Large Cap Outperformance

Seeing a couple of short-term bullish setups set to trigger at today’s close… The first is based on the outperformance of the large cap indices yesterday and today. The OEX is outperforming the SPX and the NDX is outperforming the Nasdaq Composite. If the NDX settles down 0.5%+ and outperforms the Composite, it will trigger a 1-2 day buy signal. The last thirty times the NDX closed down 0.5%+ two consecutive sessions and outperformed the Composite on both sessions are listed below…

NDX -0.5%, Outperforms Nasdaq Composite Two Consecutive Days
05/06/10… Higher NDX close two sessions later
09/24/09… Higher NDX close two sessions later
08/06/09… Higher NDX close one session later
06/16/09… Higher NDX close one session later
03/30/09… Higher NDX close one session later
03/02/09… Higher NDX close one session later
01/30/09… Higher NDX close one session later
01/12/09… Higher NDX close one session later
11/20/08… Higher NDX close one session later
11/12/08… Higher NDX close one session later
11/11/08… Higher NDX close two sessions later
10/27/08… Higher NDX close one session later
10/07/08… Higher NDX close one session later
10/06/08… No higher NDX close next 1-2 days
08/19/08… Higher NDX close one session later
06/24/08… Higher NDX close one session later
06/18/08… Higher NDX close one session later
03/17/08… Higher NDX close one session later
06/07/07… Higher NDX close one session later
09/22/06… Higher NDX close one session later
06/19/06… Higher NDX close two sessions later
10/05/05… No higher NDX close next 1-2 days
01/05/05… Higher NDX close two sessions later
05/10/04… Higher NDX close one session later
05/07/04… Higher NDX close two sessions later
04/29/04… No higher NDX close next 1-2 days
09/26/03… Higher NDX close one session later
10/07/02… Higher NDX close one session later
09/20/01… Higher NDX close two sessions later
11/30/00… Higher NDX close one session later

In 27 out of the last 30 occurrences, or 90% of the time, the NDX closed at a subsequently higher level 1-2 days later, significantly above the 65% random chance for an NDX close above today’s settlement within the next two days.

Additionally, it looks like Wednesday is shaping up to be the fifth consecutive down day for S&P futures, another pattern that typically leads to a bounce over the next 1-2 sessions. The last 30 occurrences are below…

S&P Futures Settle Lower Five Days in a Row
03/03/09… Higher close one session later
02/20/09… No higher close within two sessions
12/23/08… Higher close one session later
10/08/08… No higher close within two sessions
01/22/08… Higher close one session later
02/27/07… Higher close one session later
06/09/06… No higher close within two sessions
01/05/05… Higher close one session later
02/24/04… Higher close one session later
01/22/03… Higher close one session later
12/05/02… Higher close one session later
04/05/02… Higher close one session later
02/07/02… Higher close one session later
09/21/01… Higher close one session later
06/14/01… Higher close one session later
11/13/00… Higher close one session later
10/12/00… Higher close one session later
05/23/00… Higher close one session later
04/14/00… Higher close one session later
09/24/99… Higher close one session later
07/23/99… Higher close two sessions later
04/19/99… Higher close one session later
07/24/98… Higher close one session later
02/29/96… Higher close one session later
02/20/96… Higher close one session later
09/07/94… Higher close one session later
05/09/94… Higher close one session later
04/18/94… Higher close one session later
07/06/93… Higher close one session later
06/08/93… Higher close one session later

In 27 out of the last 30 occurrences, or 90% of the time, S&P futures posted a subsequently higher close within the next two days, significantly above the 66% random chance.

Given the lopsided negative breadth (still nearly 5:1 negative), it would be best to see S&P futures settle below today’s midpoint at SPM 1110.90. A close above that level would trigger a short-term sell as long as breadth  holds 2:1 negative.

Categories : Archived Intraday Commentary, Intraday Commentary

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