RSI Persistence

Thursday’s session was the first time in seven sessions that the 14-day RSI for the S&P500 closed below 70. I’ve previously discussed my preference for using this indicator to signal unusually strong trends that are likely to persist rather than as an overbought/oversold oscillator. We didn’t quite hit the 75 level I normally like to see, but it’s nonetheless interesting that the RSI spent an unusual amount of time at elevated levels. That usually spells further upside at some point over the next 1-2 weeks. The last 30 times that the SPX 14-day RSI closed over 70 five consecutive sessions are listed below. In 27 out of the last 29 occurrences, the SPX posted a subsequently higher close at some point over the next 5-9 trading days…

SPX 14-day RSI >70 Five Consecutive Sessions
12/28/10…
04/15/10… Higher SPX six sessions later
08/05/09… Higher SPX five sessions later
05/09/07… Higher SPX five sessions later
11/22/06… Higher SPX seven sessions later
10/24/06… Higher SPX five sessions later
11/10/04… Higher SPX five sessions later
01/05/04… Higher SPX five sessions later
11/24/98… Higher SPX eight sessions later
04/06/98… Higher SPX eight sessions later
03/20/98… Higher SPX seven sessions later
06/16/97… Higher SPX six sessions later
11/12/96… Higher SPX five sessions later
10/07/96… Higher SPX five sessions later
05/24/96… No higher SPX close 5-9 sessions later
02/09/96… Higher SPX eight sessions later
09/11/95… Higher SPX five sessions later
06/23/95… Higher SPX eight sessions later
04/28/95… Higher SPX five sessions later
04/07/95… Higher SPX nine sessions later
03/28/95… Higher SPX five sessions later
02/09/95… Higher SPX five sessions later
12/31/91… Higher SPX five sessions later
02/06/91… Higher SPX five sessions later
06/04/90… No higher SPX close 5-9 sessions later
05/17/90… Higher SPX five sessions later
08/02/89… Higher SPX five sessions later
05/18/89… Higher SPX five sessions later
01/31/89… Higher SPX five sessions later
08/12/87… Higher SPX six sessions later
06/22/87… No higher SPX close 5-9 sessions later

This argues in favor of an SPX above the December 28th close of 1258.51 in the January 4th-10th time frame.

Here’s another look at the same table but this time I’ve simply noted the S&P’s performance over the next two weeks. Not a significant edge here in terms of win/loss performance, but interesting to note that the S&P was down more than 1% two weeks later only twice while it was up more than 1% a dozen times…

SPX 14-day RSI >70 Five Consecutive Sessions
12/28/10… ???
04/15/10… -0.4% two weeks later
08/05/09… -0.6% two weeks later
05/09/07… +0.6% two weeks later
11/22/06… +0.1% two weeks later
10/24/06… +0.4% two weeks later
11/10/04… +1.6% two weeks later
01/05/04… +1.5% two weeks later
11/24/98… +0.0% two weeks later
04/06/98… +0.4% two weeks later
03/20/98… +2.1% two weeks later
06/16/97… -1.0% two weeks later
11/12/96… +3.6% two weeks later
10/07/96… +0.9% two weeks later
05/24/96… -0.9% two weeks later
02/09/96… -0.9% two weeks later
09/11/95… +1.4% two weeks later
06/23/95… +1.4% two weeks later
04/28/95… +2.1% two weeks later
04/07/95… +1.3% two weeks later
03/28/95… +0.3% two weeks later
02/09/95… +1.7% two weeks later
12/31/91… +0.9% two weeks later
02/06/91… +1.9% two weeks later
06/04/90… -2.9%  two weeks later (*)
05/17/90… +2.5% two weeks later
08/02/89… +0.4% two weeks later
05/18/89… +2.4% two weeks later
01/31/89… -1.9%  two weeks later (*)
08/12/87… +0.7% two weeks later
06/22/87… -0.7% two weeks later

Categories : Archived Intraday Commentary, Intraday Commentary

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