Insight from the SPX 65-minute Chart

Thanks to Bob Barnes for this recent post that highlights the concept of utilizing 65-minute bars for intraday analysis. With 390 minutes in a trading day, 65-minute bars are a better fit than traditional hourly bars, in which the final bar of each day is really only 30 minutes. I’ve been examining these 65-minute bars with the S&P500 and noted something interesting this evening. During Wednesday’s session the SPX fell nearly 1.5% on the fifth bar of the trading day (with six bars in a day, the fifth is between 1:50pm – 2:55pm ET). Normally when the S&P falls in excess of 1% on one bar of the 65-minute chart, it’s either the first or last bar of the day. When it’s somewhere in between, the market is usually caught off guard, and there’s a bit of downside follow-through over the very short-term. In the table below I’ve listed each of the last 30 occurrences in which the SPX fell in excess of 1% on one of the middle four bars of the 65-minute trading day…

SPX Falls 1%+ on One 65-minute Bar (not first or last bar of session)
07/21/10 13:50-14:55… ???
06/22/10 13:50-14:55… Lower SPX close one bar later
05/06/10 13:50-14:55… Lower SPX close two bars later
04/27/10 10:35-11:40… Lower SPX close three bars later
04/16/10 10:35-11:40… Lower SPX close one bar later
10/26/09 10:35-11:40… Lower SPX close one bar later
09/01/09 10:35-11:40… Lower SPX close one bar later
06/10/09 12:45-13:50… No lower SPX close within three bars
05/07/09 12:45-13:50… Lower SPX close one bar later
03/25/09 12:45-13:50… Lower SPX close one bar later
03/20/09 12:45-13:50… Lower SPX close one bar later
03/19/09 13:50-14:55… Lower SPX close three bars later
03/05/09 10:35-11:40… Lower SPX close two bars later
03/03/09 10:35-11:40… No lower SPX close within three bars
03/02/09 10:35-11:40… Lower SPX close one bar later
02/26/09 13:50-14:55… Lower SPX close one bar later
02/12/09 12:45-13:50… Lower SPX close one bar later
02/11/09 12:45-13:50… Lower SPX close three bars later
02/10/09 10:35-11:40… Lower SPX close two bars later
02/04/09 12:45-13:50… Lower SPX close one bar later
01/16/09 10:35-11:40… Lower SPX close one bar later
12/23/08 10:35-11:40… Lower SPX close one bar later
12/11/08 13:50-14:55… Lower SPX close one bar later
12/09/08 10:35-11:40… Lower SPX close two bars later
12/03/08 12:45-13:50… No lower SPX close within three bars
12/02/08 12:45-13:50… Lower SPX close one bar later
11/25/08 10:35-11:40… Lower SPX close one bar later
11/21/08 12:45-13:50… Lower SPX close one bar later
11/20/08 12:45-13:50… Lower SPX close one bar later
11/19/08 10:35-11:40… Lower SPX close two bars later
11/18/08 11:40-12:45… Lower SPX close one bar later

In 27 out of the last 30 occurrences, or 90% of the time, the S&P posted a lower 65-minute close within the next three bars, significantly above the 65% random chance. Note that the word ‘close’ in this case is on a 65-minute basis. With this signal triggered on the fifth bar of Wednesday’s session at SPX 1066.98, and given that we didn’t see a lower close on the final bar of the day, it’s therefore calling for an SPX below 1066.98 on either the first or second bar of Thursday’s session (meaning either at 10:35 or 11:40).

Categories : Archived EOD Commentary, End-of-Day Commentary

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