S&P500 Set to Close in New Highs for ’09

S&P set to close at a fresh six-month high on a close above SPX 1110.63. A six-month high usually means range-bound trading the next session.  Each of the last thirty instances in which the S&P500 initially closed at its highest level of the past six months (meaning it did not close at a six-month high the previous session) are listed in the table below, along with the S&P500’s performance the next day. Note that the S&P managed a gain of 0.5%+ only one time…

S&P500 Closes at a Six-Month High
11/25/09… S&P -1.7% next session
11/16/09… S&P +0.1% next session
11/11/09… S&P -1.0% next session
10/19/09… S&P -0.6% next session
10/14/09… S&P +0.4% next session
10/12/09… S&P -0.3% next session
09/22/09… S&P -1.0% next session
09/14/09… S&P +0.3% next session
09/09/09… S&P +1.0% next session (*)
08/25/09… S&P +0.0% next session
08/21/09… S&P -0.1% next session
08/13/09… S&P -0.9% next session
08/07/09… S&P -0.3% next session
07/30/09… S&P +0.1% next session
07/23/09… S&P +0.3% next session
07/20/09… S&P +0.4% next session
06/11/09… S&P +0.1% next session
06/01/09… S&P +0.2% next session
10/09/07… S&P -0.2% next session
10/05/07… S&P -0.3% next session
07/19/07… S&P -1.2% next session
07/12/07… S&P +0.3% next session
05/30/07… S&P +0.0% next session
05/18/07… S&P +0.2% next session
05/16/07… S&P -0.1% next session
05/09/07… S&P -1.4% next session
05/02/07… S&P +0.4%  next session
04/25/07… S&P -0.1% next session
04/20/07… S&P -0.2% next session
04/16/07… S&P +0.2% next session

On the positive side, S&P futures posted a fourth consecutive higher open (vs. the previous day’s RTH close), a generally positive sign for the short-term. The table below lists the last thirty separate instances in which S&P futures opened higher four consecutive sessions…

S&P Futures Open Higher Four Consecutive Sessions
12/14/09… ???
09/09/09… Higher S&P close one session later
06/01/09… Higher S&P close one session later
03/13/09… Higher S&P close two sessions later
12/26/08… Higher S&P close one session later
07/28/08… Higher S&P close one session later
07/21/08… Higher S&P close one session later
05/15/08… Higher S&P close one session later
04/28/08… Higher S&P close three sessions later
03/24/08… No higher S&P close within three days
02/14/08… Higher S&P close one session later
01/29/08… Higher S&P close two sessions later
12/12/07… No higher S&P close within three days
11/28/07… Higher S&P close one session later
07/17/07… Higher S&P close two sessions later
07/05/07… Higher S&P close one session later
06/18/07… Higher S&P close one session later
05/25/07… Higher S&P close one session later
05/03/07… Higher S&P close one session later
04/03/07… Higher S&P close one session later
03/26/07… No higher S&P close within three days
09/01/06… Higher S&P close one session later
07/21/06… Higher S&P close one session later
06/29/06… Higher S&P close two sessions later
05/26/06… Higher S&P close three sessions later
04/12/06… Higher S&P close three sessions later
04/03/06… Higher S&P close one session later
01/26/06… Higher S&P close one session later
12/21/05… Higher S&P close one session later
11/21/05… Higher S&P close one session later
10/06/05… Higher S&P close one session later
09/06/05… Higher S&P close one session later

Note that in 27 out of 30 cases, or 90% of the time, the S&P closed above the setup day’s close within the next three sessions. That’s well ahead of the 72% at-any-time odds for a higher S&P close within three days, although the edge isn’t quite strong enough to qualify as a signal.

Categories : Archived Intraday Commentary, Intraday Commentary

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