Mixed Signals for the Short-term

I’m seeing mixed signals short-term. On the negative side, S&P futures triggered the same 1-2 day sell signal outlined Monday evening by closing above the day’s midpoint while NYSE breadth held in lopsided negative territory (better than 3:1). This usually leads to a lower S&P close within the next couple of sessions. It’s very unusual to see this signal triggered on back-to-back sessions, so not sure what to make of it. On the plus side, Tuesday marked the second day in a row that S&P futures failed to trade above the previous day’s close. The market tends to bounce following consecutive downside gaps, although the edge isn’t strong enough to be considered significant…

S&P Futures Do Not Trade >Previous Day’s Settlement Two Consecutive Sessions
03/15/11… S&P futures ??? next session
11/12/10… S&P futures +0.0% next session
08/12/10… S&P futures -0.3% next session
08/11/10… S&P futures -0.5% next session
08/06/10… S&P futures +0.5% next session
11/20/09… S&P futures +1.3% next session
10/02/09… S&P futures +1.4% next session
08/17/09… S&P futures +1.2% next session
07/29/09… S&P futures +0.8% next session
04/07/09… S&P futures +1.1% next session
03/30/09… S&P futures +1.3% next session
03/02/09… S&P futures -2.3% next session (*)
11/12/08… S&P futures +6.4% next session
11/06/08… S&P futures +3.5% next session
10/22/08… S&P futures +1.4% next session
02/29/08… S&P futures +0.1% next session
02/05/08… S&P futures -1.0% next session (*)
12/17/07… S&P futures +0.7% next session
12/04/07… S&P futures +1.6% next session
10/19/07… S&P futures +0.5% next session
10/16/07… S&P futures +0.3% next session
08/28/07… S&P futures +1.9% next session
06/06/07… S&P futures -1.8% next session (*)
03/28/07… S&P futures +0.1% next session
11/27/06… S&P futures +0.4% next session
09/07/06… S&P futures +0.2% next session
08/01/06… S&P futures +0.6% next session
07/13/06… S&P futures -0.4% next session
01/18/06… S&P futures +0.4% next session
08/05/05… S&P futures -0.2% next session
03/22/04… S&P futures -0.2% next session
09/10/03… S&P futures +0.3% next session
09/30/02… S&P futures +4.8% next session
09/24/02… S&P futures +2.5% next session
02/04/02… S&P futures -0.6% next session
12/10/01… S&P futures -0.3% next session
12/03/01… S&P futures +1.6% next session
11/21/01… S&P futures +1.4% next session
10/15/01… S&P futures +0.7% next session
08/06/01… S&P futures +0.4% next session
07/06/01… S&P futures +0.5% next session
06/11/01… S&P futures -0.1% next session
04/23/01… S&P futures -0.8% next session
03/12/01… S&P futures +1.5% next session
07/19/00… S&P futures +1.1% next session

Out of 44 separate occurrences since 2000, 32 (73%) led to a higher S&P the following session. That’s a decent edge but nothing spectacular. 1% days are 16-3.

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

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