One Other Thing…
By
Rennie on Friday, February 5th, 2010 at 3:53 pm
4:10pm ET Update: Breadth rebounded a bit into the close, with the adv/dec ratio closing around the .75 level. I ran the test below again but loosened the criteria from a .60 ratio to a .80 ratio, and the results still suggest a significant downside edge for the next day. Results were not quite as consistently negative, as you’d expect, but over the last 30 occurrences the S&P closed lower the next day 70% of the time vs. a 46% random chance.
One other point about this afternoon recovery… Breadth remains decidedly negative, with the advance/decline ratio currently at .55. I ran a quick test to see how the S&P performed after closing in positive territory with an advance/decline ratio below .60. There were 28 occurrences since 1990, 23 of which led to a lower S&P close the following session…
S&P Closes Up, NYSE Adv/Dec Ratio <.60
03/06/09… S&P500 -1.0% next day
11/18/08… S&P500 -6.1% next day
09/26/08… S&P500 -8.8% next day
07/03/08… S&P500 -0.8% next day
06/23/08… S&P500 -0.3% next day
06/09/08… S&P500 -0.2% next day
12/13/07… S&P500 -1.4% next day
03/23/05… S&P500 -0.1% next day
02/18/05… S&P500 -1.5% next day
04/23/04… S&P500 -0.5% next day
01/29/04… S&P500 -0.3% next day
08/04/03… S&P500 -1.8% next day
09/10/01… S&P500 -4.9% next day
10/18/99… S&P500 +0.6% next day
09/16/99… S&P500 +1.3% next day
05/17/99… S&P500 -0.5% next day
07/27/98… S&P500 -1.5% next day
06/12/98… S&P500 -2.0% next day
04/03/97… S&P500 +1.0% next day
03/17/97… S&P500 -0.8% next day
06/07/96… S&P500 -0.2% next day
03/06/95… S&P500 -0.7% next day
01/23/95… S&P500 +0.0% next day
10/25/94… S&P500 +0.2% next day
04/19/94… S&P500 -0.1% next day
03/31/94… S&P500 -1.5% next day
03/02/94… S&P500 -0.4% next day
03/15/91… S&P500 -0.4% next day
One Other Thing…
By Rennie on Friday, February 5th, 2010 at 3:53 pm4:10pm ET Update: Breadth rebounded a bit into the close, with the adv/dec ratio closing around the .75 level. I ran the test below again but loosened the criteria from a .60 ratio to a .80 ratio, and the results still suggest a significant downside edge for the next day. Results were not quite as consistently negative, as you’d expect, but over the last 30 occurrences the S&P closed lower the next day 70% of the time vs. a 46% random chance.
One other point about this afternoon recovery… Breadth remains decidedly negative, with the advance/decline ratio currently at .55. I ran a quick test to see how the S&P performed after closing in positive territory with an advance/decline ratio below .60. There were 28 occurrences since 1990, 23 of which led to a lower S&P close the following session…
S&P Closes Up, NYSE Adv/Dec Ratio <.60
03/06/09… S&P500 -1.0% next day
11/18/08… S&P500 -6.1% next day
09/26/08… S&P500 -8.8% next day
07/03/08… S&P500 -0.8% next day
06/23/08… S&P500 -0.3% next day
06/09/08… S&P500 -0.2% next day
12/13/07… S&P500 -1.4% next day
03/23/05… S&P500 -0.1% next day
02/18/05… S&P500 -1.5% next day
04/23/04… S&P500 -0.5% next day
01/29/04… S&P500 -0.3% next day
08/04/03… S&P500 -1.8% next day
09/10/01… S&P500 -4.9% next day
10/18/99… S&P500 +0.6% next day
09/16/99… S&P500 +1.3% next day
05/17/99… S&P500 -0.5% next day
07/27/98… S&P500 -1.5% next day
06/12/98… S&P500 -2.0% next day
04/03/97… S&P500 +1.0% next day
03/17/97… S&P500 -0.8% next day
06/07/96… S&P500 -0.2% next day
03/06/95… S&P500 -0.7% next day
01/23/95… S&P500 +0.0% next day
10/25/94… S&P500 +0.2% next day
04/19/94… S&P500 -0.1% next day
03/31/94… S&P500 -1.5% next day
03/02/94… S&P500 -0.4% next day
03/15/91… S&P500 -0.4% next day