Monthly S&P charts - interim term bullish

ST term expectations noted in last two blog entries here and here, have been fullfilled with today's higher close. In those last two blog entries, i also pointed out a couple of interim term studies. Today i focus on another.

The S&P 500 just closed up for it's sixth consecutive month. Historically, this appears to underscore the resolve of the bulls here and argues for a bullish bias for the next few months. The table below show the performance of the S&P 3 months later after closing up for 6 consecutive months

Ticker	Date/Time	Close	%Chg 3 Months Later
SPX	2/26/1954	26.15	11.63
SPX	8/29/1958	47.75	9.91
SPX	4/28/1961	65.31	2.22
SPX	5/28/1964	80.37	1.82
SPX	4/30/1971	103.95	-8.05
SPX	5/31/1972	109.53	1.42
SPX	6/30/1975	95.19	-11.89
SPX	9/30/1980	125.46	8.21
SPX	1/31/1983	145.30	13.17
SPX	3/31/1986	238.90	5.00
SPX	4/30/1991	375.34	3.32
SPX	2/26/1993	443.38	1.54
SPX	5/31/1995	533.40	5.34
SPX	4/30/1996	654.17	-2.17
SPX	4/30/1998	1,111.75	0.80
SPX	8/29/2003	1,008.01	4.98
SPX	11/30/2006	1,400.63	0.44
SPX	8/31/2009	1,020.62	-1.70

In 76.5% of the cases, the S&P was trading higher 3 months later, vs 64% odds of the S&P closing higher 3 months later after any given month.

In short, a market that continues to make higher highs in what seems like already over-extended moves is a strong market and we should expect even higher prices to follow.

RSI(2) and VIX

Interesting day. We had two high probability buys triggered today to add the slew of buys from yesterday. Taken together these two signals, the S&P 500 RSI(2) closing below 2 and the VIX closing above it's bollinger bands for the second consecutive day, shows some very favorable odds. This has only occurred 8 times. While not statistically significant, each time marked a short and intermediate term bottom. The table below show that in every case, the market was up within 3 days. Notable as well, the market was up 20 trading days later in 7 out of the 8 cases.

(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	%Chg N20
SPX	8/6/1990	334.43	1.00	0.12	1.17	1.65	-3.39
SPX	1/8/1991	314.90	3.00	-1.08	-0.12	0.10	11.55
SPX	9/7/2001	1,085.78	1.00	0.62	-4.33	-4.88	1.07
SPX	4/29/2002	1,065.45	1.00	1.08	1.97	1.79	0.85
SPX	7/23/2002	797.70	1.00	5.73	5.14	6.91	17.52
SPX	3/11/2004	1,106.78	1.00	1.25	-0.21	0.35	2.94
SPX	8/6/2004	1,063.97	1.00	0.12	1.42	1.11	4.67
SPX	6/13/2006	1,223.69	1.00	0.52	2.65	2.28	2.85
SPX	9/2/2009	994.75	0.00	0.00	0.00	0.00	0.00

When we relax the RSI(2) criteria to look for cases where RSI(2) closed below 10 while VIX closed above it's upper BB(20,2) bands for two consecutive days, we get 36 previous occurrences. In these cases, the market was up 88.9% of the times 3 days later. This is about the same odds had we used the RSI(2) alone. However, where we see better odds by combining these two non-related triggers is looking out 20 days. There, we see that the S&P has historically been up 81% of the time 20 trading days later vs 73% odds with the RSI(2) alone.

