New Short-term Setups Set to Trigger
By
Rennie on Wednesday, February 17th, 2010 at 3:42 pm
S&P futures are in the process of posting a fourth consecutive higher close, but for a change it’s possible we could see a settlement below the open. A black candlestick after a series of rally days is usually a negative indication for the following session. 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 23 separate times, 19 of which led to a lower S&P close the following session. Only one case led to any meaningful gains the next day…
Higher Close, Black Candle After Three Rally Days
01/11/10… S&P futures -0.8% next session
12/23/09… S&P futures +0.6% 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
Looking out to next week, it looks like the CBOE equity put/call ratio will decline for a third consecutive session today (currently .60), triggering the three-day buy setup recently outlined in this February 11th column, suggesting a down day on Thursday could represent a buying opportunity heading into next Monday’s close.
Should the March S&Ps settle above today’s open and/or below Tuesday’s close, the candlestick above setup would be nullified. That would be a positive sign for Thursday given that we’re also seeing a short-term bullish setup set to trigger today. This is based on the fact that S&P futures opened above the previous day’s high for a second consecutive session Wednesday, usually a sign that buyers will remain in control for another day. The last thirty times the front-month S&Ps opened above the previous day’s high on two consecutive sessions are listed in the table below…
S&P Futures Open >Previous Session’s High Two Days
02/17/10… S&P500 ??? next day
12/29/09… S&P500 +0.0% next day
12/28/09… S&P500 -0.1% next day
12/24/09… S&P500 +0.1% next day
09/09/09… S&P500 +0.9% next day
09/08/09… S&P500 +0.7% next day
08/24/09… S&P500 +0.2% next day
07/21/09… S&P500 -0.4% next day
07/15/09… S&P500 +0.9% next day
06/01/09… S&P500 +0.4% next day
05/07/09… S&P500 +2.4% next day
03/16/09… S&P500 +3.2% next day
12/31/08… S&P500 +3.2% next day
11/25/08… S&P500 +3.5% next day
10/14/08… S&P500 -9.0% next day (*)
05/14/08… S&P500 +1.1% next day
04/16/08… S&P500 +0.1% next day
04/02/08… S&P500 +0.1% next day
03/19/08… S&P500 +2.4% next day
01/25/08… S&P500 +1.8% next day
12/24/07… S&P500 +0.1% next day
10/29/07… S&P500 -0.7% next day
09/27/07… S&P500 -0.3% next day
09/19/07… S&P500 -0.7% next day
08/23/07… S&P500 +1.2% next day
06/01/07… S&P500 +0.2% next day
04/17/07… S&P500 +0.1% next day
04/16/07… S&P500 +0.2% next day
03/09/07… S&P500 +0.3% next day
08/16/06… S&P500 +0.2% next day
08/15/06… S&P500 +0.8% next day
Note that in 24 out of the last 30 occurrences, or 80% of the time, S&P futures settled higher the next day, significantly above the 54% random chance for a higher S&P one day later in the same time frame.
New Short-term Setups Set to Trigger
By Rennie on Wednesday, February 17th, 2010 at 3:42 pmS&P futures are in the process of posting a fourth consecutive higher close, but for a change it’s possible we could see a settlement below the open. A black candlestick after a series of rally days is usually a negative indication for the following session. 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 23 separate times, 19 of which led to a lower S&P close the following session. Only one case led to any meaningful gains the next day…
Higher Close, Black Candle After Three Rally Days
01/11/10… S&P futures -0.8% next session
12/23/09… S&P futures +0.6% 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
Looking out to next week, it looks like the CBOE equity put/call ratio will decline for a third consecutive session today (currently .60), triggering the three-day buy setup recently outlined in this February 11th column, suggesting a down day on Thursday could represent a buying opportunity heading into next Monday’s close.
Should the March S&Ps settle above today’s open and/or below Tuesday’s close, the candlestick above setup would be nullified. That would be a positive sign for Thursday given that we’re also seeing a short-term bullish setup set to trigger today. This is based on the fact that S&P futures opened above the previous day’s high for a second consecutive session Wednesday, usually a sign that buyers will remain in control for another day. The last thirty times the front-month S&Ps opened above the previous day’s high on two consecutive sessions are listed in the table below…
S&P Futures Open >Previous Session’s High Two Days
02/17/10… S&P500 ??? next day
12/29/09… S&P500 +0.0% next day
12/28/09… S&P500 -0.1% next day
12/24/09… S&P500 +0.1% next day
09/09/09… S&P500 +0.9% next day
09/08/09… S&P500 +0.7% next day
08/24/09… S&P500 +0.2% next day
07/21/09… S&P500 -0.4% next day
07/15/09… S&P500 +0.9% next day
06/01/09… S&P500 +0.4% next day
05/07/09… S&P500 +2.4% next day
03/16/09… S&P500 +3.2% next day
12/31/08… S&P500 +3.2% next day
11/25/08… S&P500 +3.5% next day
10/14/08… S&P500 -9.0% next day (*)
05/14/08… S&P500 +1.1% next day
04/16/08… S&P500 +0.1% next day
04/02/08… S&P500 +0.1% next day
03/19/08… S&P500 +2.4% next day
01/25/08… S&P500 +1.8% next day
12/24/07… S&P500 +0.1% next day
10/29/07… S&P500 -0.7% next day
09/27/07… S&P500 -0.3% next day
09/19/07… S&P500 -0.7% next day
08/23/07… S&P500 +1.2% next day
06/01/07… S&P500 +0.2% next day
04/17/07… S&P500 +0.1% next day
04/16/07… S&P500 +0.2% next day
03/09/07… S&P500 +0.3% next day
08/16/06… S&P500 +0.2% next day
08/15/06… S&P500 +0.8% next day
Note that in 24 out of the last 30 occurrences, or 80% of the time, S&P futures settled higher the next day, significantly above the 54% random chance for a higher S&P one day later in the same time frame.