NYSE TICK Daily Chart

NYSE TICK only traded down to -861 at its lowest point of the day, the highest low seen in three weeks. While an absence of large negative TICK readings is an obvious positive for the day, it usually leads to a sideways trading range the following session. Gains tend to be below-average when they do occur. Since 2000, the S&P’s next-day gain has averaged only 0.6% following a session in which the NYSE TICK posts its highest low in three weeks. When the S&P closes at a three-week high on the same day, as was the case Monday, next-day gains have been considerably weaker. Over the past thirty occurrences stretching back nearly five years, the S&P gained more than 0.5% the next day only once, suggesting an area of resistance around SPX 1103 for Tuesday’s session…

SPX 15-day High, NYSE TICK Highest Low in 15 Days
10/19/09… S&P500 ???  next day
09/22/09… S&P500 -1.0% next day
09/16/09… S&P500 -0.3% next day
08/21/09… S&P500 -0.1% next day
07/15/09… S&P500 +0.9% next day (*)
05/18/09… S&P500 -2.2% next day
04/09/09… S&P500 +0.3% next day
08/05/08… S&P500 +0.3% next day
05/15/08… S&P500 +0.2% next day
05/01/08… S&P500 +0.3% next day
05/30/07… S&P500 +0.0% next day
05/02/07… S&P500 +0.4% next day
04/05/07… S&P500 +0.1% next day
01/24/07… S&P500 -1.1% next day
10/16/06… S&P500 -0.4% next day
10/12/06… S&P500 +0.2% next day
10/04/06… S&P500 +0.2% next day
08/16/06… S&P500 +0.2% next day
07/03/06… S&P500 -0.7% next day
06/29/06… S&P500 -0.2% next day
05/05/06… S&P500 -0.1% next day
04/05/06… S&P500 -0.2% next day
02/16/06… S&P500 -0.2% next day
11/25/05… S&P500 -0.9% next day
11/02/05… S&P500 +0.4% next day
09/09/05… S&P500 -0.1% next day
08/02/05… S&P500 +0.1% next day
05/27/05… S&P500 -0.6% next day
05/18/05… S&P500 +0.5% next day
02/04/05… S&P500 -0.1% next day
12/30/04… S&P500 -0.1% next day

The 14-day R-Squared indicator for the S&P500 will close above 90% Tuesday on an SPX settlement above 1089.20. Historically, an R-Squared reading over 90% along with a positive linear regression slope has been a good indication that the S&P is likely to remain on firm footing over the intermediate-term. The last thirty occurrences are noted in the table below, along with the S&P’s performance over the next two weeks…

SPX R-Squared Crosses 90%, Linear Regression Slope Positive
09/21/09… S&P500 -2.3% two weeks later
07/24/09… S&P500 +3.2% two weeks later
03/24/09… S&P500 +1.2% two weeks later
04/25/07… S&P500 +1.2% two weeks later
11/23/05… S&P500 -0.7% two weeks later
11/09/04… S&P500 +1.1% two weeks later
12/29/03… S&P500 +1.1% two weeks later
06/06/03… S&P500 +0.8% two weeks later
03/08/02… S&P500 -1.3% two weeks later
04/23/01… S&P500 +3.2% two weeks later
01/25/01… S&P500 -1.8% two weeks later
12/31/99… S&P500 -0.3% two weeks later
11/18/99… S&P500 +0.6% two weeks later
07/02/98… S&P500 +3.5% two weeks later
03/20/98… S&P500 +2.1% two weeks later
02/27/98… S&P500 +1.8% two weeks later
02/10/98… S&P500 +2.3% two weeks later
06/19/97… S&P500 +2.1% two weeks later
01/20/97… S&P500 +1.3% two weeks later
11/13/96… S&P500 +3.3% two weeks later
09/19/96… S&P500 +1.4% two weeks later
05/21/96… S&P500 +0.8% two weeks later
04/29/96… S&P500 +1.1% two weeks later
01/29/96… S&P500 +6.0% two weeks later
12/08/95… S&P500 -0.9% two weeks later
09/12/95… S&P500 +0.9% two weeks later
07/14/95… S&P500 +0.5% two weeks later
05/04/95… S&P500 -0.2% two weeks later
08/27/93… S&P500 +0.3% two weeks later
03/08/93… S&P500 -1.3% two weeks later

In 22 out of 30 cases, or 73% of the time, the S&P closed at a higher level ten trading days later. That’s not significantly above the 58% random odds of a higher SPX ten days later in the same time frame, but it’s noteworthy that downside was limited to 2% or less over the next two weeks in every case but one.

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

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