1,775.12		1.00			1.40				1.67					1.35
^NDX			5/10/2007					1,875.20		1.00			1.26				0.69					-0.18
^NDX			8/6/2009					1,600.29		0.00			0.00				0.00					0.00