When New 20-day Lows Fail to Confirm a Selloff
By
Rennie on Tuesday, April 13th, 2010 at 12:42 pm
Noteworthy that new 20-day lows are running well below Monday’s levels even as S&P futures opened lower and never (so far) managed to trade above Monday’s close. In the table below I’ve extracted the last thirty instances in which S&P futures never traded above the prior day’s close yet new 20-day lows failed to expand. Note that in 25 out of 30 occurrences, or 83% of the time, the S&P stabilized and closed higher 3-4 sessions later, significantly above the 62% random odds for a higher S&P close 3-4 sessions later in the same time frame. For this setup to go into effect, S&P futures need to hold below yesterday’s settlement of 1192.60 and new 20-day lows need to hold below 467 (currently 301).
S&P Futures Do Not Trade Above Yesterday’s Close, New 20-day Lows Contract
02/23/10… Higher S&P three sessions later
11/20/09… Higher S&P three sessions later
10/30/09… Higher S&P three sessions later
10/16/09… Higher S&P four sessions later
07/29/09… Higher S&P three sessions later
07/07/09… Higher S&P four sessions later
06/03/09… Higher S&P three sessions later
05/11/09… No higher S&P 3-4 sessions later
04/14/09… Higher S&P three sessions later
04/06/09… Higher S&P three sessions later
03/27/09… Higher S&P four sessions later
01/22/09… Higher S&P three sessions later
09/17/08… Higher S&P three sessions later
08/12/08… Higher S&P three sessions later
08/07/08… Higher S&P three sessions later
03/26/08… Higher S&P four sessions later
02/04/08… No higher S&P 3-4 sessions later
11/21/07… Higher S&P three sessions later
11/05/07… No higher S&P 3-4 sessions later
10/18/07… No higher S&P 3-4 sessions later
10/08/07… Higher S&P three sessions later
09/17/07… Higher S&P three sessions later
08/27/07… Higher S&P four sessions later
11/24/06… Higher S&P four sessions later
10/06/06… Higher S&P three sessions later
08/11/06… Higher S&P three sessions later
07/31/06… Higher S&P three sessions later
07/12/06… No higher S&P 3-4 sessions later
06/16/06… Higher S&P three sessions later
05/03/06… Higher S&P three sessions later
When New 20-day Lows Fail to Confirm a Selloff
By Rennie on Tuesday, April 13th, 2010 at 12:42 pmNoteworthy that new 20-day lows are running well below Monday’s levels even as S&P futures opened lower and never (so far) managed to trade above Monday’s close. In the table below I’ve extracted the last thirty instances in which S&P futures never traded above the prior day’s close yet new 20-day lows failed to expand. Note that in 25 out of 30 occurrences, or 83% of the time, the S&P stabilized and closed higher 3-4 sessions later, significantly above the 62% random odds for a higher S&P close 3-4 sessions later in the same time frame. For this setup to go into effect, S&P futures need to hold below yesterday’s settlement of 1192.60 and new 20-day lows need to hold below 467 (currently 301).
S&P Futures Do Not Trade Above Yesterday’s Close, New 20-day Lows Contract
02/23/10… Higher S&P three sessions later
11/20/09… Higher S&P three sessions later
10/30/09… Higher S&P three sessions later
10/16/09… Higher S&P four sessions later
07/29/09… Higher S&P three sessions later
07/07/09… Higher S&P four sessions later
06/03/09… Higher S&P three sessions later
05/11/09… No higher S&P 3-4 sessions later
04/14/09… Higher S&P three sessions later
04/06/09… Higher S&P three sessions later
03/27/09… Higher S&P four sessions later
01/22/09… Higher S&P three sessions later
09/17/08… Higher S&P three sessions later
08/12/08… Higher S&P three sessions later
08/07/08… Higher S&P three sessions later
03/26/08… Higher S&P four sessions later
02/04/08… No higher S&P 3-4 sessions later
11/21/07… Higher S&P three sessions later
11/05/07… No higher S&P 3-4 sessions later
10/18/07… No higher S&P 3-4 sessions later
10/08/07… Higher S&P three sessions later
09/17/07… Higher S&P three sessions later
08/27/07… Higher S&P four sessions later
11/24/06… Higher S&P four sessions later
10/06/06… Higher S&P three sessions later
08/11/06… Higher S&P three sessions later
07/31/06… Higher S&P three sessions later
07/12/06… No higher S&P 3-4 sessions later
06/16/06… Higher S&P three sessions later
05/03/06… Higher S&P three sessions later