Watch the Midpoint
By
Rennie on Thursday, November 11th, 2010 at 1:23 pm
4pm Update: Breadth rebounds into close (adv/dec ratio .55), ST sell not triggered. New 20-day lows remain below 314, triggering 3-4 day buy.
When S&P futures close above the midpoint on a day when most stocks are trending lower, it signals a weak recovery that usually doesn’t stick over the near-term. Here’s a look at each of the last thirty instances in which S&P futures closed above the day’s midpoint despite 2:1+ negative breadth on the NYSE…
S&P Futures Close >Midpoint Despite 2:1 Negative Breadth
08/10/10… Lower S&P close one session later
05/06/10… Lower S&P close one session later
01/20/10… Lower S&P close one session later
01/12/10… No lower close within next two sessions
11/27/09… No lower close within next two sessions
11/19/09… Lower S&P close one session later
08/31/09… Lower S&P close one session later
08/14/09… Lower S&P close one session later
06/03/09… No lower close within next two sessions
05/21/09… Lower S&P close one session later
04/06/09… Lower S&P close one session later
03/27/09… Lower S&P close one session later
02/20/09… Lower S&P close one session later
01/22/09… Lower S&P close one session later
12/22/08… Lower S&P close one session later
12/15/08… No lower close within next two sessions
10/22/08… Lower S&P close two sessions later
10/06/08… Lower S&P close one session later
09/26/08… Lower S&P close one session later
04/22/08… Lower S&P close one session later
03/17/08… No lower close within next two sessions
03/04/08… Lower S&P close two sessions later
11/05/07… Lower S&P close two sessions later
09/07/07… Lower S&P close one session later
09/05/07… Lower S&P close two sessions later
06/05/07… Lower S&P close one session later
03/27/07… Lower S&P close one session later
07/05/06… Lower S&P close two sessions later
03/07/06… Lower S&P close two sessions later
10/06/05… Lower S&P close two sessions later
In 25 out of the last 30 occurrences, or 83% of the time, S&P futures posted a subsequently lower close one or two trading days later, significantly above the 58% random odds for a lower S&P close 1-2 days later in the same time frame. This signal will go into effect at today’s close if S&P futures settle above the midpoint (currently at SPZ 1205.65) and NYSE breadth remains at least 2:1 negative.
Looking out a bit further, I see new 20-day lows across all exchanges running below Wednesday’s level (currently 246 vs. 314). When new 20-day lows drop on a day when S&P futures fail to even trade above the previous day’s close, it’s a bullish sign looking out 3-4 trading days. See this April 13th column for a recent track record.
Watch the Midpoint
By Rennie on Thursday, November 11th, 2010 at 1:23 pm4pm Update: Breadth rebounds into close (adv/dec ratio .55), ST sell not triggered. New 20-day lows remain below 314, triggering 3-4 day buy.
When S&P futures close above the midpoint on a day when most stocks are trending lower, it signals a weak recovery that usually doesn’t stick over the near-term. Here’s a look at each of the last thirty instances in which S&P futures closed above the day’s midpoint despite 2:1+ negative breadth on the NYSE…
S&P Futures Close >Midpoint Despite 2:1 Negative Breadth
08/10/10… Lower S&P close one session later
05/06/10… Lower S&P close one session later
01/20/10… Lower S&P close one session later
01/12/10… No lower close within next two sessions
11/27/09… No lower close within next two sessions
11/19/09… Lower S&P close one session later
08/31/09… Lower S&P close one session later
08/14/09… Lower S&P close one session later
06/03/09… No lower close within next two sessions
05/21/09… Lower S&P close one session later
04/06/09… Lower S&P close one session later
03/27/09… Lower S&P close one session later
02/20/09… Lower S&P close one session later
01/22/09… Lower S&P close one session later
12/22/08… Lower S&P close one session later
12/15/08… No lower close within next two sessions
10/22/08… Lower S&P close two sessions later
10/06/08… Lower S&P close one session later
09/26/08… Lower S&P close one session later
04/22/08… Lower S&P close one session later
03/17/08… No lower close within next two sessions
03/04/08… Lower S&P close two sessions later
11/05/07… Lower S&P close two sessions later
09/07/07… Lower S&P close one session later
09/05/07… Lower S&P close two sessions later
06/05/07… Lower S&P close one session later
03/27/07… Lower S&P close one session later
07/05/06… Lower S&P close two sessions later
03/07/06… Lower S&P close two sessions later
10/06/05… Lower S&P close two sessions later
In 25 out of the last 30 occurrences, or 83% of the time, S&P futures posted a subsequently lower close one or two trading days later, significantly above the 58% random odds for a lower S&P close 1-2 days later in the same time frame. This signal will go into effect at today’s close if S&P futures settle above the midpoint (currently at SPZ 1205.65) and NYSE breadth remains at least 2:1 negative.
Looking out a bit further, I see new 20-day lows across all exchanges running below Wednesday’s level (currently 246 vs. 314). When new 20-day lows drop on a day when S&P futures fail to even trade above the previous day’s close, it’s a bullish sign looking out 3-4 trading days. See this April 13th column for a recent track record.