Cluster of Lopsided Positive Breadth Sessions
By
Rennie on Tuesday, July 27th, 2010 at 12:47 pm
S&P futures have posted six consecutive higher highs as of today, a price pattern that typically leads to a lower S&P close 2-4 trading days later. That’s something to keep in mind, but for now indications continue to suggest there’s a bit more upside over the near-term. On Monday I noted that we saw a bullish cluster of three 3:1 positive breadth days, something only seen four other times since 1990. Each case led to a higher SPX close two days later, but four cases isn’t a lot to go on. This morning I revisited that cluster but only scanned for three consecutive 2:1 positive breadth days. This turned up a much more useful sample size, especially when the test was extended into the 70′s and 80′s…
Three Consecutive 2:1 Positive Breadth Sessions
07/26/10… SPX ??? two sessions later
07/09/10… SPX +1.6% two sessions later
02/18/10… SPX +0.1% two sessions later
09/16/09… SPX -0.0% two sessions later
09/08/09… SPX +1.8% two sessions later
07/15/09… SPX +0.8% two sessions later
04/02/09… SPX +0.1% two sessions later
01/02/09… SPX +0.3% two sessions later
11/26/08… SPX -8.1% two sessions later
03/21/07… SPX +0.1% two sessions later
02/01/07… SPX +0.1% two sessions later
07/03/06… SPX -0.5% two sessions later
09/02/03… SPX +0.6% two sessions later
12/26/91… SPX +2.5% two sessions later
02/06/91… SPX +0.4% two sessions later
08/13/86… SPX +0.6% two sessions later
08/03/84… SPX +0.2% two sessions later
05/06/83… SPX -0.1% two sessions later
03/03/83… SPX +0.1% two sessions later
10/08/82… SPX +2.6% two sessions later
08/18/82… SPX +4.1% two sessions later
11/13/80… SPX +0.9% two sessions later
04/24/80… SPX +1.2% two sessions later
01/04/79… SPX +0.2% two sessions later
06/14/76… SPX +0.1% two sessions later
01/05/76… SPX +1.5% two sessions later
06/23/75… SPX +1.1% two sessions later
01/03/75… SPX +0.4% two sessions later
10/11/74… SPX +0.4% two sessions later
09/21/73… SPX +0.8% two sessions later
05/04/73… SPX +0.2% two sessions later
11/30/71… SPX +2.0% two sessions later
12/29/70… SPX +0.1% two sessions later
07/17/70… SPX -0.9% two sessions later
05/29/70… SPX +1.7% two sessions later
Out of 34 total occurrences since 1970, 29 (83%) led to a higher SPX close two sessions later. The random chance for a higher SPX close two days later in the same time frame is only 53%, so this represents a significant edge over random.
Cluster of Lopsided Positive Breadth Sessions
By Rennie on Tuesday, July 27th, 2010 at 12:47 pmS&P futures have posted six consecutive higher highs as of today, a price pattern that typically leads to a lower S&P close 2-4 trading days later. That’s something to keep in mind, but for now indications continue to suggest there’s a bit more upside over the near-term. On Monday I noted that we saw a bullish cluster of three 3:1 positive breadth days, something only seen four other times since 1990. Each case led to a higher SPX close two days later, but four cases isn’t a lot to go on. This morning I revisited that cluster but only scanned for three consecutive 2:1 positive breadth days. This turned up a much more useful sample size, especially when the test was extended into the 70′s and 80′s…
Three Consecutive 2:1 Positive Breadth Sessions
07/26/10… SPX ??? two sessions later
07/09/10… SPX +1.6% two sessions later
02/18/10… SPX +0.1% two sessions later
09/16/09… SPX -0.0% two sessions later
09/08/09… SPX +1.8% two sessions later
07/15/09… SPX +0.8% two sessions later
04/02/09… SPX +0.1% two sessions later
01/02/09… SPX +0.3% two sessions later
11/26/08… SPX -8.1% two sessions later
03/21/07… SPX +0.1% two sessions later
02/01/07… SPX +0.1% two sessions later
07/03/06… SPX -0.5% two sessions later
09/02/03… SPX +0.6% two sessions later
12/26/91… SPX +2.5% two sessions later
02/06/91… SPX +0.4% two sessions later
08/13/86… SPX +0.6% two sessions later
08/03/84… SPX +0.2% two sessions later
05/06/83… SPX -0.1% two sessions later
03/03/83… SPX +0.1% two sessions later
10/08/82… SPX +2.6% two sessions later
08/18/82… SPX +4.1% two sessions later
11/13/80… SPX +0.9% two sessions later
04/24/80… SPX +1.2% two sessions later
01/04/79… SPX +0.2% two sessions later
06/14/76… SPX +0.1% two sessions later
01/05/76… SPX +1.5% two sessions later
06/23/75… SPX +1.1% two sessions later
01/03/75… SPX +0.4% two sessions later
10/11/74… SPX +0.4% two sessions later
09/21/73… SPX +0.8% two sessions later
05/04/73… SPX +0.2% two sessions later
11/30/71… SPX +2.0% two sessions later
12/29/70… SPX +0.1% two sessions later
07/17/70… SPX -0.9% two sessions later
05/29/70… SPX +1.7% two sessions later
Out of 34 total occurrences since 1970, 29 (83%) led to a higher SPX close two sessions later. The random chance for a higher SPX close two days later in the same time frame is only 53%, so this represents a significant edge over random.