Seventh Higher High for S&P Futures, New 20-day Highs Lagging
By
Rennie on Monday, February 22nd, 2010 at 2:03 pm
S&P futures have posted a seventh consecutive higher high Monday, but for a change it looks like we won’t see an expansion of new 20-day highs. At 1430, the number of new 20-day highs across all exchanges is running about 240 below Friday’s close of 1672. The table below highlights the last thirty instances in which S&P futures posted a ‘rally day’ (higher high, higher low, higher close) and new 20-day highs across all exchanges declined from the previous session. Note the consistent theme of limited upside potential the next day…
Rally Day for S&P Futures, New 20-day Highs Drop
01/06/10… S&P futures +0.4% next session
12/24/09… S&P futures +0.1% next session
12/22/09… S&P futures +0.2% next session
12/11/09… S&P futures +0.5% next session
11/18/09… S&P futures -1.3% next session
11/10/09… S&P futures +0.4% next session
10/15/09… S&P futures -0.7% next session
10/09/09… S&P futures +0.3% next session
08/25/09… S&P futures +0.1% next session
08/04/09… S&P futures -0.4% next session
07/24/09… S&P futures +0.2% next session
07/21/09… S&P futures -0.4% next session
06/29/09… S&P futures -0.6% next session
06/02/09… S&P futures -1.2% next session
05/14/09… S&P futures -0.7% next session
05/08/09… S&P futures -1.7% next session
05/05/09… S&P futures +1.5% next session (*)
04/13/09… S&P futures -1.6% next session
03/04/09… S&P futures -3.2% next session
10/13/08… S&P futures -1.4% next session
04/17/08… S&P futures +1.1% next session (*)
12/24/07… S&P futures +0.2% next session
11/23/07… S&P futures -2.3% next session
09/13/07… S&P futures +0.0% next session
08/13/07… S&P futures -1.4% next session
07/13/07… S&P futures -0.0% next session
05/07/07… S&P futures -0.1% next session
04/26/07… S&P futures -0.1% next session
04/17/07… S&P futures +0.1% next session
03/23/07… S&P futures -0.1% next session
While not a significant edge in terms of calling for a lower close the next day, there is a notable tendency for limited upside potential. In only two cases, or 7% of the time did the S&P gain more than 0.5% the following session, significantly below the 32% random chance for a gain of more than 0.5% one day later in the same time frame. For this setup to take effect, S&P futures need to close higher Monday and new 20-day highs need to hold below 1672.
Seventh Higher High for S&P Futures, New 20-day Highs Lagging
By Rennie on Monday, February 22nd, 2010 at 2:03 pmS&P futures have posted a seventh consecutive higher high Monday, but for a change it looks like we won’t see an expansion of new 20-day highs. At 1430, the number of new 20-day highs across all exchanges is running about 240 below Friday’s close of 1672. The table below highlights the last thirty instances in which S&P futures posted a ‘rally day’ (higher high, higher low, higher close) and new 20-day highs across all exchanges declined from the previous session. Note the consistent theme of limited upside potential the next day…
Rally Day for S&P Futures, New 20-day Highs Drop
01/06/10… S&P futures +0.4% next session
12/24/09… S&P futures +0.1% next session
12/22/09… S&P futures +0.2% next session
12/11/09… S&P futures +0.5% next session
11/18/09… S&P futures -1.3% next session
11/10/09… S&P futures +0.4% next session
10/15/09… S&P futures -0.7% next session
10/09/09… S&P futures +0.3% next session
08/25/09… S&P futures +0.1% next session
08/04/09… S&P futures -0.4% next session
07/24/09… S&P futures +0.2% next session
07/21/09… S&P futures -0.4% next session
06/29/09… S&P futures -0.6% next session
06/02/09… S&P futures -1.2% next session
05/14/09… S&P futures -0.7% next session
05/08/09… S&P futures -1.7% next session
05/05/09… S&P futures +1.5% next session (*)
04/13/09… S&P futures -1.6% next session
03/04/09… S&P futures -3.2% next session
10/13/08… S&P futures -1.4% next session
04/17/08… S&P futures +1.1% next session (*)
12/24/07… S&P futures +0.2% next session
11/23/07… S&P futures -2.3% next session
09/13/07… S&P futures +0.0% next session
08/13/07… S&P futures -1.4% next session
07/13/07… S&P futures -0.0% next session
05/07/07… S&P futures -0.1% next session
04/26/07… S&P futures -0.1% next session
04/17/07… S&P futures +0.1% next session
03/23/07… S&P futures -0.1% next session
While not a significant edge in terms of calling for a lower close the next day, there is a notable tendency for limited upside potential. In only two cases, or 7% of the time did the S&P gain more than 0.5% the following session, significantly below the 32% random chance for a gain of more than 0.5% one day later in the same time frame. For this setup to take effect, S&P futures need to close higher Monday and new 20-day highs need to hold below 1672.