Cluster of Lopsided Positive Breadth Days for SPX

Thursday marked the third session in just the last six that the 1-day Advance/Decline Thrust (utilizing S&P500 component stocks only) closed over 85. The thrust indicator is calculated by taking the day’s Advancers divided by the sum of Advancers + Decliners and multiplying the result by 100 (thanks to Wayne Whaley for turning me on to the Thrust concept). I thought it would be interesting to examine the market’s performance following similar clusters of high ADT1 readings. In the table below I’ve noted each of the last 30 instances in which the SPX ADT1 closed over 85 on three separate sessions within the last seven days, along with the performance of the S&P over the following two weeks…

SPX ADT1 >85 Three Sessions out of Last Seven
03/24/11… S&P500 ??? two weeks later
12/02/10… S&P500 +1.8% two weeks later
09/13/10… S&P500 +1.8% two weeks later *
09/03/10… S&P500 +3.5% two weeks later *
09/02/10… S&P500 +3.3% two weeks later
07/26/10… S&P500 +1.2% two weeks later
02/16/10… S&P500 +2.1% two weeks later *
02/09/10… S&P500 +3.2% two weeks later
10/06/09… S&P500 +3.5% two weeks later
07/23/09… S&P500 +2.1% two weeks later *
07/20/09… S&P500 +5.4% two weeks later
03/17/09… S&P500 +2.5% two weeks later *
03/12/09… S&P500 +10.9% two weeks later
01/02/09… S&P500 -8.8% two weeks later
12/05/08… S&P500 +1.4% two weeks later *
12/02/08… S&P500 +7.6% two weeks later *
11/26/08… S&P500 -1.6% two weeks later
08/31/07… S&P500 +0.2% two weeks later
08/18/04… S&P500 +1.0% two weeks later
06/04/03… S&P500 +2.4% two weeks later
05/12/03… S&P500 +0.7% two weeks later
04/28/03… S&P500 +3.3% two weeks later *
04/22/03… S&P500 +2.5% two weeks later
03/25/03… S&P500 +0.4% two weeks later *
03/21/03… S&P500 -1.9% two weeks later
02/21/03… S&P500 -2.3% two weeks later
01/09/03… S&P500 -7.1% two weeks later
10/21/02… S&P500 +1.0% two weeks later *
10/15/02… S&P500 +0.1% two weeks later
08/14/02… S&P500 -0.2% two weeks later
05/05/97… S&P500 +0.4% two weeks later

You’ll note some overlap between signals, but I opted to leave those in the record because more than one signal in a short period of time was usually a very bullish development. Whenever a signal was triggered while we were still in the two-week time frame of a previous signal are highlighted in the table with an asterisk (*). Notice that all ten were profitable signals, suggesting the more the better as far as these high ADT1′s are concerned. Overall, this pattern led to a higher S&P two weeks later in 24 of the last 30 occurrences, or 80% of the time, significantly ahead of the 56% random chance for a higher S&P ten sessions later in the same time frame.

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

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