New 20-day Highs Exceed 1,000
By
Rennie on Sunday, April 12th, 2009 at 5:42 pm
Big Board volume was surprisingly heavy Thursday, up 39% from the day before as banking stocks surged. Looking back at previous high-volume surges (breadth at least 3:1 positive and volume +33% from the day before), there’s a tendency for the S&P to trade flat-to-higher over the next week, but the edge is not significant.
Thursday’s massively lopsided breadth (nearly 7:1 positive) sent the NYSE McClellan Oscillator into overbought territory (over +200). That sets the stage for a potential short-term sell signal to be triggered Monday unless we see fairly lopsided selling pressure. Specifically, declining issues on the NYSE need to outnumber advancers by over 750. Anything less than that will trigger the short-term sell setup recently outlined in my April 2nd commentary.
TICKscore closed at +37 Thursday, Cumulative TICK +114,000. Note that the 20-day moving average of the Cumulative TICK topped out earlier in the week.
Thursday’s sharp rally sent the OEX Volatility Index (VXO) lower for a fifth consecutive session as it settled under its lower bollinger band. Unlike times of rising volatility, in which the VXO can remain over it’s upper band for a number of days before correcting, volatility generally won’t remain below its lower band for more than a couple of sessions before rallying. Given the inverse relationship between volatility and the stock market, rebounding volatility tends to correspond with a flat-to-down market. Listed below are the last thirty instances when the VXO closed under it’s lower band, indicating volatility is technically oversold, along with the performance of the S&P100 (OEX) over the next three sessions…
VXO Closes Under its Lower Bollinger Band
04/09/09… OEX ??? three sessions later
12/19/08… OEX -1.7% three sessions later
05/19/08… OEX -2.5% three sessions later
02/25/08… OEX -0.1% three sessions later
12/21/07… OEX -0.5% three sessions later
09/21/07… OEX +0.1% three sessions later
11/17/06… OEX +0.2% three sessions later
08/16/06… OEX +0.5% three sessions later
11/03/05… OEX +0.1% three sessions later
09/09/05… OEX -1.1% three sessions later
06/21/05… OEX -1.9% three sessions later
04/12/05… OEX -3.2% three sessions later
02/04/05… OEX -0.5% three sessions later
02/01/05… OEX +1.2% three sessions later (*)
12/21/04… OEX +0.1% three sessions later
06/08/04… OEX -1.2% three sessions later
07/25/03… OEX -1.1% three sessions later
05/16/03… OEX -2.2% three sessions later
04/17/03… OEX +3.0% three sessions later (*)
04/14/03… OEX +0.9% three sessions later
11/20/02… OEX +2.1% three sessions later (*)
11/15/02… OEX +0.7% three sessions later
12/27/01… OEX -0.3% three sessions later
12/19/01… OEX -0.6% three sessions later
10/26/01… OEX -4.2% three sessions later
05/21/01… OEX -1.5% three sessions later
01/23/01… OEX -0.4% three sessions later
08/08/00… OEX -0.2% three sessions later
06/29/00… OEX +0.5% three sessions later
11/18/99… OEX -0.4% three sessions later
10/08/99… OEX -3.9% three sessions later
While not quite accurate enough to be considered a sell signal, note that in the majority of cases this setup has translated into limited upside potential over the next few sessions. In only three cases out of thirty, or 10% of the time, was the OEX up 1% or more three days later, while it was down 1%+ a total of eleven times. This suggests an area of short-term resistance in the SPX 865 area during the first half of this coming week.
Thursday marked the largest number of new 52-week highs this year. It also marked the third-largest number of new 20-day highs this year as just over 2,800 issues hit fresh 20-day highs (see current chart and long-term version), up from 764 the day before. This is a statistic often mentioned by Brett Steenbarger as a more responsive version of the 52-week figures that are widely reported. I’m now tracking both in the charting section. I’ll also be overhauling the nightly datasheet shortly and will be including this and many other indicators that we track but haven’t included up to this point.
