Upside Follow-Through
By
Rennie on Thursday, December 2nd, 2010 at 10:57 am
S&P futures in the process of posting a higher high, low and close on the heels of Wednesday’s unfilled upside gap. The last thirty times this pattern occurred are listed in the table below…
S&P Futures Higher High, Low & Close After Unfilled Upside Gap
11/05/10… S&P futures -0.9% two sessions later
09/02/10… S&P futures +0.2% two sessions later
04/15/10… S&P futures -1.1% two sessions later
03/08/10… S&P futures +0.8% two sessions later
03/02/10… S&P futures +0.4% two sessions later
12/28/09… S&P futures -0.1% two sessions later
12/22/09… S&P futures +0.8% two sessions later
12/11/09… S&P futures +0.1% two sessions later
11/10/09… S&P futures -0.4% two sessions later
10/15/09… S&P futures +0.1% two sessions later
10/09/09… S&P futures +0.1% two sessions later
09/09/09… S&P futures +0.9% two sessions later
07/16/09… S&P futures +1.4% two sessions later
06/02/09… S&P futures -0.2% two sessions later
05/05/09… S&P futures +0.4% two sessions later
04/13/09… S&P futures -0.6% two sessions later
11/25/08… S&P futures +4.9% two sessions later (*)
04/17/08… S&P futures +1.2% two sessions later
04/02/08… S&P futures +0.1% two sessions later
12/24/07… S&P futures -1.1% two sessions later
12/06/07… S&P futures +0.8% two sessions later
11/29/07… S&P futures +0.3% two sessions later
07/13/07… S&P futures -0.1% two sessions later
04/17/07… S&P futures +0.1% two sessions later
02/15/07… S&P futures +0.2% two sessions later
11/30/06… S&P futures +0.6% two sessions later
08/17/06… S&P futures +0.1% two sessions later
11/18/05… S&P futures +1.0% two sessions later
05/27/05… S&P futures +0.1% two sessions later
05/19/05… S&P futures +0.4% two sessions later
In 22 out of the last 30 occurrences, or 73% of the time, the S&Ps were trading higher two sessions later. That’s a decent edge but not statistically significant compared to the 54% random chance in the same time frame. Equally noteworthy is the tendency for the market to NOT make a large directional move over the next two sessions. Downside potential was limited to 1.1% in each of the last thirty instances. Upside potential was usually limited to about the same, with only two cases leading to a gain of more than 1.2%. This pattern goes into effect as long as S&P futures close in positive territory Thursday.
Upside Follow-Through
By Rennie on Thursday, December 2nd, 2010 at 10:57 amS&P futures in the process of posting a higher high, low and close on the heels of Wednesday’s unfilled upside gap. The last thirty times this pattern occurred are listed in the table below…
S&P Futures Higher High, Low & Close After Unfilled Upside Gap
11/05/10… S&P futures -0.9% two sessions later
09/02/10… S&P futures +0.2% two sessions later
04/15/10… S&P futures -1.1% two sessions later
03/08/10… S&P futures +0.8% two sessions later
03/02/10… S&P futures +0.4% two sessions later
12/28/09… S&P futures -0.1% two sessions later
12/22/09… S&P futures +0.8% two sessions later
12/11/09… S&P futures +0.1% two sessions later
11/10/09… S&P futures -0.4% two sessions later
10/15/09… S&P futures +0.1% two sessions later
10/09/09… S&P futures +0.1% two sessions later
09/09/09… S&P futures +0.9% two sessions later
07/16/09… S&P futures +1.4% two sessions later
06/02/09… S&P futures -0.2% two sessions later
05/05/09… S&P futures +0.4% two sessions later
04/13/09… S&P futures -0.6% two sessions later
11/25/08… S&P futures +4.9% two sessions later (*)
04/17/08… S&P futures +1.2% two sessions later
04/02/08… S&P futures +0.1% two sessions later
12/24/07… S&P futures -1.1% two sessions later
12/06/07… S&P futures +0.8% two sessions later
11/29/07… S&P futures +0.3% two sessions later
07/13/07… S&P futures -0.1% two sessions later
04/17/07… S&P futures +0.1% two sessions later
02/15/07… S&P futures +0.2% two sessions later
11/30/06… S&P futures +0.6% two sessions later
08/17/06… S&P futures +0.1% two sessions later
11/18/05… S&P futures +1.0% two sessions later
05/27/05… S&P futures +0.1% two sessions later
05/19/05… S&P futures +0.4% two sessions later
In 22 out of the last 30 occurrences, or 73% of the time, the S&Ps were trading higher two sessions later. That’s a decent edge but not statistically significant compared to the 54% random chance in the same time frame. Equally noteworthy is the tendency for the market to NOT make a large directional move over the next two sessions. Downside potential was limited to 1.1% in each of the last thirty instances. Upside potential was usually limited to about the same, with only two cases leading to a gain of more than 1.2%. This pattern goes into effect as long as S&P futures close in positive territory Thursday.