Percentage of Stocks over 20-day Avg Provides Short-term Clues

Currently we have 53% of stocks trading above their 20-day moving average. If this statistic holds above 50% into today’s close, it would represent the second consecutive reading above 50%. That’s noteworthy considering the S&P500 itself is more than 0.5% below its own 20-day average, an indication that most stocks are doing better than the major averages. I went back and noted every instance since 2005 in which the percentage of stocks over their 20-day average held above 50% for two consecutive sessions and the S&P was under its own 20-day average both days. Note the market’s strong propensity to trade higher over the short-term as the SPX played catch-up with the underlying strength in individual stocks…

04/28/10… S&P500 +0.9% three sessions later
12/18/09… S&P500 +1.6% three sessions later
12/09/09… S&P500 +1.7% three sessions later
05/22/09… S&P500 +2.2% three sessions later
12/23/08… S&P500 +0.7% three sessions later
09/03/08… S&P500 -0.6% three sessions later
07/25/08… S&P500 +2.1% three sessions later
05/29/08… S&P500 -1.5% three sessions later (*)
02/08/08… S&P500 +2.7% three sessions later
09/10/07… S&P500 +2.2% three sessions later
01/29/07… S&P500 +1.8% three sessions later
11/28/06… S&P500 +0.7% three sessions later
02/09/06… S&P500 +0.9% three sessions later
02/03/06… S&P500 +0.1% three sessions later
01/23/06… S&P500 +0.8% three sessions later
07/07/05… S&P500 +2.0% three sessions later
06/29/05… S&P500 +0.4% three sessions later
06/24/05… S&P500 +0.7% three sessions later

Those are all the ‘initial’ cases, meaning the pattern wasn’t in effect the previous session. If we look at ALL cases, we find a total of 30 occurrences since 2005. While there’s obviously some overlap, the market’s consistent performance looking out three days is nonetheless impressive…

04/28/10… S&P500 +0.9% three sessions later
12/18/09… S&P500 +1.6% three sessions later
12/09/09… S&P500 +1.7% three sessions later
05/22/09… S&P500 +2.2% three sessions later
12/29/08… S&P500 +7.2% three sessions later
12/26/08… S&P500 +3.5% three sessions later
12/24/08… S&P500 +2.9% three sessions later
12/23/08… S&P500 +0.7% three sessions later
09/03/08… S&P500 -0.6% three sessions later
07/25/08… S&P500 +2.1% three sessions later
05/30/08… S&P500 -1.7% three sessions later (*)
05/29/08… S&P500 -1.5% three sessions later (*)
02/12/08… S&P500 +0.1% three sessions later
02/11/08… S&P500 +0.7% three sessions later
02/08/08… S&P500 +2.7% three sessions later
09/10/07… S&P500 +2.2% three sessions later
01/29/07… S&P500 +1.8% three sessions later
11/28/06… S&P500 +0.7% three sessions later
02/09/06… S&P500 +0.9% three sessions later
02/06/06… S&P500 -0.1% three sessions later
02/03/06… S&P500 +0.1% three sessions later
01/26/06… S&P500 +0.5% three sessions later
01/25/06… S&P500 +1.6% three sessions later
01/24/06… S&P500 +1.3% three sessions later
01/23/06… S&P500 +0.8% three sessions later
07/07/05… S&P500 +2.0% three sessions later
07/01/05… S&P500 +0.3% three sessions later
06/30/05… S&P500 +0.3% three sessions later
06/29/05… S&P500 +0.4% three sessions later
06/24/05… S&P500 +0.7% three sessions later

Note that in 26 out of the last 30 occurrences, or 87% of the time, the S&P500 was trading higher three sessions later. In the same period of time, the random chance for a higher SPX three days later is only 55%, so this is a significant edge that will persist for the three days following the most recent signal.

Categories : Archived Intraday Commentary, Intraday Commentary

 Print This Post