Higher SPX Close Would Have Bullish Intermediate-term Implications
By
Rennie on Tuesday, December 14th, 2010 at 2:14 pm
Should the S&P500 hold on to morning gains and finish in positive territory Tuesday, it would have bullish implications looking out 10-20 trading days. The reasoning is that the S&P will have posted a gain in nine out of the past ten sessions. That’s historically a bullish sign from an intermediate-term perspective, because this type of persistent move means buyers are in an unusually dominant position. While a short-term period of consolidation is common after such a long string of up days, history reveals a definitive tendency for the uptrend to resume over the next 10-20 trading days. I went back to 1987 to find the last 30 separate instances in which the S&P500 initially posted nine higher closes in the past ten sessions. Each of these instances is noted in the table below, along with the S&P’s performance both ten and twenty trading days later…
S&P500 Up Nine out of Past Ten Trading Days
12/14/10… S&P ???
04/15/10… S&P -0.4% in ten days, -4.5% in twenty days (*)
03/11/10… S&P +1.4% in ten days, +3.8% in twenty days
04/16/07… S&P +1.0% in ten days, +2.4% in twenty days
11/17/06… S&P +0.6% in ten days, +1.5% in twenty days
10/31/06… S&P +1.1% in ten days, +1.6% in twenty days
10/25/06… S&P +0.3% in ten days, +1.7% in twenty days
07/20/05… S&P +0.8% in ten days, -1.2% in twenty days
07/15/05… S&P +0.5% in ten days, +0.2% in twenty days
11/05/04… S&P +0.4% in ten days, +2.1% in twenty days
09/08/03… S&P -0.9% in ten days, +0.3% in twenty days
09/04/03… S&P +1.1% in ten days, -0.8% in twenty days
08/19/03… S&P +2.4% in ten days, +2.4% in twenty days
06/04/03… S&P +2.4% in ten days, +0.8% in twenty days
03/25/03… S&P +0.4% in ten days, +5.1% in twenty days
11/27/98… S&P -2.2% in ten days, +2.8% in twenty days
10/22/98… S&P +5.1% in ten days, +6.9% in twenty days
06/17/97… S&P -0.4% in ten days, +4.7% in twenty days
01/22/97… S&P -1.0% in ten days, +2.1% in twenty days
11/15/96… S&P +2.6% in ten days, -2.3% in twenty days
09/16/96… S&P +0.5% in ten days, +2.9% in twenty days
05/01/96… S&P +1.7% in ten days, +2.6% in twenty days
02/08/96… S&P +0.5% in ten days, -3.4% in twenty days
09/07/95… S&P +2.2% in ten days, +2.2% in twenty days
02/24/95… S&P +0.3% in ten days, +2.6% in twenty days
10/21/92… S&P +0.4% in ten days, +1.7% in twenty days
01/02/92… S&P +0.2% in ten days, -1.4% in twenty days
05/08/90… S&P +4.8% in ten days, +6.7% in twenty days
10/05/89… S&P -2.8% in ten days, -5.2% in twenty days (*)
07/14/89… S&P +3.1% in ten days, +3.9% in twenty days
06/16/87… S&P -0.3% in ten days, +1.9% in twenty days
The ten and twenty-day outlooks have a respectable 77% accuracy level at calling for a higher S&P. Even more interesting is the combination of the two – that is, considering the setup a ten OR twenty-day signal. If the S&P is higher ten sessions later the position is closed out, but if the S&P is lower after ten sessions the position is held until the 20-day mark. Viewed from this perspective, we find a strong 93% accuracy, with only 2 out of the last 30 occurrences failing to lead to a higher S&P ten or twenty sessions later, significantly above the 72% random chance.
Higher SPX Close Would Have Bullish Intermediate-term Implications
By Rennie on Tuesday, December 14th, 2010 at 2:14 pmShould the S&P500 hold on to morning gains and finish in positive territory Tuesday, it would have bullish implications looking out 10-20 trading days. The reasoning is that the S&P will have posted a gain in nine out of the past ten sessions. That’s historically a bullish sign from an intermediate-term perspective, because this type of persistent move means buyers are in an unusually dominant position. While a short-term period of consolidation is common after such a long string of up days, history reveals a definitive tendency for the uptrend to resume over the next 10-20 trading days. I went back to 1987 to find the last 30 separate instances in which the S&P500 initially posted nine higher closes in the past ten sessions. Each of these instances is noted in the table below, along with the S&P’s performance both ten and twenty trading days later…
S&P500 Up Nine out of Past Ten Trading Days
12/14/10… S&P ???
04/15/10… S&P -0.4% in ten days, -4.5% in twenty days (*)
03/11/10… S&P +1.4% in ten days, +3.8% in twenty days
04/16/07… S&P +1.0% in ten days, +2.4% in twenty days
11/17/06… S&P +0.6% in ten days, +1.5% in twenty days
10/31/06… S&P +1.1% in ten days, +1.6% in twenty days
10/25/06… S&P +0.3% in ten days, +1.7% in twenty days
07/20/05… S&P +0.8% in ten days, -1.2% in twenty days
07/15/05… S&P +0.5% in ten days, +0.2% in twenty days
11/05/04… S&P +0.4% in ten days, +2.1% in twenty days
09/08/03… S&P -0.9% in ten days, +0.3% in twenty days
09/04/03… S&P +1.1% in ten days, -0.8% in twenty days
08/19/03… S&P +2.4% in ten days, +2.4% in twenty days
06/04/03… S&P +2.4% in ten days, +0.8% in twenty days
03/25/03… S&P +0.4% in ten days, +5.1% in twenty days
11/27/98… S&P -2.2% in ten days, +2.8% in twenty days
10/22/98… S&P +5.1% in ten days, +6.9% in twenty days
06/17/97… S&P -0.4% in ten days, +4.7% in twenty days
01/22/97… S&P -1.0% in ten days, +2.1% in twenty days
11/15/96… S&P +2.6% in ten days, -2.3% in twenty days
09/16/96… S&P +0.5% in ten days, +2.9% in twenty days
05/01/96… S&P +1.7% in ten days, +2.6% in twenty days
02/08/96… S&P +0.5% in ten days, -3.4% in twenty days
09/07/95… S&P +2.2% in ten days, +2.2% in twenty days
02/24/95… S&P +0.3% in ten days, +2.6% in twenty days
10/21/92… S&P +0.4% in ten days, +1.7% in twenty days
01/02/92… S&P +0.2% in ten days, -1.4% in twenty days
05/08/90… S&P +4.8% in ten days, +6.7% in twenty days
10/05/89… S&P -2.8% in ten days, -5.2% in twenty days (*)
07/14/89… S&P +3.1% in ten days, +3.9% in twenty days
06/16/87… S&P -0.3% in ten days, +1.9% in twenty days
The ten and twenty-day outlooks have a respectable 77% accuracy level at calling for a higher S&P. Even more interesting is the combination of the two – that is, considering the setup a ten OR twenty-day signal. If the S&P is higher ten sessions later the position is closed out, but if the S&P is lower after ten sessions the position is held until the 20-day mark. Viewed from this perspective, we find a strong 93% accuracy, with only 2 out of the last 30 occurrences failing to lead to a higher S&P ten or twenty sessions later, significantly above the 72% random chance.