Ticker	Date/Time	Close	3Day+	%Chg N1	%Chg N2	%Chg N3	%Chg N20
SPX	8/6/1990	334.43	1.00	0.12	1.17	1.65	-3.39
SPX	1/8/1991	314.90	3.00	-1.08	-0.12	0.10	11.55
SPX	6/18/1992	400.96	1.00	0.68	0.61	0.77	3.66
SPX	10/2/1992	410.47	0.00	-0.71	-0.80	-1.52	2.00
SPX	1/5/1993	434.34	1.00	0.04	-0.83	-1.22	1.89
SPX	2/17/1993	433.30	2.00	-0.32	0.21	0.45	3.46
SPX	9/8/1993	456.65	1.00	0.19	1.11	1.18	0.90
SPX	9/21/1993	452.95	1.00	0.72	1.06	1.03	2.93
SPX	11/4/1993	457.49	1.00	0.45	0.59	0.62	1.62
SPX	3/31/1994	445.77	2.00	-1.54	0.57	0.51	1.63
SPX	6/21/1994	451.34	1.00	0.39	-0.38	-1.89	0.06
SPX	1/10/1996	598.48	1.00	0.70	0.56	0.22	8.60
SPX	7/16/1996	628.37	1.00	0.91	2.42	1.65	5.07
SPX	12/16/1996	720.98	1.00	0.70	1.46	3.44	6.41
SPX	7/24/1998	1,140.80	1.00	0.57	-0.93	-1.37	-5.22
SPX	8/28/1998	1,027.14	0.00	-6.80	-3.20	-3.57	2.10
SPX	9/24/1999	1,277.36	1.00	0.47	0.38	-0.70	1.90
SPX	10/10/2000	1,387.02	0.00	-1.62	-4.13	-0.93	3.23
SPX	2/21/2001	1,255.27	3.00	-0.20	-0.75	0.99	-10.61
SPX	9/7/2001	1,085.78	1.00	0.62	-4.33	-4.88	1.07
SPX	4/29/2002	1,065.45	1.00	1.08	1.97	1.79	0.85
SPX	6/4/2002	1,040.69	1.00	0.88	-1.11	-1.26	-8.90
SPX	7/16/2002	900.94	1.00	0.57	-2.15	-5.90	-1.86
SPX	7/23/2002	797.70	1.00	5.73	5.14	6.91	17.52
SPX	1/27/2003	847.48	1.00	1.31	1.99	-0.34	-1.05
SPX	11/18/2003	1,034.15	1.00	0.80	-0.05	0.11	4.09
SPX	3/11/2004	1,106.78	1.00	1.25	-0.21	0.35	2.94
SPX	5/10/2004	1,087.12	1.00	0.77	0.93	0.86	5.06
SPX	8/6/2004	1,063.97	1.00	0.12	1.42	1.11	4.67
SPX	10/6/2005	1,191.49	1.00	0.37	-0.35	-0.56	2.39
SPX	5/18/2006	1,261.81	1.00	0.41	0.02	-0.41	-0.81
SPX	6/13/2006	1,223.69	1.00	0.52	2.65	2.28	2.85
SPX	3/5/2007	1,374.12	1.00	1.55	1.30	2.02	3.67
SPX	6/7/2007	1,490.72	1.00	1.14	1.23	0.15	2.66
SPX	7/27/2007	1,458.95	1.00	1.03	-0.25	0.47	1.40
SPX	10/7/2008	996.23	0.00	-1.13	-8.66	-9.74	0.96
SPX	9/2/2009	994.75	0.00	0.00	0.00	0.00	0.00

Pretty good odds when compared to the the odds of the S&P closing higher on any given day under the same exit conditions over the same data sample period - those odds are 69.6% for a higher close WITHIN 3 days and 59.92% for a higher close 20 days later.

These studies combined with yesterday's suggest the market has a high probability of closing higher within the next few days and additionally suggests that the market may remain on firm ground looking further out, 1 month later.

If the market continues lower over the next few days despite these occurrences, bears will have made their mark quite strongly.

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

Weekly Outside Bar and NR6?

What about NR6s?

My internet service was unexpectedly down for the last two days, hence no updates...Never in my life have i had to work so hard to give someone my money! That really blew! Anyway, I have one short term and one interim term study to share. Both show a negative bias, but also indicate limited down side.

You have probably heard of an NR7 day. For those that are not familiar what that means, it is nothing more than short hand for a day's whose range (high - low) was the narrowest of the last 7 days. Well we did not get such a day today, but we may tomorrow...that remains to be seen. What about an NR6 day - is there any edge that it can offer? Well it turns out there is. Today's range was the narrowest of the last 6 while the S&P made a new high. In the past decade, there have been 40 such instances. In 34 cases (or 85% of the time), the market was trading lower within 3 days.

