No lag between the 20-day Moving Average of the Cumulative TICK and the S&P500

TICKscore settled at +14 Monday, Cumulative TICK +16,000. Note that the 20-day moving average of the Cumulative TICK remains in a general downtrend despite its recent attempt to stabilize. That trend will most likely persist until early February. Big positive readings from the last days of December and first days of January will be falling off the 20-day average over the next seven days, and that’s going to make it difficult for the moving average to reverse the current downtrend. The average will have a much better shot of trending higher in early February, once those unusually high readings are no longer included. Given that there’s no lag between the 20-day average of the Cumulative TICK and the S&P500 itself (see chart), it appears the market will have a better chance of putting in a sustainable bottom at that time.

While on the subject, I wanted to post this chart in which the 20-day average of the Cumulative TICK (in red) is overlaid on a chart of the Cumulative Adjusted TICK. You can see how similarly they move as they’re both based on the same underlying NYSE TICK data, although the Adjusted version does appear to lead slightly at times. I tend to focus on the 20-day average as that’s what I’m most familiar with, but the Adjusted version performs similarly well.

All of my short-term bullish setups fell off on the board Monday, and a new sell signal was added given the underperformance of the banking index. The BKX fell 3% even as the S&P managed to post a modest gain. The S&P typically struggles over the next few sessions when it bucks the trend of a solid down day for the BKX. The table below lists the last thirty instances in which the S&P500 closed higher on a day when the Philadelphia Bank Index lost more than 1.5%…

S&P Closes Higher Despite 1.5%+ Selloff for BKX
01/26/09… S&P500 ??? three sessions later
01/15/09… S&P500 -0.4% three sessions later
06/30/08… S&P500 -1.3% three sessions later
06/23/08… S&P500 -2.6% three sessions later
06/09/08… S&P500 -1.6% three sessions later
05/28/08… S&P500 -0.4% three sessions later
05/16/08… S&P500 -2.4% three sessions later
05/08/08… S&P500 +0.4% three sessions later
04/04/08… S&P500 -1.2% three sessions later
03/03/08… S&P500 -2.0% three sessions later
12/12/07… S&P500 -2.7% three sessions later
04/02/07… S&P500 +1.4% three sessions later
03/06/07… S&P500 +0.5% three sessions later
10/05/01… S&P500 +0.9% three sessions later
01/09/01… S&P500 +1.4% three sessions later
11/15/00… S&P500 -3.4% three sessions later
10/04/00… S&P500 -2.3% three sessions later
06/30/00… S&P500 +0.1% three sessions later
06/21/00… S&P500 -1.6% three sessions later
06/15/00… S&P500 -0.2% three sessions later
05/16/00… S&P500 -4.0% three sessions later
04/27/00… S&P500 -1.3% three sessions later
04/07/00… S&P500 -3.2% three sessions later
02/17/00… S&P500 -2.0% three sessions later
02/14/00… S&P500 -0.1% three sessions later
02/10/00… S&P500 -1.0% three sessions later
01/10/00… S&P500 -0.5% three sessions later
12/16/99… S&P500 +1.0% three sessions later
11/03/99… S&P500 +1.6% three sessions later
09/27/99… S&P500 -0.1% three sessions later
08/25/99… S&P500 -4.2% three sessions later

Note that in only eight cases out of thirty, or 27% of the time, was the S&P trading at a higher level three sessions later. That’s significantly worse than the 54% at-any-time odds for a higher S&P three sessions later. The S&P gained more than 0.5% over the next three days in only five cases out of thirty, while it lost more than 0.5% a total of sixteen times.

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

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