Surge in New Highs Precedes Late-day Selloff

Institutional selling pressure dominated the final hour of Tuesday’s session. TICKscore closed at -17, Cumulative TICK -20,000. Consolidated volume soared to a six-month high on the NYSE due almost exclusively to a 2-billion share day for Citigroup. NASDAQ volume was only average. New 20-day highs across all exchanges jumped to 1,610 vs. 172 new 20-day lows, sending the raw 20-day High-Low Indicator (NH/(NH+NL)) to just over 90%. Initial readings this high signal the market is short-term overbought. I’ve shown this study before (see http://MarketTells.com/2010/10/surge-in-new-highs/ ) but this is a more precise version given that it’s utilizing an equity-only database. Similar to the previous study, note the consistent tendency for limited upside potential the following session, with only 2/36 cases leading to a next-day gain of more than 0.6%…

New 20-day High-Low Index (Raw Daily #) Crosses 90%
12/07/10… S&P500 ??? next session
11/04/10… S&P500 +0.4% next session
10/13/10… S&P500 -0.4% next session
10/11/10… S&P500 +0.4% next session
10/05/10… S&P500 -0.1% next session
09/29/10… S&P500 -0.3% next session
09/24/10… S&P500 -0.6% next session
09/20/10… S&P500 -0.3% next session
09/13/10… S&P500 -0.1% next session
08/02/10… S&P500 -0.5% next session
07/26/10… S&P500 -0.1% next session
04/26/10… S&P500 -2.3% next session
04/14/10… S&P500 +0.1% next session
03/17/10… S&P500 -0.0% next session
03/05/10… S&P500 -0.0% next session
03/02/10… S&P500 +0.0% next session
01/04/10… S&P500 +0.3% next session
12/24/09… S&P500 +0.1% next session
09/15/09… S&P500 +1.5% next session (*)
09/11/09… S&P500 +0.6% next session
08/07/09… S&P500 -0.3% next session
08/03/09… S&P500 +0.3% next session
07/30/09… S&P500 +0.1% next session
07/23/09… S&P500 +0.3% next session
07/20/09… S&P500 +0.4% next session
06/05/09… S&P500 -0.1% next session
06/01/09… S&P500 +0.2% next session
05/04/09… S&P500 -0.4% next session
04/29/09… S&P500 -0.1% next session
04/16/09… S&P500 +0.5% next session
04/09/09… S&P500 +0.3% next session
04/02/09… S&P500 +1.0% next session (*)
03/23/09… S&P500 -2.0% next session
03/18/09… S&P500 -1.3% next session
01/02/09… S&P500 -0.5% next session
09/19/07… S&P500 -0.7% next session
04/16/07… S&P500 +0.2% next session

NYSE TICK traded down to a fresh 5-day low of -1287 during Tuesday’s late slide, a negative sign for Wednesday’s session coming on what still amounted to an up day for the S&P. When the S&P closes higher on a day when the TICK records a 5-day low, there’s a tendency for the market to trade lower the following session. Over the last 30 occurrences, the S&P closed lower the next day 70% of the time…

NYSE TICK Hits 5-day Low, S&P Closes Higher
12/07/10… S&P500 ??? next session
11/01/10… S&P500 +0.8% next session
10/13/10… S&P500 -0.4% next session
09/28/10… S&P500 -0.3% next session
09/13/10… S&P500 -0.1% next session
07/15/10… S&P500 -2.9% next session
07/06/10… S&P500 +3.1% next session
06/03/10… S&P500 -3.4% next session
05/17/10… S&P500 -1.4% next session
04/19/10… S&P500 +0.8% next session
03/17/10… S&P500 -0.0% next session
03/03/10… S&P500 +0.4% next session
12/30/09… S&P500 -1.0% next session
12/16/09… S&P500 -1.2% next session
12/04/09… S&P500 -0.3% next session
11/11/09… S&P500 -1.0% next session
07/21/09… S&P500 -0.1% next session
04/08/09… S&P500 +3.8% next session
03/25/09… S&P500 +2.3% next session
02/12/09… S&P500 -1.0% next session
01/26/09… S&P500 +1.1% next session
11/13/08… S&P500 -4.2% next session
11/07/08… S&P500 -1.3% next session
10/23/08… S&P500 -3.5% next session
10/16/08… S&P500 -0.6% next session
08/20/08… S&P500 +0.3% next session
07/23/08… S&P500 -2.3% next session
06/25/08… S&P500 -2.9% next session
05/19/08… S&P500 -0.9% next session
05/14/08… S&P500 +1.1% next session
03/03/08… S&P500 -0.3% next session

The number of new 52-week highs on the NYSE jumped to over 400 on Tuesday morning’s pop, a potentially positive sign from an intermediate-term perspective given the market’s tendency to rally in the thirty days following a 400+ reading. However, negative divergences between price and indicators such as the percentage of SPX stocks over their 50-day average are still in effect, while indicators such as the Cumulative TICK 20-day average just crossed into negative territory, so I think a price correction or consolidation is still the more likely outcome in the immediate future…

New 52-week Highs >400 First Time in a Month
12/07/10… S&P500 ??? thirty sessions later
10/13/10… S&P500 +1.7% thirty sessions later
03/05/10… S&P500 +5.2% thirty sessions later
12/28/09… S&P500 -5.3% thirty sessions later
10/14/09… S&P500 +1.7% thirty sessions later
05/31/07… S&P500 +1.4% thirty sessions later
04/16/07… S&P500 +3.4% thirty sessions later
02/01/07… S&P500 -4.1% thirty sessions later
12/04/06… S&P500 +1.5% thirty sessions later
10/26/06… S&P500 +1.5% thirty sessions later
01/27/06… S&P500 +0.0% thirty sessions later
07/11/05… S&P500 +0.2% thirty sessions later
02/04/05… S&P500 -1.6% thirty sessions later
11/04/04… S&P500 +2.8% thirty sessions later
09/02/03… S&P500 +2.7% thirty sessions later
05/27/03… S&P500 +5.3% thirty sessions later
09/16/97… S&P500 -2.5% thirty sessions later
06/12/97… S&P500 +6.3% thirty sessions later
02/18/86… S&P500 +6.0% thirty sessions later
05/20/85… S&P500 +1.2% thirty sessions later
10/07/82… S&P500 +7.4% thirty sessions later
02/20/76… S&P500 +0.2% thirty sessions later

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

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