Surge in New 20-day and 52-week Highs

Technically strong session Wednesday despite the low participation. New 20-day highs outnumbered new lows by a wide margin, sending the 20-day high-low index over 80% for the first time in months. 369 issues hit new 52-week highs on the NYSE, which puts the key 400 level in sight (see my November 16th column for more on this subject). NYSE TICK action was strong despite the lack of program activity. Cumulative TICK closed at its highest level in over two months at +87,300, a bullish sign from an intermediate-term perspective. Historically, when the Cumulative TICK closes at a two-month high, the S&P has a strong track record of continuing to push higher over the next two weeks. The last thirty occurrences are listed in the table below…

NYSE Cumulative TICK Hits a Two-Month High
12/23/09… S&P500 ??? two weeks later
12/01/09… S&P500 -0.1% two weeks later
07/15/09… S&P500 +4.6%  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

In 24 out of the last 30 occurrences, or 80% 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.

S&P futures closed higher for a fourth consecutive session but settled below the open (regular trading hours), a generally negative indication for the following session when it comes after a series of rally days. Looking back at times when S&P futures formed a similar pattern of three rally days (higher closes, white candles) followed by a fourth higher close that coincided with a black candle, we can see that the settlement below the open typically ushers in a very short-term change of trend. Since 1995 we’ve seen this specific pattern a total of twenty-one times, only one of which led to a meaningful gain the following session…

Higher Close, Black Candle After Three Rally Days
12/23/09… S&P futures ??? next session
11/11/09… S&P futures -0.8% next session
10/12/09… S&P futures -0.3% next session
07/21/09… S&P futures -0.4% next session
01/06/09… S&P futures -2.7% next session
05/30/08…S&P futures -1.1% next session
11/30/07… S&P futures -0.6% next session
04/09/07… S&P futures +0.1% next session
11/16/06… S&P futures -0.0% next session
09/15/06… S&P futures +0.2% next session
04/21/06… S&P futures -0.2% next session
03/17/06… S&P futures -0.2% next session
07/14/05… S&P futures -0.0% next session
11/01/04… S&P futures -0.0% next session
05/28/03… S&P futures -0.3% next session
10/20/98… S&P futures -0.1% next session
01/30/98… S&P futures +1.6% next session (*)
06/16/97… S&P futures -0.2% next session
12/20/96… S&P futures -0.4% next session
05/15/96… S&P futures -0.1% next session
02/07/95… S&P futures -0.1% next session
01/27/95… S&P futures -0.3% next session

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

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