Lower SPY Close Would Point Higher for Tuesday
By
Rennie on Monday, June 21st, 2010 at 3:18 pm
Market giving back intraday gains Monday, not too surprising given the persistently negative NYSE TICK action. With TICKscore currently at -24, it looks like that longer-term negative divergence between price and Cumulative TICKscore will look even more pronounced after today’s session. On a short-term basis, a bullish signal for Tuesday’s session will be triggered if SPY closes lower today. The reasoning is that SPY opened above R3 (per Brett Steenbarger’s calculation) Monday. Looking back at the last 30 instances in which SPY traded above R3 intraday but settled lower, we find a tendency for higher prices the following session…
SPY Trades Above R3 Intraday, Closes Lower
06/09/10… SPY +2.9% next session
05/26/10… SPY +3.4% next session
05/07/10… SPY +4.4% next session
03/25/10… SPY -0.1% next session
12/15/09… SPY +0.2% next session
07/16/09… SPY +1.1% next session
12/17/08… SPY -1.9% next session (*)
09/02/08… SPY -0.1% next session
04/30/08… SPY +2.1% next session
03/12/08… SPY +0.3% next session
01/30/08… SPY +1.8% next session
01/08/08… SPY +1.1% next session
12/11/07… SPY +1.0% next session
12/07/07… SPY +0.8% next session
10/19/07… SPY +0.6% next session
10/16/07… SPY +0.3% next session
10/11/07… SPY +0.6% next session
09/20/07… SPY -0.2% next session
07/31/07… SPY +0.5% next session
07/17/07… SPY -0.2% next session
06/28/07… SPY +0.0% next session
05/31/07… SPY +0.5% next session
05/01/07… SPY +0.9% next session
02/22/07… SPY -0.4% next session
01/03/07… SPY +0.2% next session
08/04/06… SPY -0.2% next session
06/09/06… SPY -1.1% next session (*)
05/23/06… SPY +0.8% next session
04/03/06… SPY +0.6% next session
03/30/06… SPY +0.0% next session
Out of the last 30 occurrences, 22 led to a higher SPY close one session later, well ahead of the 54% random chance for a higher SPY one day later. Even when wrong, downside potential was typically limited to 0.5% or less. Only two times out of the last 30 occurrences did the SPY close down 0.5% or more the next day, while it rallied 0.5%+ sixteen times.
Lower SPY Close Would Point Higher for Tuesday
By Rennie on Monday, June 21st, 2010 at 3:18 pmMarket giving back intraday gains Monday, not too surprising given the persistently negative NYSE TICK action. With TICKscore currently at -24, it looks like that longer-term negative divergence between price and Cumulative TICKscore will look even more pronounced after today’s session. On a short-term basis, a bullish signal for Tuesday’s session will be triggered if SPY closes lower today. The reasoning is that SPY opened above R3 (per Brett Steenbarger’s calculation) Monday. Looking back at the last 30 instances in which SPY traded above R3 intraday but settled lower, we find a tendency for higher prices the following session…
SPY Trades Above R3 Intraday, Closes Lower
06/09/10… SPY +2.9% next session
05/26/10… SPY +3.4% next session
05/07/10… SPY +4.4% next session
03/25/10… SPY -0.1% next session
12/15/09… SPY +0.2% next session
07/16/09… SPY +1.1% next session
12/17/08… SPY -1.9% next session (*)
09/02/08… SPY -0.1% next session
04/30/08… SPY +2.1% next session
03/12/08… SPY +0.3% next session
01/30/08… SPY +1.8% next session
01/08/08… SPY +1.1% next session
12/11/07… SPY +1.0% next session
12/07/07… SPY +0.8% next session
10/19/07… SPY +0.6% next session
10/16/07… SPY +0.3% next session
10/11/07… SPY +0.6% next session
09/20/07… SPY -0.2% next session
07/31/07… SPY +0.5% next session
07/17/07… SPY -0.2% next session
06/28/07… SPY +0.0% next session
05/31/07… SPY +0.5% next session
05/01/07… SPY +0.9% next session
02/22/07… SPY -0.4% next session
01/03/07… SPY +0.2% next session
08/04/06… SPY -0.2% next session
06/09/06… SPY -1.1% next session (*)
05/23/06… SPY +0.8% next session
04/03/06… SPY +0.6% next session
03/30/06… SPY +0.0% next session
Out of the last 30 occurrences, 22 led to a higher SPY close one session later, well ahead of the 54% random chance for a higher SPY one day later. Even when wrong, downside potential was typically limited to 0.5% or less. Only two times out of the last 30 occurrences did the SPY close down 0.5% or more the next day, while it rallied 0.5%+ sixteen times.