SPX R-Squared Triggers an Intermediate-term Signal
By
Rennie on Wednesday, April 14th, 2010 at 9:56 am
Tuesday’s recovery from the morning selloff favors lower prices today, but there were positive developments from an intermediate-term perspective. Note that the BKX and SOX diverged for the ninth time in the last fourteen sessions, a sign of a bullish rotational environment. Also note that the S&P’s gain pushed the 14-day R-Squared up to 90%, a sign of an unusually strong uptrend. R-squared values show the percentage of movement that can be explained by linear regression. When it reaches 90% or higher along with a positive slope, it’s a good indication that the rally has further to run over the intermediate-term. The last thirty occurrences are noted in the table below, along with the S&P’s performance over the next 1-3 weeks…
SPX R-Squared Crosses 90%, Linear Regression Slope Positive
04/13/10… S&P500 ???
03/11/10… S&P500 +1.4% one week later
11/18/09… S&P500 +0.1% one week later
10/20/09… S&P500 +0.2% three weeks later
09/21/09… S&P500 +1.1% three weeks later
07/24/09… S&P500 +0.8% one week later
03/24/09… S&P500 +1.2% two weeks later
04/25/07… S&P500 +0.0% one week later
11/23/05… S&P500 +0.4% three weeks later
11/09/04… S&P500 +1.0% one week later
12/29/03… S&P500 +1.3% one week later
06/06/03… S&P500 +0.1% one week later
03/08/02… S&P500 +0.2% one week later
04/23/01… S&P500 +2.1% one week later
01/25/01… S&P500 +1.2% one week later
12/31/99… S&P500 -4.6% three weeks later (*)
11/18/99… S&P500 +0.6% two weeks later
07/02/98… S&P500 +1.6% one week later
03/20/98… S&P500 +2.1% two weeks later
02/27/98… S&P500 +0.6% one week later
02/10/98… S&P500 +1.3% one week later
06/19/97… S&P500 +2.1% two weeks later
01/20/97… S&P500 +1.3% two weeks later
11/13/96… S&P500 +1.8% one week later
09/19/96… S&P500 +0.4% one week later
05/21/96… S&P500 +0.8% two weeks later
04/29/96… S&P500 +1.1% two weeks later
01/29/96… S&P500 +2.8% one week later
12/08/95… S&P500 +0.5% three weeks later
09/12/95… S&P500 +1.3% one week later
07/14/95… S&P500 +0.5% two weeks later
Note that in 29 out of the last 30 cases, or 97% of the time, the S&P closed at a higher level 1-3 weeks later, significantly above the 76% random odds of a higher SPX 1-3 weeks later in the same time frame.
SPX R-Squared Triggers an Intermediate-term Signal
By Rennie on Wednesday, April 14th, 2010 at 9:56 amTuesday’s recovery from the morning selloff favors lower prices today, but there were positive developments from an intermediate-term perspective. Note that the BKX and SOX diverged for the ninth time in the last fourteen sessions, a sign of a bullish rotational environment. Also note that the S&P’s gain pushed the 14-day R-Squared up to 90%, a sign of an unusually strong uptrend. R-squared values show the percentage of movement that can be explained by linear regression. When it reaches 90% or higher along with a positive slope, it’s a good indication that the rally has further to run over the intermediate-term. The last thirty occurrences are noted in the table below, along with the S&P’s performance over the next 1-3 weeks…
SPX R-Squared Crosses 90%, Linear Regression Slope Positive
04/13/10… S&P500 ???
03/11/10… S&P500 +1.4% one week later
11/18/09… S&P500 +0.1% one week later
10/20/09… S&P500 +0.2% three weeks later
09/21/09… S&P500 +1.1% three weeks later
07/24/09… S&P500 +0.8% one week later
03/24/09… S&P500 +1.2% two weeks later
04/25/07… S&P500 +0.0% one week later
11/23/05… S&P500 +0.4% three weeks later
11/09/04… S&P500 +1.0% one week later
12/29/03… S&P500 +1.3% one week later
06/06/03… S&P500 +0.1% one week later
03/08/02… S&P500 +0.2% one week later
04/23/01… S&P500 +2.1% one week later
01/25/01… S&P500 +1.2% one week later
12/31/99… S&P500 -4.6% three weeks later (*)
11/18/99… S&P500 +0.6% two weeks later
07/02/98… S&P500 +1.6% one week later
03/20/98… S&P500 +2.1% two weeks later
02/27/98… S&P500 +0.6% one week later
02/10/98… S&P500 +1.3% one week later
06/19/97… S&P500 +2.1% two weeks later
01/20/97… S&P500 +1.3% two weeks later
11/13/96… S&P500 +1.8% one week later
09/19/96… S&P500 +0.4% one week later
05/21/96… S&P500 +0.8% two weeks later
04/29/96… S&P500 +1.1% two weeks later
01/29/96… S&P500 +2.8% one week later
12/08/95… S&P500 +0.5% three weeks later
09/12/95… S&P500 +1.3% one week later
07/14/95… S&P500 +0.5% two weeks later
Note that in 29 out of the last 30 cases, or 97% of the time, the S&P closed at a higher level 1-3 weeks later, significantly above the 76% random odds of a higher SPX 1-3 weeks later in the same time frame.