Cumulative NYSE TICK Closes At Its Highest Level Since March
By
Rennie on Thursday, July 16th, 2009 at 3:06 am
S&P futures gapped higher at the open Wednesday and never looked back, triggering the ‘two gap up opens’ setup discussed yesterday and suggesting we’ll see further upside during Thursday’s session. NYSE TICK action reflected a complete absence of selling pressure. TICKscore ramped up to +40, Cumulative TICK settled at a high +128,500, its highest close since March. Both measures reflect active institutional buying. Breadth settled 9:1 positive on the NYSE, sending the cumulative breadth line into new highs for the year.
Over 900 issues across the NYSE and NASDAQ closed over their upper bollinger bands on Wednesday (see chart). Historically, this type of extreme lopsided action has led to a subsequently higher close in most cases as the upside momentum leads to short-term follow-through.
New 52-week highs surged to 44 on the NYSE, the highest reading of the year. Interestingly, we didn’t see a similar surge in new 52-week highs on the NASDAQ. Over 1,600 issues hit new 20-day highs across the NYSE and NASDAQ, suggesting upside potential could be limited over the next couple of sessions. See this May 27th column for details. I’d also note the Nasdaq/NYSE Volume Ratio closed over 1.75 a second consecutive session, which also suggests the potential for a lower close 2-3 sessions later. While Thursday looks up, any gains could be given back on Friday.
The 2-day RSI for the NDX and SOX both settled over 98, but this has not been a reliable short-term overbought indicator. This oscillator works much better at pinpointing short-term bottoms (when it drops under 2.0) rather than tops. There is a tendency for a lower close, but it’s not an actionable signal. For example, in 23 out of the last 30 occurrences of an NDX 2-day RSI over 98, the Nasdaq posted a lower close (below the setup day) within the next three sessions. But that 77% win rate is only slightly better than the 69% at-any-time odds for a lower NDX close within three days in the same time frame, indicating no real edge.
The intermediate-term outlook got another boost Wednesday from the strong Cumulative TICK reading, the highest since March 12th. Recall that the Cumulative TICK is calculated by summing 1-minute NYSE TICK readings from open to close. Historically, when the Cumulative TICK closes at its highest level in two months, it’s a bullish sign for the intermediate-term. The last thirty occurrences are listed in the table below, along with the S&P’s performance over the next ten trading days…
NYSE Cumulative TICK Hits a Two-Month High
07/15/09… S&P500 ??? two weeks later
03/12/09… S&P500 +10.9% two weeks later
03/10/09… S&P500 +12.0% two weeks later
01/02/09… S&P500 -8.8% two weeks later
10/13/08… S&P500 -15.4% two weeks later
07/29/08… S&P500 +2.1% two weeks later
07/16/08… S&P500 +3.1% two weeks later
04/16/08… S&P500 +1.5% two weeks later
03/18/08… S&P500 +2.8% two weeks later
11/28/07… S&P500 +1.2% two weeks later
06/27/07… S&P500 +2.8% two weeks later
05/02/07… S&P500 +1.2% two weeks later
04/05/07… S&P500 +2.8% two weeks later
03/20/07… S&P500 +1.9% two weeks later
10/12/06… S&P500 +1.9% two weeks later
10/04/06… S&P500 +1.2% two weeks later
07/19/06… S&P500 +1.5% two weeks later
06/01/06… S&P500 -2.3% two weeks later
04/18/06… S&P500 +0.4% two weeks later
01/03/06… S&P500 +0.7% two weeks later
11/02/05… S&P500 +1.4% two weeks later
05/18/05… S&P500 +1.6% two weeks later
02/04/05… S&P500 -0.1% two weeks later
01/31/05… S&P500 +2.1% two weeks later
11/04/04… S&P500 +1.9% two weeks later
05/25/04… S&P500 +1.6% two weeks later
05/11/04… S&P500 +1.6% two weeks later
02/06/04… S&P500 -0.2% two weeks later
12/29/03… S&P500 +1.1% two weeks later
10/01/03… S&P500 +2.8% two weeks later
08/28/03… S&P500 +1.6% two weeks later
Note that in 25 out of 30 cases, or 83% of the time, the S&P was trading higher two weeks later, significantly better than the 57% at-any-time odds for a higher S&P ten trading days later in the same time frame.
While it’s only a recent phenomenon, it’s also interesting to note that Wednesday represented the second 90%+ up volume session in the last three trading days. Since 1980, there have only been nine instances in which a 90%+ up volume session appeared within five days of another 90%+ up volume session, all but one of which led to a higher S&P two weeks later…
Second 90%+ Up Volume Day Within a Week of First 90% Up Volume Day
07/15/09… S&P500 ??? two weeks later
04/09/09… S&P500 +1.1% two weeks later
03/23/09… S&P500 +1.5% two weeks later
03/17/09… S&P500 +2.5% two weeks later
03/12/09… S&P500 +10.9% two weeks later
11/26/08… S&P500 -1.6% two weeks later
03/18/08… S&P500 +2.8% two weeks later
11/28/07… S&P500 +1.2% two weeks later
08/31/07… S&P500 +0.2% two weeks later
08/20/82… S&P500 +8.6% two weeks later
Cumulative NYSE TICK Closes At Its Highest Level Since March
By Rennie on Thursday, July 16th, 2009 at 3:06 amS&P futures gapped higher at the open Wednesday and never looked back, triggering the ‘two gap up opens’ setup discussed yesterday and suggesting we’ll see further upside during Thursday’s session. NYSE TICK action reflected a complete absence of selling pressure. TICKscore ramped up to +40, Cumulative TICK settled at a high +128,500, its highest close since March. Both measures reflect active institutional buying. Breadth settled 9:1 positive on the NYSE, sending the cumulative breadth line into new highs for the year.