Ticker	Date/Time	Close	3Day-	%Chg N1	%Chg N2	%Chg N3
^GSPC	3/8/1999	1,282.73	1.00	-0.23	0.32	1.17
^GSPC	4/26/1999	1,360.04	2.00	0.20	-0.67	-1.27
^GSPC	5/13/1999	1,367.56	1.00	-2.18	-2.05	-2.50
^GSPC	7/2/1999	1,391.22	1.00	-0.22	0.33	0.23
^GSPC	7/7/1999	1,395.86	1.00	-0.10	0.53	0.23
^GSPC	7/9/1999	1,403.28	1.00	-0.30	-0.69	-0.36
^GSPC	12/22/1999	1,436.13	0.00	1.55	1.46	1.50
^GSPC	12/29/1999	1,463.46	3.00	0.07	0.40	-0.56
^GSPC	3/22/2000	1,500.64	0.00	1.78	1.79	1.55
^GSPC	6/3/2003	971.56	0.00	1.51	1.91	1.67
^GSPC	6/17/2003	1,011.66	1.00	-0.16	-1.68	-1.58
^GSPC	10/31/2003	1,050.71	0.00	0.79	0.24	0.10
^GSPC	12/12/2003	1,074.14	1.00	-0.57	0.09	0.22
^GSPC	12/17/2003	1,076.48	0.00	1.18	1.13	1.53
^GSPC	12/23/2003	1,096.02	1.00	-0.18	-0.01	1.23
^GSPC	12/30/2003	1,109.64	2.00	0.21	-0.10	1.13
^GSPC	12/23/2004	1,210.13	1.00	-0.43	0.28	0.27
^GSPC	3/7/2005	1,225.31	1.00	-0.48	-1.49	-1.31
^GSPC	8/3/2005	1,245.04	1.00	-0.74	-1.50	-1.76
^GSPC	11/25/2005	1,268.25	1.00	-0.85	-0.85	-1.48
^GSPC	1/9/2006	1,290.15	1.00	-0.04	0.31	-0.32
^GSPC	3/17/2006	1,307.25	1.00	-0.17	-0.77	-0.17
^GSPC	4/5/2006	1,311.56	1.00	-0.19	-1.22	-1.14
^GSPC	5/2/2006	1,313.21	1.00	-0.39	-0.07	0.96
^GSPC	9/27/2006	1,336.59	2.00	0.17	-0.06	-0.39
^GSPC	9/28/2006	1,338.88	1.00	-0.23	-0.56	-0.36
^GSPC	10/10/2006	1,353.42	1.00	-0.26	0.70	0.90
^GSPC	10/24/2006	1,377.38	3.00	0.35	0.85	-0.00
^GSPC	11/21/2006	1,402.81	2.00	0.23	-0.13	-1.49
^GSPC	12/5/2006	1,414.76	1.00	-0.13	-0.53	-0.35
^GSPC	1/12/2007	1,430.73	2.00	0.08	-0.01	-0.30
^GSPC	1/16/2007	1,431.90	1.00	-0.09	-0.39	-0.10
^GSPC	2/2/2007	1,448.39	1.00	-0.10	-0.03	0.11
^GSPC	2/15/2007	1,456.81	1.00	-0.09	0.20	0.06
^GSPC	5/7/2007	1,509.48	1.00	-0.12	0.21	-1.19
^GSPC	5/21/2007	1,525.10	1.00	-0.06	-0.18	-1.15
^GSPC	5/31/2007	1,530.62	0.00	0.37	0.56	0.02
^GSPC	6/2/2009	944.74	1.00	-1.37	-0.24	-0.49
^GSPC	6/12/2009	946.21	1.00	-2.38	-3.62	-3.75
^GSPC	7/27/2009	982.18	1.00	-0.26	-0.72	0.47
^GSPC	8/26/2009	1,028.12	0.00	0.00	0.00	0.00

Note that while the bias is clearly negative, except for the last few instances, generally downside has been limited.


Weekly outside day at new 10 week high

Last week the S&P the S&P painted an outside bar on the weekly chart while closing at a new 10 week high. There have only been 12 similar instances in the past decade. As you can see from the table below, the market closed lower in all cases but one within the next 3 weeks. However, observe that in the past 3 years, the declines were less than 1% were you to exit on the first weekly lower close.

Ticker	Date/Time	Close	3Day-	%Chg N1	%Chg N2	%Chg N3
^GSPC	1/8/1999	1,275.09	1.00	-2.50	-3.91	0.36
^GSPC	4/23/1999	1,356.85	1.00	-1.60	-0.87	-1.40
^GSPC	12/3/1999	1,433.30	1.00	-1.13	-0.86	1.75
^GSPC	1/4/2002	1,172.51	1.00	-2.30	-3.83	-3.35
^GSPC	12/12/2003	1,074.14	0.00	1.35	2.02	3.20
^GSPC	10/1/2004	1,131.50	1.00	-0.83	-2.06	-3.16
^GSPC	1/6/2006	1,285.45	2.00	0.17	-1.86	-0.13
^GSPC	4/21/2006	1,311.28	1.00	-0.05	1.10	-1.53
^GSPC	9/15/2006	1,319.66	1.00	-0.37	1.23	2.27
^GSPC	1/12/2007	1,430.73	1.00	-0.02	-0.60	1.23
^GSPC	2/16/2007	1,455.54	1.00	-0.30	-4.70	-3.62
^GSPC	4/18/2008	1,390.33	3.00	0.54	1.70	-0.15
^GSPC	8/21/2009	1,026.13	0.00	0.19	0.19	0.19