NYSE Common Stocks: More New Highs, Fewer New Lows
By
Rennie on Friday, February 25th, 2011 at 12:53 am
S&P futures posted a third consecutive session with a lower high, low and close, but an expansion of new 52-week highs among NYSE common stocks along with a contraction in new 52-week lows suggests the market is putting in a bottom. I initially ran this test with standard NYSE 52wk highs/lows and the results were good but not great, but switching to the common stock-only database made a significant difference. I only have this data back to 2005, but since that time we’ve seen a distribution day for the S&P that coincided with more new highs and fewer new lows a total of 15 times…
S&P Futures Lower High, Low & Close, New 52wk Highs Increase, 52wk Lows Decrease (Common Stocks Only)
02/24/11… S&P futures ??? one week later
06/30/10… S&P futures +3.9% one week later
02/10/10… S&P futures +4.0% one week later
11/20/09… S&P futures +0.4% one week later
04/28/09… S&P futures +6.1% one week later
10/27/08… S&P futures +16.2% one week later
10/07/08… S&P futures -0.4% one week later
07/14/08… S&P futures +2.7% one week later
05/09/08… S&P futures +2.7% one week later
03/27/08… S&P futures +3.3% one week later
01/16/08… S&P futures -1.7% one week later (*)
01/07/08… S&P futures -0.1% one week later
12/12/06… S&P futures +0.8% one week later
12/08/05… S&P futures +1.0% one week later
08/30/05… S&P futures +2.2% one week later
08/08/05… S&P futures +0.8% one week later
Note that only one instance led to a drop of more than 0.5% one week later, while the average gain was quite large at 3.7%.
If we further refine the study above by only looking at those instances when new 52-week highs were running ahead of new lows (like Thursday), the number of occurrences drops to 9 but every one led to a higher S&P one week later (average gain 2.4%)…
S&P Futures Lower High, Low & Close, New 52wk Highs Increase, 52wk Lows Decrease, New Highs > New Lows (Common Stocks Only)
02/24/11… S&P futures ??? one week later
02/10/10… S&P futures +4.0% one week later
11/20/09… S&P futures +0.4% one week later
04/28/09… S&P futures +6.1% one week later
05/09/08… S&P futures +2.7% one week later
03/27/08… S&P futures +3.3% one week later
12/12/06… S&P futures +0.8% one week later
12/08/05… S&P futures +1.0% one week later
08/30/05… S&P futures +2.2% one week later
08/08/05… S&P futures +0.8% one week later
Some are pointing to heightened risk from Mideast turmoil as a reason to stay sidelined this weekend, but from a technical perspective I see greater risk in missing the start of a strong rebound.
NYSE Common Stocks: More New Highs, Fewer New Lows
By Rennie on Friday, February 25th, 2011 at 12:53 amS&P futures posted a third consecutive session with a lower high, low and close, but an expansion of new 52-week highs among NYSE common stocks along with a contraction in new 52-week lows suggests the market is putting in a bottom. I initially ran this test with standard NYSE 52wk highs/lows and the results were good but not great, but switching to the common stock-only database made a significant difference. I only have this data back to 2005, but since that time we’ve seen a distribution day for the S&P that coincided with more new highs and fewer new lows a total of 15 times…
S&P Futures Lower High, Low & Close, New 52wk Highs Increase, 52wk Lows Decrease (Common Stocks Only)
02/24/11… S&P futures ??? one week later
06/30/10… S&P futures +3.9% one week later
02/10/10… S&P futures +4.0% one week later
11/20/09… S&P futures +0.4% one week later
04/28/09… S&P futures +6.1% one week later
10/27/08… S&P futures +16.2% one week later
10/07/08… S&P futures -0.4% one week later
07/14/08… S&P futures +2.7% one week later
05/09/08… S&P futures +2.7% one week later
03/27/08… S&P futures +3.3% one week later
01/16/08… S&P futures -1.7% one week later (*)
01/07/08… S&P futures -0.1% one week later
12/12/06… S&P futures +0.8% one week later
12/08/05… S&P futures +1.0% one week later
08/30/05… S&P futures +2.2% one week later
08/08/05… S&P futures +0.8% one week later
Note that only one instance led to a drop of more than 0.5% one week later, while the average gain was quite large at 3.7%.
If we further refine the study above by only looking at those instances when new 52-week highs were running ahead of new lows (like Thursday), the number of occurrences drops to 9 but every one led to a higher S&P one week later (average gain 2.4%)…
S&P Futures Lower High, Low & Close, New 52wk Highs Increase, 52wk Lows Decrease, New Highs > New Lows (Common Stocks Only)
02/24/11… S&P futures ??? one week later
02/10/10… S&P futures +4.0% one week later
11/20/09… S&P futures +0.4% one week later
04/28/09… S&P futures +6.1% one week later
05/09/08… S&P futures +2.7% one week later
03/27/08… S&P futures +3.3% one week later
12/12/06… S&P futures +0.8% one week later
12/08/05… S&P futures +1.0% one week later
08/30/05… S&P futures +2.2% one week later
08/08/05… S&P futures +0.8% one week later
Some are pointing to heightened risk from Mideast turmoil as a reason to stay sidelined this weekend, but from a technical perspective I see greater risk in missing the start of a strong rebound.