New Versions of S&P Oscillator based on SPX Components & NYSE Common Stocks

There are a number of new charts in the interactive charting section, including a whole new section of various market internals utilizing NYSE common stock-only data and an expanded number of indicators based on S&P500 component data. One of those charts is our version of Standard & Poor’s Oscillator, except in this case it utilizes SPX component breadth to create the oscillator rather than traditional NYSE breadth data. I noticed that this version of the Oscillator recently topped 7.0, a key level to watch on the standard oscillator, so I thought I would test out a reliable signal I’ve referred to in the past. When the Oscillator closes over 7.0 and the S&P manages to close higher one week later, it’s a bullish intermediate-term edge with an expectation for a higher S&P two weeks later. See the end of this September 22nd post for a recent track record (that study utilizes NYSE breadth data). Below I’ve run the same test but utilized the Oscillator based on SPX component breadth. The signal has occurred 32 times since 1990, most of which led to a flat-to-up S&P two weeks later…

S&P Oscillator (SPX component breadth) >7.0, SPX Higher One Week Later
02/18/11… S&P500 -2.7%* (*OPEN – ends March 4th)
12/21/10… S&P500 +1.8% two weeks later
09/17/10… S&P500 +1.8% two weeks later
07/26/10… S&P500 +1.2% two weeks later
03/08/10… S&P500 +2.4% two weeks later
11/18/09… S&P500 -0.9% two weeks later
09/22/09… S&P500 -1.6%  two weeks later (*)
07/27/09… S&P500 +2.5% two weeks later
05/11/09… S&P500 +0.1% two weeks later
04/13/09… S&P500 -0.1% two weeks later
03/26/09… S&P500 +2.9% two weeks later
05/02/07… S&P500 +1.2% two weeks later
11/17/05… S&P500 +1.8% two weeks later
11/11/04… S&P500 +0.8% two weeks later
09/02/04… S&P500 +0.9% two weeks later
06/08/04… S&P500 +0.2% two weeks later
01/06/04… S&P500 +2.1% two weeks later
10/17/03… S&P500 +1.1% two weeks later
06/10/03… S&P500 -0.1% two weeks later
05/01/03… S&P500 +3.3% two weeks later
04/02/03… S&P500 -0.1% two weeks later
10/31/02… S&P500 +2.1% two weeks later
03/15/02… S&P500 -1.7%  two weeks later (*)
11/20/01… S&P500 +2.4% two weeks later
11/16/98… S&P500 +3.5%  two weeks later
10/29/98… S&P500 +3.0% two weeks later
02/13/98… S&P500 +2.7% two weeks later
06/20/97… S&P500 +1.5% two weeks later
05/12/97… S&P500 +1.4% two weeks later
08/19/96… S&P500 -1.8%  two weeks later (*)
01/03/92… S&P500 -0.1% two weeks later
02/04/91… S&P500 +6.0% two weeks later
05/18/90… S&P500 +3.6% two weeks later

This signal was last triggered on February 18th, just prior to Tuesday’s slide. The S&P is down over 2.5% since the trigger date, which is noteworthy when you consider the S&P was never down more than 2% two weeks later over the course of 32 signals since 1990. This suggests a bullish intermediate-term edge below SPX 1316 heading into March 4th, which is in agreement with other intermediate-term signals outlined last Friday.

Quick note on the interactive charts section – with over 75 charts now in the nightly rotation and more on the way, browsing the end-of-day charts quickly is not an easy task. I’m in the process of creating ‘slideshows’ for each section (NYSE, NASDAQ, Common Stocks, SPX Components) that will allow you to quickly leaf through a static image of each chart within a section. Then if you’re interested in a closer look you can click the image to be taken to the interactive chart. This new feature should be up & running in the next few days.

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

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