S&P Futures Pattern of Higher Highs, Lows Remains Intact

Bullish price action once again as S&P futures have traded above Tuesday’s high and held Tuesday’s low, setting up another potential rally day (higher high, higher low, higher close). Coming on the heels of an unfilled upside gap on Tuesday, this would trigger another two-day buy setup similar to the one triggered yesterday and reinforce the short-term bullish implications heading into Friday’s close.

The Equal Weight S&P500 is setting up for a sixth consecutive higher close, a pattern that traditionally leads to a lower close within the next few sessions. This suggests the potential for some consolidation on Thursday ahead of the jobs report, or for a selloff on Monday of next week. Each of the last thirty occurrences in which the Equal Weight S&P closed higher six consecutive sessions is listed in the table below. Note that the index posted a subsequently lower close within three days in twenty-eight cases, or 93% of the time, significantly above the 66% at-any-time odds for a lower close within three days in the same time frame…

Equal Weight S&P Closes Up Six Days in a Row
01/11/10… Lower SPXEW close one session later
10/12/09… Lower SPXEW close one session later
04/07/08… Lower SPXEW close one session later
06/04/07… Lower SPXEW close one session later
04/05/07… Lower SPXEW close three sessions later
01/16/07… Lower SPXEW close one session later
09/05/06… Lower SPXEW close one session later
03/17/06… Lower SPXEW close one session later
01/10/06… Lower SPXEW close two sessions later
11/23/05… Lower SPXEW close two sessions later
09/29/05… Lower SPXEW close two sessions later
07/14/05… Lower SPXEW close two sessions later
05/23/05… Lower SPXEW close one session later
12/15/04… Lower SPXEW close one session later
11/01/04… Lower SPXEW close one session later
05/28/04… Lower SPXEW close three sessions later
04/05/04… Lower SPXEW close one session later
12/01/03… Lower SPXEW close one session later
11/03/03… Lower SPXEW close one session later
09/03/03… Lower SPXEW close two sessions later
11/07/01… Lower SPXEW close one session later
05/21/01… Lower SPXEW close one session later
05/02/01… Lower SPXEW close one session later
09/07/00… No lower close within three sessions
08/07/00… Lower SPXEW close three sessions later
07/02/99… Lower SPXEW close one session later
11/05/98… Lower SPXEW close two sessions later
10/21/98… Lower SPXEW close two sessions later
06/12/97… No lower close within three sessions
05/05/97… Lower SPXEW close one session later

RSP is an exchange traded fund that tracks the performance of the Equal Weight index.

Categories : Archived Intraday Commentary, Intraday Commentary

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