When S&P Futures Close Lower Five Consecutive Sessions

Take a quick look at the current S&P futures chart and you might think we'd
just put in a fifth consecutive lower close. That would be noteworthy, given
that five straight down days for the front-month S&P futures contract has been
a solid buy signal. The last thirty times this has occurred are listed in the
table below. Note that in 29 out of 30 cases, or better than 95% of the time,
the S&Ps posted a higher close (above the setup day's close) within the next
two sessions. That's significantly better than the 65% at-any-time odds for a
higher close within two days.

S&P Futures Settle Lower Five Days in a Row
01/22/08... Higher close one session later
02/27/07... Higher close one session later
06/09/06... No higher close within two sessions
01/05/05... Higher close one session later
02/24/04... Higher close one session later
01/22/03... Higher close one session later
12/05/02... Higher close one session later
04/05/02... Higher close one session later
02/07/02... Higher close one session later
09/21/01... Higher close one session later
06/14/01... Higher close one session later
11/13/00... Higher close one session later
10/12/00... Higher close one session later
05/23/00... Higher close one session later
04/14/00... Higher close one session later
09/24/99... Higher close one session later
07/23/99... Higher close two sessions later
04/19/99... Higher close one session later
07/24/98... Higher close one session later
02/29/96... Higher close one session later
02/20/96... Higher close one session later
09/07/94... Higher close one session later
05/09/94... Higher close one session later
04/18/94... Higher close one session later
07/06/93... Higher close one session later
06/08/93... Higher close one session later
04/23/93... Higher close two sessions later
10/07/92... Higher close one session later
03/30/92... Higher close one session later
01/21/92... Higher close one session later

The only catch? This wasn't technically triggered Tuesday because we haven't
had five lower closes. On Monday the S&P futures contract, like the cash
index, just managed to settle higher. But another S&P derivative, the tracking
stock SPY, did post a fifth consecutive down day as of Tuesday. While it
doesn't have quite as strong a track record of rallying over the next 1-2
days, there's still an edge. In 24 out of 27 cases since SPY began trading in
1993, or 89% of the time, the SPY posted a subsequently higher close within
two days, compared with 65% at-any-time odds...

SPY Settles Lower Five Days in a Row
03/04/08... ???
01/22/08... Higher SPY close one session later
01/03/08... No higher close within two sessions
02/27/07... Higher SPY close one session later
11/02/06... Higher SPY close two sessions later
06/09/06... No higher close within two sessions
01/05/05... Higher SPY close one session later
02/24/04... Higher SPY close one session later
01/22/03... Higher SPY close one session later
09/23/02... Higher SPY close two sessions later
02/07/02... Higher SPY close one session later
09/21/01... Higher SPY close one session later
06/14/01... No higher close within two sessions
11/13/00... Higher SPY close one session later
10/12/00... Higher SPY close one session later
05/23/00... Higher SPY close one session later
04/14/00... Higher SPY close one session later
10/15/99... Higher SPY close one session later
09/24/99... Higher SPY close one session later
07/23/99... Higher SPY close two sessions later
04/19/99... Higher SPY close one session later
04/11/96... Higher SPY close one session later
02/29/96... Higher SPY close one session later
02/20/96... Higher SPY close one session later
08/03/95... Higher SPY close one session later
05/09/94... Higher SPY close one session later
06/08/93... Higher SPY close one session later
04/23/93... Higher SPY close two sessions later

I'd also note S&P futures have opened down and closed above the open on Monday
and Tuesday of this week. If we open lower again on Wednesday, a close above
the open would trigger the two-day sell setup recently discussed in my
February 26th column.

Categories : Archived EOD Commentary, End-of-Day Commentary

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