Over 900 issues across the NYSE and NASDAQ closed over their upper bollinger bands on Wednesday (see chart). Historically, this type of extreme lopsided action has led to a subsequently higher close in most cases as the upside momentum leads to short-term follow-through.
New 52-week highs surged to 44 on the NYSE, the highest reading of the year. Interestingly, we didn’t see a similar surge in new 52-week highs on the NASDAQ. Over 1,600 issues hit new 20-day highs across the NYSE and NASDAQ, suggesting upside potential could be limited over the next couple of sessions. See this May 27th column for details. I’d also note the Nasdaq/NYSE Volume Ratio closed over 1.75 a second consecutive session, which also suggests the potential for a lower close 2-3 sessions later. While Thursday looks up, any gains could be given back on Friday.
The 2-day RSI for the NDX and SOX both settled over 98, but this has not been a reliable short-term overbought indicator. This oscillator works much better at pinpointing short-term bottoms (when it drops under 2.0) rather than tops. There is a tendency for a lower close, but it’s not an actionable signal. For example, in 23 out of the last 30 occurrences of an NDX 2-day RSI over 98, the Nasdaq posted a lower close (below the setup day) within the next three sessions. But that 77% win rate is only slightly better than the 69% at-any-time odds for a lower NDX close within three days in the same time frame, indicating no real edge.
The intermediate-term outlook got another boost Wednesday from the strong Cumulative TICK reading, the highest since March 12th. Recall that the Cumulative TICK is calculated by summing 1-minute NYSE TICK readings from open to close. Historically, when the Cumulative TICK closes at its highest level in two months, it’s a bullish sign for the intermediate-term. The last thirty occurrences are listed in the table below, along with the S&P’s performance over the next ten trading days…
NYSE Cumulative TICK Hits a Two-Month High
07/15/09… S&P500 ??? two weeks later
03/12/09… S&P500 +10.9% two weeks later
03/10/09… S&P500 +12.0% two weeks later
01/02/09… S&P500 -8.8% two weeks later
10/13/08… S&P500 -15.4% two weeks later
07/29/08… S&P500 +2.1% two weeks later
07/16/08… S&P500 +3.1% two weeks later
04/16/08… S&P500 +1.5% two weeks later
03/18/08… S&P500 +2.8% two weeks later
11/28/07… S&P500 +1.2% two weeks later
06/27/07… S&P500 +2.8% two weeks later
05/02/07… S&P500 +1.2% two weeks later
04/05/07… S&P500 +2.8% two weeks later
03/20/07… S&P500 +1.9% two weeks later
10/12/06… S&P500 +1.9% two weeks later
10/04/06… S&P500 +1.2% two weeks later
07/19/06… S&P500 +1.5% two weeks later
06/01/06… S&P500 -2.3% two weeks later
04/18/06… S&P500 +0.4% two weeks later
01/03/06… S&P500 +0.7% two weeks later
11/02/05… S&P500 +1.4% two weeks later
05/18/05… S&P500 +1.6% two weeks later
02/04/05… S&P500 -0.1% two weeks later
01/31/05… S&P500 +2.1% two weeks later
11/04/04… S&P500 +1.9% two weeks later
05/25/04… S&P500 +1.6% two weeks later
05/11/04… S&P500 +1.6% two weeks later
02/06/04… S&P500 -0.2% two weeks later
12/29/03… S&P500 +1.1% two weeks later
10/01/03… S&P500 +2.8% two weeks later
08/28/03… S&P500 +1.6% two weeks later
Note that in 25 out of 30 cases, or 83% of the time, the S&P was trading higher two weeks later, significantly better than the 57% at-any-time odds for a higher S&P ten trading days later in the same time frame.
While it’s only a recent phenomenon, it’s also interesting to note that Wednesday represented the second 90%+ up volume session in the last three trading days. Since 1980, there have only been nine instances in which a 90%+ up volume session appeared within five days of another 90%+ up volume session, all but one of which led to a higher S&P two weeks later…
Second 90%+ Up Volume Day Within a Week of First 90% Up Volume Day
07/15/09… S&P500 ??? two weeks later
04/09/09… S&P500 +1.1% two weeks later
03/23/09… S&P500 +1.5% two weeks later
03/17/09… S&P500 +2.5% two weeks later
03/12/09… S&P500 +10.9% two weeks later
11/26/08… S&P500 -1.6% two weeks later
03/18/08… S&P500 +2.8% two weeks later
11/28/07… S&P500 +1.2% two weeks later
08/31/07… S&P500 +0.2% two weeks later
08/20/82… S&P500 +8.6% two weeks later