In recent times, whenever 20-day Highs have initially exceeded 1,000, the market’s upside potential has been limited over the next couple of sessions. The last thirty instances in which 20-day Highs initially exceeded 1,000 are listed in the table below, along with the S&P’s performance over the next two days. Particularly noteworthy is that in only four cases out of thirty was the S&P up 1%+ two sessions later, while it was down 1%+ a total of nineteen times…
New 20-day Highs Exceed 1,000
04/09/09… S&P500 ??? two sessions later
04/02/09… S&P500 +0.1% two sessions later
03/23/09… S&P500 -1.1% two sessions later
03/18/09… S&P500 -3.3% two sessions later
02/06/09… S&P500 -4.8% two sessions later
01/09/09… S&P500 -2.1% two sessions later
12/31/08… S&P500 +2.7% two sessions later
12/16/08… S&P500 -3.1% two sessions later
12/08/08… S&P500 -1.2% two sessions later
11/04/08… S&P500 -10.0% two sessions later
09/19/08… S&P500 -5.3% two sessions later
09/08/08… S&P500 -2.8% two sessions later
09/02/08… S&P500 -3.2% two sessions later
08/15/08… S&P500 -2.4% two sessions later
08/08/08… S&P500 -0.5% two sessions later
08/05/08… S&P500 -1.5% two sessions later
07/30/08… S&P500 -1.9% two sessions later
07/23/08… S&P500 -1.9% two sessions later
06/05/08… S&P500 -3.0% two sessions later
05/21/08… S&P500 -1.1% two sessions later
05/12/08… S&P500 +0.4% two sessions later
05/06/08… S&P500 -1.5% two sessions later
04/30/08… S&P500 +2.0% two sessions later
04/24/08… S&P500 +0.5% two sessions later
04/16/08… S&P500 +1.9% two sessions later
04/01/08… S&P500 -0.1% two sessions later
03/24/08… S&P500 -0.7% two sessions later
02/26/08… S&P500 -1.0% two sessions later
01/30/08… S&P500 +2.9% two sessions later
12/26/07… S&P500 -1.3% two sessions later
12/21/07… S&P500 +0.9% two sessions later
Looking beyond the next few days, it’s noteworthy that the Standard & Poors Oscillator could once again trigger an intermediate-term buy setup if the S&P closes above 842 on Monday. This would be an identical signal to the two-week buy triggered back on March 26th (and which fell off the board at the end of last week).
Program trading executed as principal, for member firms’ own accounts, remained heavy during the week ending April 3rd at 41.2% of total program volume. This remains a supportive factor for the market. As I noted back on March 1st…
Look back at times when principal program activity remained persistently above 40% (beginning of 2003, mid-2004 and throughout 2005) and note that breakdowns (violations of previous support) during these time frames were typically fakeouts from a longer-term perspective. That?s the one bit of good news regarding the S&P?s recent break into new lows – it may ultimately prove to be a fakeout.
Given how quickly the market has fallen over the last year, there’s plenty of room for the market to move higher over the intermediate-term. But that doesn’t change the fact that most of the ‘big picture’ indicators I track, including Market Vane, Last Hour, Up-Down Volume and Cumulative TICKscore, have not turned bullish. Only one, the Nasdaq/NYSE Volume Ratio, is even back in neutral territory, so it’s premature to consider this the beginning of a new bull market despite the bullish program activity.
New 20-day Highs Exceed 1,000
By Rennie on Sunday, April 12th, 2009 at 5:42 pmBig Board volume was surprisingly heavy Thursday, up 39% from the day before as banking stocks surged. Looking back at previous high-volume surges (breadth at least 3:1 positive and volume +33% from the day before), there’s a tendency for the S&P to trade flat-to-higher over the next week, but the edge is not significant.
Thursday’s massively lopsided breadth (nearly 7:1 positive) sent the NYSE McClellan Oscillator into overbought territory (over +200). That sets the stage for a potential short-term sell signal to be triggered Monday unless we see fairly lopsided selling pressure. Specifically, declining issues on the NYSE need to outnumber advancers by over 750. Anything less than that will trigger the short-term sell setup recently outlined in my April 2nd commentary.
TICKscore closed at +37 Thursday, Cumulative TICK +114,000. Note that the 20-day moving average of the Cumulative TICK topped out earlier in the week.
Thursday’s sharp rally sent the OEX Volatility Index (VXO) lower for a fifth consecutive session as it settled under its lower bollinger band. Unlike times of rising volatility, in which the VXO can remain over it’s upper band for a number of days before correcting, volatility generally won’t remain below its lower band for more than a couple of sessions before rallying. Given the inverse relationship between volatility and the stock market, rebounding volatility tends to correspond with a flat-to-down market. Listed below are the last thirty instances when the VXO closed under it’s lower band, indicating volatility is technically oversold, along with the performance of the S&P100 (OEX) over the next three sessions…
VXO Closes Under its Lower Bollinger Band
04/09/09… OEX ??? three sessions later
12/19/08… OEX -1.7% three sessions later
05/19/08… OEX -2.5% three sessions later
02/25/08… OEX -0.1% three sessions later
12/21/07… OEX -0.5% three sessions later
09/21/07… OEX +0.1% three sessions later
11/17/06… OEX +0.2% three sessions later
08/16/06… OEX +0.5% three sessions later
11/03/05… OEX +0.1% three sessions later
09/09/05… OEX -1.1% three sessions later
06/21/05… OEX -1.9% three sessions later
04/12/05… OEX -3.2% three sessions later
02/04/05… OEX -0.5% three sessions later
02/01/05… OEX +1.2% three sessions later (*)
12/21/04… OEX +0.1% three sessions later
06/08/04… OEX -1.2% three sessions later
07/25/03… OEX -1.1% three sessions later
05/16/03… OEX -2.2% three sessions later
04/17/03… OEX +3.0% three sessions later (*)
04/14/03… OEX +0.9% three sessions later
11/20/02… OEX +2.1% three sessions later (*)
11/15/02… OEX +0.7% three sessions later
12/27/01… OEX -0.3% three sessions later
12/19/01… OEX -0.6% three sessions later
10/26/01… OEX -4.2% three sessions later
05/21/01… OEX -1.5% three sessions later
01/23/01… OEX -0.4% three sessions later
08/08/00… OEX -0.2% three sessions later
06/29/00… OEX +0.5% three sessions later
11/18/99… OEX -0.4% three sessions later
10/08/99… OEX -3.9% three sessions later
While not quite accurate enough to be considered a sell signal, note that in the majority of cases this setup has translated into limited upside potential over the next few sessions. In only three cases out of thirty, or 10% of the time, was the OEX up 1% or more three days later, while it was down 1%+ a total of eleven times. This suggests an area of short-term resistance in the SPX 865 area during the first half of this coming week.
