On Friday’s Wide-Range Bar
By
Rennie on Monday, January 31st, 2011 at 12:26 pm
On Friday, S&P futures posted a wide-range bar with nearly 30 points separating the intraday high and low, the largest range day since last July. When a wide range coincides with a down day (2:1+ negative breadth) and is followed by a rebound the next session (as is occurring today), we should pay attention if futures close back below the wide-range bar’s close within the next few sessions. Should that occur, history suggests good odds we’ll see further weakness develop over the short-term. In the table below I’ve extracted every instance since 1990 in which S&P futures posted a WR40 (widest range day in 40 sessions) with 2:1+ negative breadth that was immediately followed by a rebound the next session. The date shown is the first session within the next three that saw a close back below the WR40 day’s close.
Up Day After WR40 Day w/ 2:1 Neg Breadth Followed by Close Below WR40 Close Within Next Three Sessions
02/13/09… S&P futures -4.2% one session later
10/03/08… S&P futures -5.0% one session later
09/15/08… S&P futures -2.8% two sessions later
06/10/08… S&P futures -1.5% one session later
12/14/07… S&P futures -1.5% one session later
03/02/07… S&P futures -1.0% one session later
04/11/06… S&P futures -0.1% three sessions later
10/10/05… S&P futures -0.1% one session later
03/29/05… No lower close within next three sessions
07/23/04… S&P futures -0.2% one session later
04/15/04… S&P futures -0.9% three sessions later
07/12/02… S&P futures -1.5% two sessions later
06/06/02… S&P futures -0.1% one session later
02/04/02… S&P futures -0.6% one session later
03/14/01… S&P futures -1.6% two sessions later
05/29/98… S&P futures -1.2% three sessions later
12/11/96… S&P futures -1.6% one session later
11/19/91… S&P futures -0.7% one session later
05/14/91… S&P futures -0.8% one session later
Out of 19 occurrences since 1990, 18 (95%) led to a subsequently lower S&P close within the next three sessions, significantly above the 65% random chance for a lower close within the next three days. Assuming we close higher today, this short-term bearish signal would go into effect only if March S&Ps close back under 1271.50 by Thursday.
On Friday’s Wide-Range Bar
By Rennie on Monday, January 31st, 2011 at 12:26 pmOn Friday, S&P futures posted a wide-range bar with nearly 30 points separating the intraday high and low, the largest range day since last July. When a wide range coincides with a down day (2:1+ negative breadth) and is followed by a rebound the next session (as is occurring today), we should pay attention if futures close back below the wide-range bar’s close within the next few sessions. Should that occur, history suggests good odds we’ll see further weakness develop over the short-term. In the table below I’ve extracted every instance since 1990 in which S&P futures posted a WR40 (widest range day in 40 sessions) with 2:1+ negative breadth that was immediately followed by a rebound the next session. The date shown is the first session within the next three that saw a close back below the WR40 day’s close.
Up Day After WR40 Day w/ 2:1 Neg Breadth Followed by Close Below WR40 Close Within Next Three Sessions
02/13/09… S&P futures -4.2% one session later
10/03/08… S&P futures -5.0% one session later
09/15/08… S&P futures -2.8% two sessions later
06/10/08… S&P futures -1.5% one session later
12/14/07… S&P futures -1.5% one session later
03/02/07… S&P futures -1.0% one session later
04/11/06… S&P futures -0.1% three sessions later
10/10/05… S&P futures -0.1% one session later
03/29/05… No lower close within next three sessions
07/23/04… S&P futures -0.2% one session later
04/15/04… S&P futures -0.9% three sessions later
07/12/02… S&P futures -1.5% two sessions later
06/06/02… S&P futures -0.1% one session later
02/04/02… S&P futures -0.6% one session later
03/14/01… S&P futures -1.6% two sessions later
05/29/98… S&P futures -1.2% three sessions later
12/11/96… S&P futures -1.6% one session later
11/19/91… S&P futures -0.7% one session later
05/14/91… S&P futures -0.8% one session later
Out of 19 occurrences since 1990, 18 (95%) led to a subsequently lower S&P close within the next three sessions, significantly above the 65% random chance for a lower close within the next three days. Assuming we close higher today, this short-term bearish signal would go into effect only if March S&Ps close back under 1271.50 by Thursday.