Thursday marked the largest number of new 52-week highs this year. It also marked the third-largest number of new 20-day highs this year as just over 2,800 issues hit fresh 20-day highs (see current chart and long-term version), up from 764 the day before. This is a statistic often mentioned by Brett Steenbarger as a more responsive version of the 52-week figures that are widely reported. I’m now tracking both in the charting section. I’ll also be overhauling the nightly datasheet shortly and will be including this and many other indicators that we track but haven’t included up to this point.
In recent times, whenever 20-day Highs have initially exceeded 1,000, the market’s upside potential has been limited over the next couple of sessions. The last thirty instances in which 20-day Highs initially exceeded 1,000 are listed in the table below, along with the S&P’s performance over the next two days. Particularly noteworthy is that in only four cases out of thirty was the S&P up 1%+ two sessions later, while it was down 1%+ a total of nineteen times…
New 20-day Highs Exceed 1,000
04/09/09… S&P500 ??? two sessions later
04/02/09… S&P500 +0.1% two sessions later
03/23/09… S&P500 -1.1% two sessions later
03/18/09… S&P500 -3.3% two sessions later
02/06/09… S&P500 -4.8% two sessions later
01/09/09… S&P500 -2.1% two sessions later
12/31/08… S&P500 +2.7% two sessions later
12/16/08… S&P500 -3.1% two sessions later
12/08/08… S&P500 -1.2% two sessions later
11/04/08… S&P500 -10.0% two sessions later
09/19/08… S&P500 -5.3% two sessions later
09/08/08… S&P500 -2.8% two sessions later
09/02/08… S&P500 -3.2% two sessions later
08/15/08… S&P500 -2.4% two sessions later
08/08/08… S&P500 -0.5% two sessions later
08/05/08… S&P500 -1.5% two sessions later
07/30/08… S&P500 -1.9% two sessions later
07/23/08… S&P500 -1.9% two sessions later
06/05/08… S&P500 -3.0% two sessions later
05/21/08… S&P500 -1.1% two sessions later
05/12/08… S&P500 +0.4% two sessions later
05/06/08… S&P500 -1.5% two sessions later
04/30/08… S&P500 +2.0% two sessions later
04/24/08… S&P500 +0.5% two sessions later
04/16/08… S&P500 +1.9% two sessions later
04/01/08… S&P500 -0.1% two sessions later
03/24/08… S&P500 -0.7% two sessions later
02/26/08… S&P500 -1.0% two sessions later
01/30/08… S&P500 +2.9% two sessions later
12/26/07… S&P500 -1.3% two sessions later
12/21/07… S&P500 +0.9% two sessions later
Looking beyond the next few days, it’s noteworthy that the Standard & Poors Oscillator could once again trigger an intermediate-term buy setup if the S&P closes above 842 on Monday. This would be an identical signal to the two-week buy triggered back on March 26th (and which fell off the board at the end of last week).
Program trading executed as principal, for member firms’ own accounts, remained heavy during the week ending April 3rd at 41.2% of total program volume. This remains a supportive factor for the market. As I noted back on March 1st…
Given how quickly the market has fallen over the last year, there’s plenty of room for the market to move higher over the intermediate-term. But that doesn’t change the fact that most of the ‘big picture’ indicators I track, including Market Vane, Last Hour, Up-Down Volume and Cumulative TICKscore, have not turned bullish. Only one, the Nasdaq/NYSE Volume Ratio, is even back in neutral territory, so it’s premature to consider this the beginning of a new bull market despite the bullish program activity.